MSFT Options History — November 2013

In November 2013, MSFT traded between $35.53 and $38.18. ATM implied volatility averaged 21.0%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 6.3% (HV 20d: 27.2%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2013-11-18: Highest Volume — 1,007,522 contracts
  • 2013-11-05: Largest IV spike — 10.6% change
  • 2013-11-22: Highest IV Rank — 63.2%
  • 2013-11-22: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.36$35.53$38.18$35.53$38.13
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV21.0%18.0%23.7%18.0%21.9%
Expected Move7.3%7.2%7.4%7.2%7.3%
HV 20d27.2%21.9%31.3%26.0%22.4%
HV 60d26.5%21.7%29.2%27.8%21.8%
IV Rank49.5%34.6%63.2%34.6%54.5%
IV Percentile54.3%19.4%81.3%19.4%65.9%
Term Structure0.3%-0.9%1.6%0.4%0.2%
VWIV26.3%24.9%28.2%25.9%27.3%
Skew 25d2.3%1.6%2.9%2.8%2.3%
Skew 10d4.7%3.4%6.6%4.6%4.6%
Call IV 25d20.4%16.7%23.5%16.7%21.2%
Put IV 25d22.7%19.5%25.7%19.5%23.5%
Bid-Ask Spread %2.592.123.092.532.61
Gamma HHI0.150.130.190.140.14
Net GEX159.0M108.8M203.0M175.9M144.3M
Net DEX-4.27B-5.99B-2.59B-3.37B-3.96B
Net VEX-20.1M-21.2M-19.2M-20.7M-21.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.211.320.700.66
Total Volume214,420.274,2781,007,52287,13786,433
Total OI3,985,663.353,646,2554,341,5614,099,4453,914,869

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$35.53$30.0018.0%7.2%26.0%34.6%25.9%2.8%0.4%175.9M-3.37B-20.7M0.702.53N/AN/A51,28635,8512,409,7661,689,679
2013-11-04$35.94$30.0018.3%7.2%25.1%36.1%24.9%2.8%0.9%176.7M-3.75B-20.6M0.212.43N/AN/A113,09723,5082,387,8901,649,303
2013-11-05$36.64$30.0020.2%7.2%25.2%45.8%26.4%2.8%0.5%184.8M-4.51B-20.7M0.813.09N/AN/A193,242156,7022,423,9991,653,383
2013-11-06$38.18$30.0020.3%7.3%28.2%46.1%26.2%2.3%0.6%168.6M-5.99B-19.5M0.462.47N/AN/A367,346170,0742,482,1991,633,856
2013-11-07$37.50$30.0020.7%7.3%29.1%48.3%27.1%2.3%0.6%184.7M-5.49B-20.3M0.222.66N/AN/A185,86540,5892,573,8571,698,891
2013-11-08$37.78$30.0019.4%7.3%29.0%41.8%26.0%2.2%0.7%191.9M-5.67B-19.9M0.832.23N/AN/A61,94151,6322,581,0741,701,079
2013-11-11$37.59$30.0019.5%7.3%29.2%42.1%26.0%2.3%0.8%185.4M-5.28B-19.4M0.322.43N/AN/A101,29932,1892,481,9061,674,812
2013-11-12$37.36$30.0020.2%7.3%29.4%45.7%25.9%2.3%1.1%186.0M-5.03B-19.5M1.322.12N/AN/A42,52956,2902,494,4451,686,366
2013-11-13$38.16$30.0019.6%7.3%30.0%42.9%25.9%2.3%1.6%182.1M-5.81B-19.3M0.392.88N/AN/A118,49046,6352,511,8131,721,783
2013-11-14$38.02$30.0020.4%7.3%30.2%46.8%25.7%2.9%0.3%203.0M-5.56B-19.2M1.072.16N/AN/A129,246138,8922,489,3521,718,442
2013-11-15$37.84$30.0020.8%7.4%30.3%49.0%27.2%2.5%0.0%169.3M-5.31B-19.8M0.562.54N/AN/A96,17453,9772,553,2361,788,325
2013-11-18$37.20$30.0022.9%7.4%31.2%59.5%26.9%2.1%-0.1%125.9M-3.68B-20.3M0.212.76N/AN/A832,210175,3122,221,1941,499,686
2013-11-19$36.74$30.0022.3%7.3%31.3%56.5%26.6%1.6%-0.0%108.8M-2.59B-20.3M0.862.60N/AN/A75,50365,0772,032,7281,613,527
2013-11-20$37.08$30.0021.8%7.3%29.6%53.9%25.3%1.7%0.2%121.1M-2.92B-20.3M0.952.62N/AN/A44,98542,6892,057,9291,625,919
2013-11-21$37.40$30.0022.2%7.4%29.6%55.6%28.2%1.9%-0.9%134.8M-3.22B-20.1M0.772.67N/AN/A57,31644,1252,067,3781,639,576
2013-11-22$37.57$30.0023.7%7.4%22.1%63.2%27.6%2.2%0.1%160.0M-3.35B-20.4M0.823.00N/AN/A138,501114,1642,083,9441,655,129
2013-11-25$37.64$30.0023.4%7.3%21.9%61.9%25.3%2.3%-0.7%128.8M-3.45B-20.3M1.202.33N/AN/A42,71451,2022,087,1131,663,088
2013-11-26$37.35$30.0022.2%7.3%22.2%56.0%25.0%2.1%0.6%121.2M-3.17B-20.1M0.942.64N/AN/A38,24236,0362,085,0161,675,344
2013-11-27$37.60$30.0021.2%7.3%22.2%50.7%27.3%1.9%-0.0%127.4M-3.38B-20.2M0.853.07N/AN/A95,75781,2842,091,4791,693,892
2013-11-29$38.13$30.0021.9%7.3%22.4%54.5%27.3%2.3%0.2%144.3M-3.96B-21.2M0.662.61N/AN/A52,12834,3052,158,3991,756,470