MSFT Options History — September 2013 In September 2013, MSFT traded between $31.15 and $33.64. ATM implied volatility averaged 22.2%, placing in the 57.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 12.2% (HV 20d: 34.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.59.
Notable Days 2013-09-03 : Highest Volume — 546,949 contracts2013-09-11 : Largest IV spike — 19.8% change2013-09-03 : Highest IV Rank — 85.8%2013-09-03 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $32.52 $31.15 $33.64 $31.88 $33.28 Max Pain $31.32 $30.00 $35.00 $33.00 $30.00 ATM IV 22.2% 19.0% 27.7% 27.7% 23.6% Expected Move 7.1% 6.3% 7.5% 7.5% 7.2% HV 20d 34.4% 25.7% 38.8% 38.1% 25.7% HV 60d 36.3% 36.0% 36.7% 36.2% 36.3% IV Rank 57.5% 40.9% 85.8% 85.8% 64.7% IV Percentile 67.3% 28.2% 99.2% 99.2% 84.9% Term Structure 1.5% -1.2% 3.0% -1.2% 2.7% VWIV 24.9% 22.6% 26.5% 26.4% 25.5% Skew 25d 1.0% 0.3% 1.7% 1.1% 1.2% Skew 10d 2.1% 0.7% 3.4% 2.4% 2.8% Call IV 25d 22.2% 19.4% 26.4% 26.4% 20.9% Put IV 25d 23.3% 20.2% 27.7% 27.5% 22.1% Bid-Ask Spread % 4.76 2.65 16.75 3.40 2.96 Gamma HHI 0.13 0.10 0.24 0.12 0.12 Net GEX 124.5M 60.7M 240.9M 90.5M 112.7M Net DEX -1.36B -2.68B -146.8M -715.5M -1.87B Net VEX -18.8M -19.9M -17.9M -18.9M -18.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.34 1.17 0.51 0.63 Total Volume 196,808.45 67,093 546,949 546,949 87,453 Total OI 4,061,600.05 3,562,337 4,440,563 3,878,988 3,695,129
Daily Data (20 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 2013-09-03 $31.88 $33.00 27.7% 7.5% 38.1% 85.8% 26.4% 1.1% -1.2% 90.5M -715.5M -18.9M 0.51 3.40 N/A N/A 363,082 183,867 2,499,274 1,379,714 2013-09-04 $31.20 $33.00 26.2% 7.4% 38.8% 78.3% 26.3% 1.5% -0.9% 61.8M -146.8M -18.2M 0.58 3.38 N/A N/A 207,203 120,833 2,572,740 1,444,574 2013-09-05 $31.24 $32.00 21.5% 7.2% 38.4% 53.8% 25.4% 0.8% -0.4% 72.6M -195.5M -18.3M 0.56 4.02 N/A N/A 107,558 59,995 2,629,770 1,510,897 2013-09-06 $31.15 $32.00 21.5% 6.9% 37.1% 53.7% 24.3% 1.7% 1.3% 60.7M -164.6M -18.4M 0.41 6.29 N/A N/A 93,049 38,604 2,690,823 1,538,511 2013-09-09 $31.66 $32.00 22.2% 6.3% 37.6% 57.5% 22.6% 1.4% 2.1% 82.7M -529.4M -18.5M 0.47 3.12 N/A N/A 104,629 49,052 2,639,167 1,513,418 2013-09-10 $32.39 $32.00 21.9% 6.8% 38.6% 56.1% 23.9% 1.3% 1.1% 129.8M -1.32B -19.9M 0.34 4.47 N/A N/A 169,276 58,131 2,665,781 1,529,070 2013-09-11 $32.74 $32.00 26.3% 6.6% 38.1% 78.5% 23.4% 1.0% 1.1% 153.8M -1.72B -19.8M 0.41 4.73 N/A N/A 103,542 42,910 2,680,196 1,542,295 2013-09-12 $32.69 $32.00 22.6% 6.5% 38.1% 59.6% 23.3% 1.4% 1.6% 153.4M -1.65B -19.6M 0.43 5.36 N/A N/A 101,681 43,266 2,686,839 1,541,971 2013-09-13 $33.03 $32.00 22.2% 6.4% 37.6% 57.5% 22.6% 1.2% 1.6% 240.9M -2.10B -19.8M 0.46 6.77 N/A N/A 62,721 29,013 2,734,634 1,556,855 2013-09-16 $32.80 $0.00 23.1% 7.5% 37.7% 62.0% 26.2% 1.1% 1.3% 155.3M -1.71B -19.3M 0.90 16.75 N/A N/A 116,338 104,855 2,681,109 1,540,889 2013-09-17 $32.93 $35.00 22.4% 7.4% 37.4% 58.3% 26.5% 0.3% 1.4% 161.5M -1.82B -19.0M 0.60 6.47 N/A N/A 162,205 96,944 2,707,463 1,592,793 2013-09-18 $33.32 $30.00 21.4% 7.3% 37.5% 53.0% 25.3% 0.9% 2.4% 197.4M -2.31B -19.1M 0.52 5.76 N/A N/A 97,231 50,132 2,757,630 1,628,260 2013-09-19 $33.64 $30.00 21.5% 7.1% 37.5% 53.8% 25.8% 0.8% 1.4% 214.1M -2.68B -18.9M 0.67 4.10 N/A N/A 147,107 98,840 2,724,001 1,626,549 2013-09-20 $32.79 $30.00 20.9% 7.2% 38.0% 50.5% 24.5% 0.5% 1.9% 156.4M -1.38B -18.1M 0.63 3.48 N/A N/A 178,678 112,369 2,771,831 1,668,732 2013-09-23 $32.74 $30.00 19.9% 7.2% 27.6% 45.5% 25.5% 1.1% 2.6% 88.7M -1.31B -18.1M 0.52 3.02 N/A N/A 112,335 58,374 2,149,695 1,412,642 2013-09-24 $32.46 $30.00 19.6% 7.2% 27.2% 43.8% 25.6% 1.1% 2.6% 80.8M -1.11B -17.9M 1.17 2.72 N/A N/A 82,274 96,494 2,217,362 1,432,424 2013-09-25 $32.51 $30.00 19.0% 7.2% 25.7% 40.9% 25.4% 0.8% 3.0% 75.7M -1.14B -18.2M 0.63 2.82 N/A N/A 41,243 25,850 2,248,228 1,489,885 2013-09-26 $32.77 $30.00 19.2% 7.2% 25.8% 42.0% 24.7% 0.8% 2.9% 92.1M -1.43B -18.4M 1.01 2.65 N/A N/A 39,530 39,919 2,263,208 1,493,804 2013-09-27 $33.27 $30.00 21.7% 7.3% 25.7% 54.7% 24.6% 0.8% 2.4% 109.9M -1.90B -18.7M 0.37 2.99 N/A N/A 181,950 67,636 2,266,993 1,506,845 2013-09-30 $33.28 $30.00 23.6% 7.2% 25.7% 64.7% 25.5% 1.2% 2.7% 112.7M -1.87B -18.5M 0.63 2.96 N/A N/A 53,599 33,854 2,226,813 1,468,316
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