MSFT Options History — August 2013 In August 2013, MSFT traded between $31.39 and $34.75. ATM implied volatility averaged 22.6%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 14.1% (HV 20d: 36.7%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.50.
Notable Days 2013-08-23 : Highest Volume — 1,051,608 contracts2013-08-14 : Largest IV spike — 19.6% change2013-08-15 : Highest IV Rank — 80.6%2013-08-15 : Largest Expected Move — 7.7%Monthly Statistics Metric Avg Min Max Open Close Price $32.48 $31.39 $34.75 $31.67 $33.40 Max Pain $32.23 $32.00 $33.00 $32.00 $33.00 ATM IV 22.6% 15.9% 26.7% 18.6% 21.1% Expected Move 6.7% 4.9% 7.7% 5.3% 7.6% HV 20d 36.7% 18.1% 47.3% 47.1% 33.9% HV 60d 32.5% 31.2% 35.3% 31.3% 35.2% IV Rank 59.2% 24.9% 80.6% 38.9% 51.8% IV Percentile 71.4% 10.3% 98.4% 31.7% 60.7% Term Structure -0.8% -2.2% 1.2% 0.6% -1.4% VWIV 23.9% 17.3% 27.5% 18.7% 26.5% Skew 25d 0.7% -0.7% 1.7% 1.1% 1.3% Skew 10d 1.6% -1.1% 3.8% 1.5% 3.7% Call IV 25d 23.4% 16.8% 27.4% 18.1% 26.0% Put IV 25d 24.1% 17.7% 27.3% 19.2% 27.3% Bid-Ask Spread % 5.06 3.03 9.61 3.56 5.33 Gamma HHI 0.14 0.13 0.16 0.14 0.13 Net GEX 110.9M 61.7M 179.7M 62.8M 170.0M Net DEX -1.52B -3.92B -569.6M -642.5M -2.21B Net VEX -17.6M -21.0M -14.0M -14.1M -21.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.05 1.11 0.55 0.81 Total Volume 265,000.591 39,075 1,051,608 107,871 99,487 Total OI 3,347,534.818 2,763,679 3,931,577 2,763,679 3,931,577
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2013-08-01 $31.67 $32.00 18.6% 5.3% 47.1% 38.9% 18.7% 1.1% 0.6% 62.8M -642.5M -14.1M 0.55 3.56 N/A N/A 69,678 38,193 1,728,182 1,035,497 2013-08-02 $31.89 $32.00 15.9% 4.9% 47.2% 24.9% 17.3% 0.9% 1.2% 71.6M -737.0M -14.4M 0.45 3.52 N/A N/A 43,668 19,570 1,751,007 1,049,344 2013-08-05 $31.70 $32.00 18.4% 5.1% 47.1% 37.7% 18.1% 1.4% 1.0% 63.4M -653.4M -14.0M 0.69 6.03 N/A N/A 23,076 15,999 1,747,385 1,038,948 2013-08-06 $31.58 $32.00 18.2% 5.1% 47.1% 36.5% 18.1% 1.6% 1.0% 61.7M -569.6M -14.0M 0.74 4.32 N/A N/A 55,715 40,962 1,759,790 1,045,819 2013-08-07 $32.06 $32.00 19.8% 6.0% 47.3% 45.2% 21.1% 1.2% 0.2% 73.3M -919.9M -14.9M 0.19 9.61 N/A N/A 262,733 50,767 1,788,059 1,071,709 2013-08-08 $32.89 $32.00 21.3% 6.3% 47.1% 52.7% 22.4% 0.2% -0.5% 108.1M -1.77B -16.2M 0.16 9.18 N/A N/A 596,517 93,307 