MSFT Options History — December 2013

In December 2013, MSFT traded between $36.25 and $38.94. ATM implied volatility averaged 25.4%, placing in the 72.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 6.1% (HV 20d: 19.3%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.77.

Notable Days

2013-12-05: Highest Volume — 645,205 contracts
2013-12-17: Largest IV drop — 14.0% change
2013-12-13: Highest IV Rank — 86.1%
2013-12-16: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.46	$36.25	$38.94	$38.45	$37.41
Max Pain	$31.05	$30.00	$32.00	$30.00	$30.00
ATM IV	25.4%	22.5%	28.2%	23.9%	26.3%
Expected Move	7.3%	7.1%	7.4%	7.4%	7.1%
HV 20d	19.3%	18.0%	22.5%	22.5%	18.2%
HV 60d	22.2%	21.5%	22.8%	21.8%	22.4%
IV Rank	72.0%	57.5%	86.1%	64.5%	76.1%
IV Percentile	87.0%	67.1%	98.0%	82.9%	91.3%
Term Structure	0.1%	-2.0%	5.6%	-0.1%	-1.3%
VWIV	26.2%	25.2%	27.1%	26.2%	26.1%
Skew 25d	2.2%	1.5%	3.2%	2.5%	2.2%
Skew 10d	4.9%	3.5%	6.3%	6.0%	5.5%
Call IV 25d	25.0%	21.1%	28.4%	23.0%	25.5%
Put IV 25d	27.2%	23.2%	30.2%	25.5%	27.7%
Bid-Ask Spread %	5.15	2.42	9.73	2.42	5.36
Gamma HHI	0.14	0.11	0.16	0.14	0.15
Net GEX	126.2M	77.9M	165.0M	143.6M	144.1M
Net DEX	-3.13B	-4.62B	-1.81B	-4.15B	-3.13B
Net VEX	-20.2M	-21.8M	-17.7M	-20.9M	-17.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.40	1.33	1.33	0.63
Total Volume	171,784.762	59,380	645,205	256,302	75,472
Total OI	4,042,395.476	3,707,964	4,321,788	3,874,085	3,728,408

Daily Data (21 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
2013-12-02	$38.45	$30.00	23.9%	7.4%	22.5%	64.5%	26.2%	2.5%	-0.1%	143.6M	-4.15B	-20.9M	1.33	2.42	N/A	N/A	109,932	146,370	2,143,435	1,730,650
2013-12-03	$38.31	$30.00	23.5%	7.3%	22.5%	62.3%	25.2%	2.7%	0.1%	135.7M	-4.00B	-21.1M	0.50	3.28	N/A	N/A	95,876	47,852	2,166,928	1,777,605
2013-12-04	$38.94	$30.00	22.9%	7.2%	22.2%	59.0%	25.8%	3.2%	-0.0%	150.1M	-4.62B	-20.4M	1.11	4.52	N/A	N/A	85,319	94,814	2,179,276	1,775,841
2013-12-05	$38.00	$30.00	25.4%	7.4%	19.3%	71.8%	26.1%	1.9%	0.0%	120.9M	-3.61B	-21.4M	0.66	4.11	N/A	N/A	389,573	255,632	2,173,098	1,835,873
2013-12-06	$38.36	$30.00	24.9%	7.3%	18.4%	69.5%	25.6%	2.1%	-0.3%	165.0M	-4.10B	-21.8M	0.50	3.22	N/A	N/A	136,128	67,884	2,326,656	1,881,226
2013-12-09	$38.71	$30.00	24.8%	7.2%	18.4%	68.9%	25.8%	1.8%	-0.5%	160.3M	-4.40B	-21.0M	0.70	3.19	N/A	N/A	63,033	44,255	2,281,948	1,837,541
2013-12-10	$38.11	$30.00	27.7%	7.4%	19.3%	83.6%	25.9%	2.4%	-1.1%	143.5M	-3.79B	-21.4M	0.89	3.98	N/A	N/A	76,096	67,729	2,292,330	1,845,825
2013-12-11	$37.61	$32.00	27.5%	7.4%	19.8%	82.2%	27.1%	2.0%	-1.1%	127.1M	-3.26B	-21.5M	1.05	2.64	N/A	N/A	48,178	50,521	2,311,316	1,881,420
2013-12-12	$37.22	$32.00	27.8%	7.4%	18.5%	84.1%	27.1%	2.2%	-1.0%	109.9M	-2.81B	-21.4M	0.82	3.16	N/A	N/A	56,357	46,292	2,320,436	1,906,834
2013-12-13	$36.69	$32.00	28.2%	7.4%	19.1%	86.1%	26.5%	1.8%	-1.0%	101.1M	-2.23B	-21.3M	0.40	4.02	N/A	N/A	155,931	61,952	2,340,009	1,919,882
2013-12-16	$36.89	$32.00	27.6%	7.4%	19.2%	82.8%	26.8%	1.7%	0.8%	117.4M	-2.62B	-21.0M	0.62	2.80	N/A	N/A	112,383	69,452	2,374,492	1,878,783
2013-12-17	$36.52	$30.00	23.7%	7.4%	18.6%	63.4%	25.8%	1.9%	3.2%	102.4M	-2.21B	-20.2M	0.70	9.73	N/A	N/A	209,993	146,071	2,407,340	1,882,617
2013-12-18	$36.58	$30.00	23.8%	7.3%	18.1%	63.6%	26.2%	2.3%	3.0%	84.0M	-2.20B	-20.2M	1.07	7.20	N/A	N/A	109,830	117,516	2,401,966	1,919,822
2013-12-19	$36.25	$32.00	23.7%	7.3%	18.0%	63.2%	26.9%	2.3%	3.6%	77.9M	-1.81B	-19.8M	0.84	6.73	N/A	N/A	51,686	43,467	2,383,693	1,919,423
2013-12-20	$36.80	$32.00	22.5%	7.3%	18.6%	57.5%	26.3%	2.1%	5.6%	90.5M	-2.49B	-19.5M	0.47	6.89	N/A	N/A	139,848	65,275	2,386,568	1,900,418
2013-12-23	$36.62	$32.00	25.4%	7.2%	18.5%	71.6%	25.8%	1.5%	-1.7%	120.6M	-2.42B	-19.0M	0.92	8.30	N/A	N/A	42,969	39,714	2,087,431	1,661,445
2013-12-24	$37.08	$32.00	25.8%	7.2%	19.1%	73.7%	25.4%	1.9%	-2.0%	134.2M	-2.77B	-18.9M	0.50	7.61	N/A	N/A	41,094	20,389	2,101,268	1,652,268
2013-12-26	$37.44	$32.00	26.3%	7.2%	19.3%	76.4%	27.0%	2.2%	-0.8%	149.1M	-3.24B	-18.5M	0.51	5.79	N/A	N/A	39,367	20,013	2,114,143	1,666,970
2013-12-27	$37.29	$32.00	26.1%	7.1%	19.2%	75.2%	25.8%	2.3%	-1.3%	135.9M	-2.98B	-18.4M	1.08	6.93	N/A	N/A	36,476	39,418	2,115,485	1,671,672
2013-12-30	$37.29	$32.00	26.1%	7.1%	18.4%	75.4%	26.6%	2.3%	-0.9%	137.1M	-2.95B	-18.1M	0.83	6.32	N/A	N/A	47,703	39,620	2,061,829	1,646,135
2013-12-31	$37.41	$30.00	26.3%	7.1%	18.2%	76.1%	26.1%	2.2%	-1.3%	144.1M	-3.13B	-17.7M	0.63	5.36	N/A	N/A	46,198	29,274	2,078,424	1,649,984