MSFT Options History — October 2013 In October 2013, MSFT traded between $33.01 and $35.73. ATM implied volatility averaged 24.4%, placing in the 67.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 5.6% (HV 20d: 18.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.69.
Notable Days 2013-10-25 : Highest Volume — 528,425 contracts2013-10-25 : Largest IV drop — 29.2% change2013-10-08 : Highest IV Rank — 100.0%2013-10-08 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $34.38 $33.01 $35.73 $33.58 $35.41 Max Pain $30.00 $30.00 $30.00 $30.00 $30.00 ATM IV 24.4% 18.2% 31.0% 22.7% 18.6% Expected Move 7.2% 7.0% 7.5% 7.0% 7.2% HV 20d 18.8% 13.8% 26.1% 19.1% 26.0% HV 60d 30.3% 25.4% 36.4% 36.3% 28.3% IV Rank 67.2% 35.8% 100.0% 59.7% 37.8% IV Percentile 76.4% 21.0% 100.0% 77.8% 24.6% Term Structure -1.1% -3.4% 3.8% 3.2% 0.4% VWIV 25.7% 24.6% 27.3% 25.4% 25.4% Skew 25d 3.0% 1.5% 5.1% 1.5% 2.9% Skew 10d 6.1% 4.2% 9.2% 5.4% 5.2% Call IV 25d 23.0% 16.9% 29.4% 19.6% 17.5% Put IV 25d 26.0% 19.7% 33.4% 21.1% 20.4% Bid-Ask Spread % 3.60 2.24 13.13 4.28 2.66 Gamma HHI 0.14 0.11 0.18 0.14 0.14 Net GEX 139.1M 85.4M 165.0M 131.6M 157.1M Net DEX -2.65B -3.63B -1.50B -2.11B -3.18B Net VEX -19.8M -21.1M -18.2M -18.2M -21.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.21 1.16 0.82 1.16 Total Volume 195,738.217 72,787 528,425 107,604 72,787 Total OI 3,953,966.609 3,589,186 4,172,228 3,747,251 4,067,963
Daily Data (23 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 2013-10-01 $33.58 $30.00 22.7% 7.0% 19.1% 59.7% 25.4% 1.5% 3.2% 131.6M -2.11B -18.2M 0.82 4.28 N/A N/A 59,268 48,336 2,255,647 1,491,604 2013-10-02 $33.92 $30.00 22.8% 7.1% 17.0% 60.3% 25.5% 1.6% 3.8% 144.0M -2.45B -19.0M 0.71 2.49 N/A N/A 164,394 117,183 2,277,596 1,516,522 2013-10-03 $33.86 $30.00 26.0% 7.1% 17.1% 77.1% 24.8% 2.3% -1.6% 144.1M -2.45B -20.0M 1.07 3.29 N/A N/A 51,722 55,409 2,358,464 1,588,797 2013-10-04 $33.88 $30.00 26.3% 7.1% 16.9% 78.8% 25.0% 3.1% -1.5% 151.5M -2.45B -19.9M 0.94 2.61 N/A N/A 52,133 49,178 2,371,063 1,605,029 2013-10-07 $33.30 $30.00 28.9% 7.4% 17.9% 91.8% 27.3% 3.3% -2.1% 113.6M -1.82B -20.1M 0.63 3.07 N/A N/A 96,697 61,186 2,368,249 1,618,097 2013-10-08 $33.01 $30.00 30.6% 7.5% 16.6% 100.0% 26.4% 4.0% -3.1% 98.1M -1.50B -20.2M 1.05 2.96 N/A N/A 65,206 68,676 2,393,197 1,642,377 2013-10-09 $33.07 $30.00 31.0% 7.4% 16.2% 100.0% 