1,939,312 1,085,276 2013-08-09 $32.70 $32.00 19.8% 6.3% 47.1% 44.9% 22.3% 0.6% -0.8% 124.4M -1.70B -17.0M 0.45 5.32 N/A N/A 90,328 41,027 2,209,065 1,114,909 2013-08-12 $32.87 $32.00 22.8% 6.5% 46.7% 60.7% 26.5% 1.1% -0.9% 133.6M -1.85B -17.0M 0.05 4.40 N/A N/A 804,793 39,686 2,204,300 1,102,892 2013-08-13 $32.23 $32.00 19.0% 6.6% 46.9% 41.1% 23.3% 0.4% -1.2% 95.0M -1.16B -16.7M 0.38 5.66 N/A N/A 123,544 46,392 2,126,068 1,121,036 2013-08-14 $32.35 $32.00 22.8% 7.0% 46.9% 60.3% 24.7% 0.1% -1.0% 107.8M -1.36B -17.5M 0.42 4.48 N/A N/A 170,072 71,311 2,184,142 1,128,019 2013-08-15 $31.79 $32.00 26.7% 7.7% 47.1% 80.6% 27.5% -0.1% -1.4% 78.0M -970.5M -17.7M 0.49 4.80 N/A N/A 228,799 111,504 2,265,499 1,164,948 2013-08-16 $31.80 $32.00 26.1% 7.5% 18.8% 77.7% 27.4% -0.2% -1.3% 83.1M -982.1M -18.3M 0.25 4.34 N/A N/A 221,845 56,011 2,377,063 1,236,799 2013-08-19 $31.39 $32.00 25.8% 7.4% 18.1% 76.0% 27.3% -0.1% -1.5% 92.0M -910.3M -17.5M 0.21 3.83 N/A N/A 152,738 31,842 2,250,439 1,109,764 2013-08-20 $31.62 $32.00 25.6% 7.3% 18.2% 74.8% 26.8% -0.7% -1.6% 105.3M -1.13B -18.0M 0.23 3.88 N/A N/A 65,641 15,377 2,308,705 1,127,961 2013-08-21 $31.61 $32.00 26.1% 7.5% 18.1% 77.5% 27.0% -0.5% -2.1% 104.6M -1.09B -17.9M 0.29 3.75 N/A N/A 106,173 31,045 2,314,654 1,136,185 2013-08-22 $32.39 $32.00 25.7% 7.4% 18.9% 75.5% 26.1% 0.5% -2.2% 141.0M -1.72B -18.9M 0.42 5.95 N/A N/A 88,058 37,000 2,348,475 1,148,934 2013-08-23 $34.75 $32.00 24.3% 7.0% 30.9% 68.2% 25.0% 1.7% -1.6% 179.7M -3.92B -19.5M 0.63 3.03 N/A N/A 643,998 407,610 2,372,024 1,157,263 2013-08-26 $34.15 $33.00 24.2% 6.9% 31.8% 67.9% 24.7% 1.6% -1.5% 163.4M -3.01B -20.2M 1.11 3.83 N/A N/A 154,399 170,913 2,416,965 1,275,217 2013-08-27 $33.26 $33.00 24.3% 7.0% 33.5% 68.3% 24.6% 1.1% -1.1% 136.2M -2.02B -20.5M 1.09 4.84 N/A N/A 111,770 122,219 2,452,526 1,338,250 2013-08-28 $33.02 $33.00 23.9% 6.9% 33.6% 66.2% 24.1% 0.9% -0.6% 134.8M -1.77B -20.2M 0.76 4.62 N/A N/A 64,538 48,812 2,459,893 1,365,633 2013-08-29 $33.55 $33.00 25.7% 7.4% 33.9% 75.4% 26.0% 1.1% -1.6% 149.1M -2.35B -21.0M 0.59 6.97 N/A N/A 102,294 60,602 2,487,550 1,368,683 2013-08-30 $33.40 $33.00 21.1% 7.6% 33.9% 51.8% 26.5% 1.3% -1.4% 170.0M -2.21B -21.0M 0.81 5.33 N/A N/A 54,907 44,580 2,536,871 1,394,706
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