MSFT Options History — January 2014

In January 2014, MSFT traded between $34.98 and $37.84. ATM implied volatility averaged 26.1%, placing in the 75.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.9% (HV 20d: 21.2%). 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 1 of 21 days. Put/call ratio averaged 0.71.

Notable Days

2014-01-24: Highest Volume — 460,241 contracts
2014-01-24: Largest IV drop — 15.7% change
2014-01-16: Highest IV Rank — 90.4%
2014-01-22: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.35	$34.98	$37.84	$37.16	$37.84
Max Pain	$31.52	$30.00	$32.00	$32.00	$32.00
ATM IV	26.1%	22.7%	29.1%	26.7%	22.8%
Expected Move	7.1%	7.0%	7.2%	7.1%	7.2%
HV 20d	21.2%	16.1%	26.5%	18.2%	26.5%
HV 60d	22.8%	21.0%	24.5%	22.1%	22.5%
IV Rank	75.3%	58.3%	90.4%	78.2%	58.6%
IV Percentile	85.7%	60.3%	98.4%	93.3%	60.3%
Term Structure	-1.3%	-3.2%	0.1%	-0.7%	-0.4%
VWIV	25.5%	24.4%	26.8%	26.4%	25.1%
Skew 25d	2.0%	0.5%	3.1%	2.3%	2.5%
Skew 10d	4.6%	1.4%	7.6%	5.1%	7.6%
Call IV 25d	25.3%	21.8%	28.9%	26.0%	21.8%
Put IV 25d	27.3%	24.2%	30.7%	28.3%	24.3%
Bid-Ask Spread %	6.59	2.72	13.18	6.76	5.38
Gamma HHI	0.16	0.11	0.39	0.16	0.13
Net GEX	100.7M	57.8M	178.8M	143.0M	100.8M
Net DEX	-1.79B	-2.85B	-844.3M	-2.85B	-2.42B
Net VEX	-17.3M	-18.1M	-16.5M	-17.8M	-18.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.29	1.16	0.29	0.54
Total Volume	183,208.095	56,698	460,241	188,960	335,200
Total OI	3,285,208.095	2,381,482	3,974,141	3,734,420	2,770,076