27.0% 4.0% -3.2% 100.1M -1.55B -20.2M 0.30 2.58 N/A N/A 76,999 23,073 2,405,313 1,652,379 2013-10-10 $33.76 $30.00 27.0% 7.2% 17.7% 79.7% 26.7% 3.0% -1.4% 147.2M -2.39B -20.2M 0.40 2.89 N/A N/A 96,017 38,829 2,444,889 1,655,870 2013-10-11 $34.13 $30.00 25.5% 7.1% 17.8% 72.2% 25.9% 3.2% -1.7% 158.1M -2.73B -19.8M 0.89 2.94 N/A N/A 86,600 77,199 2,436,497 1,667,195 2013-10-14 $34.45 $30.00 25.4% 7.2% 17.6% 72.1% 26.0% 3.3% -2.2% 164.0M -3.04B -19.5M 0.85 3.28 N/A N/A 97,678 83,277 2,425,855 1,676,115 2013-10-15 $34.49 $30.00 27.1% 7.2% 17.6% 80.1% 25.3% 3.5% -2.9% 157.8M -3.04B -19.8M 0.48 2.92 N/A N/A 147,965 70,768 2,428,980 1,697,387 2013-10-16 $34.64 $30.00 24.9% 7.1% 17.3% 69.3% 25.2% 2.8% -2.3% 165.0M -3.22B -19.5M 0.39 2.54 N/A N/A 97,886 38,638 2,443,013 1,714,228 2013-10-17 $34.92 $30.00 23.4% 7.1% 17.2% 61.5% 25.3% 2.5% 0.2% 164.0M -3.52B -19.2M 0.55 2.24 N/A N/A 91,093 49,768 2,429,706 1,697,502 2013-10-18 $34.96 $30.00 23.1% 7.0% 13.9% 60.0% 26.4% 2.6% 0.4% 163.4M -3.56B -19.2M 0.73 2.89 N/A N/A 132,998 97,034 2,454,635 1,717,593 2013-10-21 $34.99 $30.00 23.5% 7.0% 13.8% 62.4% 24.7% 3.1% -2.3% 123.7M -2.76B -19.7M 1.01 2.84 N/A N/A 42,985 43,354 2,136,879 1,452,307 2013-10-22 $34.58 $30.00 24.9% 7.1% 14.2% 69.5% 26.2% 3.3% -3.4% 115.8M -2.41B -19.6M 0.65 3.05 N/A N/A 114,115 74,206 2,157,095 1,474,139 2013-10-23 $33.76 $30.00 26.0% 7.2% 17.2% 74.8% 25.6% 4.1% -3.4% 92.9M -1.70B -20.2M 0.88 7.68 N/A N/A 139,025 122,822 2,227,046 1,512,425 2013-10-24 $33.72 $30.00 27.5% 7.1% 17.0% 82.5% 26.1% 5.1% -3.0% 85.4M -1.57B -20.0M 1.03 13.13 N/A N/A 236,238 242,917 2,202,510 1,559,529 2013-10-25 $35.73 $30.00 19.5% 7.2% 26.0% 42.2% 25.0% 2.9% -0.8% 149.2M -3.63B -19.8M 0.55 4.41 N/A N/A 340,302 188,123 2,274,938 1,681,140 2013-10-28 $35.57 $30.00 18.8% 7.1% 26.1% 38.6% 25.4% 2.5% 0.1% 151.8M -3.25B -19.6M 0.32 2.31 N/A N/A 160,654 52,062 2,239,993 1,618,597 2013-10-29 $35.52 $30.00 18.2% 7.1% 26.1% 35.8% 24.6% 2.7% 0.5% 159.0M -3.30B -19.5M 0.21 2.74 N/A N/A 245,451 50,369 2,274,448 1,626,942 2013-10-30 $35.54 $30.00 18.9% 7.2% 26.0% 39.2% 25.8% 2.5% 0.5% 162.6M -3.37B -20.5M 0.31 3.11 N/A N/A 138,172 43,187 2,351,275 1,650,207 2013-10-31 $35.41 $30.00 18.6% 7.2% 26.0% 37.8% 25.4% 2.9% 0.4% 157.1M -3.18B -21.1M 1.16 2.66 N/A N/A 33,766 39,021 2,398,562 1,669,401
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