MSFT Options History — February 2014 In February 2014, MSFT traded between $35.82 and $38.31. ATM implied volatility averaged 19.5%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 4.7% (HV 20d: 24.2%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.71.
Notable Days 2014-02-14 : Highest Volume — 557,956 contracts2014-02-07 : Largest IV drop — 10.4% change2014-02-03 : Highest IV Rank — 72.4%2014-02-05 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $37.24 $35.82 $38.31 $36.48 $38.31 Max Pain $32.79 $32.00 $35.00 $32.00 $32.00 ATM IV 19.5% 17.5% 25.5% 25.5% 17.7% Expected Move 7.0% 6.7% 7.4% 7.4% 6.7% HV 20d 24.2% 19.8% 29.6% 29.6% 20.1% HV 60d 21.5% 20.9% 23.4% 23.4% 21.0% IV Rank 42.3% 32.1% 72.4% 72.4% 33.0% IV Percentile 28.9% 11.1% 80.2% 80.2% 13.1% Term Structure 0.2% -0.4% 0.9% -0.1% 0.3% VWIV 24.6% 23.2% 27.0% 26.4% 24.1% Skew 25d 2.2% 1.4% 3.4% 3.2% 1.8% Skew 10d 4.5% 2.9% 6.3% 5.6% 4.2% Call IV 25d 18.9% 16.9% 24.3% 24.3% 17.2% Put IV 25d 21.1% 18.7% 27.5% 27.5% 19.0% Bid-Ask Spread % 5.49 3.41 9.24 7.35 4.39 Gamma HHI 0.19 0.12 0.62 0.12 0.16 Net GEX 111.4M 44.1M 417.3M 71.8M 110.3M Net DEX -1.78B -2.39B -867.5M -1.42B -2.36B Net VEX -17.4M -18.2M -16.7M -17.9M -17.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.10 1.93 1.15 0.46 Total Volume 143,945.526 50,505 557,956 168,004 156,920 Total OI 2,780,089.105 2,476,662 2,996,063 2,757,102 2,559,177
Daily Data (19 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 2014-02-03 $36.48 $32.00 25.5% 7.4% 29.6% 72.4% 26.4% 3.2% -0.1% 71.8M -1.42B -17.9M 1.15 7.35 N/A N/A 78,040 89,964 1,629,376 1,127,726 2014-02-04 $36.35 $32.00 22.9% 7.3% 28.6% 59.3% 25.7% 2.9% 0.3% 63.0M -1.23B -18.1M 0.76 8.27 N/A N/A 103,277 78,887 1,642,034 1,165,268 2014-02-05 $35.82 $32.00 23.8% 7.4% 28.9% 63.6% 27.0% 3.4% -0.4% 44.1M -867.5M -18.2M 0.94 9.24 N/A N/A 62,085 58,060 1,683,032 1,184,228 2014-02-06 $36.18 $32.00 22.2% 7.3% 28.4% 55.8% 25.9% 3.0% 0.1% 55.2M -1.11B -18.2M 1.06 3.91 N/A N/A 67,136 70,931 1,684,719 1,197,713 2014-02-07 $36.56 $32.00 19.9% 7.1% 28.5% 44.2% 24.0% 2.5% 0.6% 64.7M -1.40B -17.6M 0.69 8.04 N/A N/A 63,989 44,072 1,708,082 1,238,259 2014-02-10 $36.80 $32.00 20.2% 7.1% 28.2% 45.9% 24.4% 1.8% -0.2% 75.6M -1.54B -17.4M 0.94 4.40 N/A N/A 36,365 34,279 1,668,260 1,212,863 2014-02-11 $37.17 $32.00 20.0% 7.1% 25.8% 44.5% 24.9% 2.0% -0.2% 93.0M -1.83B -17.4M 0.49 5.82 N/A N/A 61,958 30,094 1,669,537 1,225,958 2014-02-12 $37.47 $32.00 19.4% 7.1% 24.9% 41.5% 25.0% 2.1% 0.5% 107.7M -2.05B -17.4M 0.26 3.41 N/A N/A 140,675 36,019 1,674,256 1,228,736 2014-02-13 $37.61 $32.00 18.9% 7.0% 23.1% 39.2% 23.9% 1.9% -0.2% 121.9M -2.35B -17.5M 0.11 4.90 N/A N/A 189,804 20,104 1,733,178 1,241,475 2014-02-14 $37.62 $32.00 18.5% 7.0% 23.1% 37.0% 24.2% 1.9% -0.1% 120.2M -2.39B -17.4M 0.10 5.29 N/A N/A 508,203 49,753 1,754,884 1,241,179 2014-02-18 $37.42 $35.00 18.4% 7.0% 22.6% 36.7% 24.8% 2.1% 0.3% 105.1M -1.70B -17.3M 1.93 5.10 N/A N/A 32,311 62,487 1,576,205 1,229,044 2014-02-19 $37.51 $35.00 17.9% 6.9% 22.4% 34.2% 24.5% 1.7% 0.8% 113.7M -1.77B -16.9M 0.87 5.19 N/A N/A 60,531 52,850 1,585,253 1,253,453 2014-02-20 $37.75 $35.00 17.5% 6.9% 22.2% 32.1% 24.1% 1.7% 0.9% 159.8M -1.98B -16.7M 0.29 5.52 N/A N/A 70,927 20,857 1,609,651 1,228,340 2014-02-21 $37.98 $35.00 17.7% 6.8% 22.3% 32.9% 24.2% 1.4% 0.6% 417.3M -2.21B -17.1M 0.41 4.85 N/A N/A 119,944 48,698 1,628,190 1,228,227 2014-02-24 $37.69 $35.00 17.5% 6.8% 21.5% 32.1% 23.9% 2.1% 0.3% 98.1M -1.96B -16.9M 0.83 4.98 N/A N/A 51,151 42,428 1,481,454 995,208 2014-02-25 $37.54 $32.00 17.6% 6.7% 19.9% 32.6% 23.2% 2.0% 0.4% 93.9M -1.84B -17.0M 0.56 4.35 N/A N/A 37,664 21,070 1,481,134 1,009,391 2014-02-26 $37.47 $32.00 18.1% 6.7% 19.8% 35.0% 24.0% 2.0% 0.3% 93.7M -1.80B -16.8M 0.70 4.71 N/A N/A 48,687 34,240 1,490,050 1,016,608 2014-02-27 $37.86 $32.00 17.6% 6.7% 19.8% 32.5% 23.3% 2.0% 0.4% 107.9M -2.07B -16.9M 1.01 4.64 N/A N/A 25,083 25,422 1,506,959 1,032,586 2014-02-28 $38.31 $32.00 17.7% 6.7% 20.1% 33.0% 24.1% 1.8% 0.3% 110.3M -2.36B -17.1M 0.46 4.39 N/A N/A 107,250 49,670 1,513,016 1,046,161
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