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
2014-01-02	$37.16	$32.00	26.7%	7.1%	18.2%	78.2%	26.4%	2.3%	-0.7%	143.0M	-2.85B	-17.8M	0.29	6.76	N/A	N/A	146,110	42,850	2,082,782	1,651,638
2014-01-03	$36.91	$32.00	26.3%	7.0%	17.0%	76.5%	26.8%	2.1%	-0.8%	135.6M	-2.45B	-17.6M	0.84	7.23	N/A	N/A	51,065	42,650	2,052,707	1,671,832
2014-01-06	$36.13	$32.00	27.1%	7.1%	16.6%	80.4%	25.4%	2.3%	-1.4%	109.9M	-1.89B	-17.1M	0.67	3.60	N/A	N/A	76,852	51,111	1,988,752	1,644,636
2014-01-07	$36.41	$30.00	26.4%	7.0%	16.4%	77.1%	25.9%	2.4%	-1.2%	118.1M	-2.11B	-17.1M	0.97	8.40	N/A	N/A	28,815	27,883	2,004,609	1,660,548
2014-01-08	$35.76	$30.00	27.1%	7.2%	16.7%	80.2%	24.7%	1.2%	-1.8%	103.4M	-1.54B	-16.7M	0.50	5.77	N/A	N/A	169,082	85,293	2,009,799	1,662,308
2014-01-09	$35.53	$30.00	26.4%	7.1%	16.1%	76.8%	25.9%	1.1%	-1.7%	102.4M	-1.38B	-16.9M	0.59	6.01	N/A	N/A	74,705	44,322	2,082,471	1,678,382
2014-01-10	$36.04	$30.00	25.1%	7.0%	16.9%	70.3%	26.1%	0.6%	-1.2%	129.4M	-1.92B	-17.1M	0.79	2.72	N/A	N/A	99,418	78,070	2,100,697	1,693,549
2014-01-13	$34.98	$32.00	27.1%	7.1%	19.3%	80.3%	25.7%	0.5%	-1.5%	80.6M	-844.3M	-16.5M	0.89	8.22	N/A	N/A	110,997	98,630	2,090,238	1,707,069
2014-01-14	$35.78	$30.00	26.2%	7.2%	20.9%	76.0%	25.8%	0.5%	-1.9%	100.6M	-1.64B	-17.0M	0.71	4.69	N/A	N/A	97,109	69,012	2,125,315	1,754,996
2014-01-15	$36.76	$32.00	26.9%	7.0%	23.1%	79.6%	25.0%	0.6%	-2.4%	143.7M	-2.63B	-16.9M	0.32	6.67	N/A	N/A	138,507	44,511	2,109,629	1,750,656
2014-01-16	$36.89	$32.00	29.1%	7.1%	22.8%	90.4%	25.3%	1.8%	-1.8%	178.8M	-2.67B	-17.2M	0.99	4.28	N/A	N/A	112,852	112,082	2,113,164	1,764,348
2014-01-17	$36.38	$32.00	29.0%	7.1%	23.4%	90.0%	26.6%	1.8%	-1.3%	71.9M	-2.30B	-17.5M	0.61	7.97	N/A	N/A	122,453	74,619	2,152,680	1,821,461
2014-01-21	$36.17	$32.00	28.1%	7.1%	23.2%	85.3%	25.3%	2.8%	-3.2%	63.1M	-1.26B	-16.8M	1.16	4.08	N/A	N/A	58,268	67,434	1,440,483	940,999
2014-01-22	$35.93	$32.00	28.4%	7.2%	22.6%	86.9%	25.5%	3.1%	-3.1%	57.8M	-1.12B	-17.0M	0.76	9.55	N/A	N/A	97,923	74,129	1,466,943	988,119
2014-01-23	$36.06	$32.00	27.7%	7.0%	22.7%	83.2%	25.1%	2.8%	-1.0%	62.3M	-1.19B	-17.0M	0.89	13.18	N/A	N/A	171,754	152,474	1,488,565	1,016,007
2014-01-24	$36.81	$32.00	23.3%	7.1%	23.5%	61.4%	25.0%	2.4%	0.1%	82.4M	-1.73B	-17.5M	0.68	10.01	N/A	N/A	273,911	186,330	1,565,776	1,108,160
2014-01-27	$36.03	$32.00	23.8%	7.1%	24.3%	63.7%	24.8%	3.0%	-0.5%	65.6M	-1.16B	-17.3M	0.58	8.42	N/A	N/A	85,243	49,186	1,572,020	1,091,417
2014-01-28	$36.27	$32.00	22.7%	7.2%	24.4%	58.3%	25.5%	2.4%	-0.0%	74.3M	-1.30B	-17.6M	0.68	5.87	N/A	N/A	48,030	32,847	1,602,783	1,102,340
2014-01-29	$36.66	$32.00	23.9%	7.2%	24.8%	64.3%	24.5%	3.0%	-0.5%	90.7M	-1.58B	-17.7M	0.85	5.66	N/A	N/A	52,161	44,155	1,609,315	1,113,395
2014-01-30	$36.86	$32.00	23.8%	7.2%	24.9%	63.7%	24.4%	3.1%	-0.0%	100.8M	-1.69B	-17.9M	0.61	3.92	N/A	N/A	74,073	45,254	1,611,997	1,126,709
2014-01-31	$37.84	$32.00	22.8%	7.2%	26.5%	58.6%	25.1%	2.5%	-0.4%	100.8M	-2.42B	-18.1M	0.54	5.38	N/A	N/A	217,058	118,142	1,630,448	1,139,628