MSFT Options History — March 2014 In March 2014, MSFT traded between $37.70 and $40.99. ATM implied volatility averaged 19.8%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 2.9% (HV 20d: 17.0%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.73.
Notable Days 2014-03-18 : Highest Volume — 424,735 contracts2014-03-24 : Largest IV spike — 17.2% change2014-03-31 : Highest IV Rank — 63.0%2014-03-03 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $38.99 $37.70 $40.99 $37.78 $40.99 Max Pain $34.43 $32.00 $35.00 $35.00 $35.00 ATM IV 19.8% 17.2% 24.8% 19.4% 24.8% Expected Move 6.6% 6.4% 6.8% 6.8% 6.4% HV 20d 17.0% 12.2% 22.9% 18.7% 22.6% HV 60d 21.1% 19.9% 22.6% 21.2% 22.6% IV Rank 38.6% 19.3% 63.0% 41.6% 63.0% IV Percentile 31.4% 6.3% 75.8% 28.6% 75.8% Term Structure 0.6% -1.6% 5.3% -0.5% -1.1% VWIV 23.7% 22.6% 25.4% 23.1% 23.2% Skew 25d 2.1% 1.4% 3.0% 2.4% 2.1% Skew 10d 4.7% 3.0% 7.1% 5.5% 4.0% Call IV 25d 19.2% 16.6% 24.0% 18.7% 23.5% Put IV 25d 21.4% 18.7% 26.1% 21.1% 25.5% Bid-Ask Spread % 5.64 4.23 8.34 4.51 6.26 Gamma HHI 0.19 0.15 0.41 0.15 0.16 Net GEX 126.4M 101.5M 198.5M 103.7M 110.9M Net DEX -2.68B -3.93B -1.91B -1.99B -3.59B Net VEX -16.6M -17.2M -16.1M -17.2M -16.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.40 1.56 1.11 0.55 Total Volume 139,060.857 33,848 424,735 74,140 262,541 Total OI 2,658,903.238 2,560,347 2,941,533 2,560,347 2,571,776
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 2014-03-03 $37.78 $35.00 19.4% 6.8% 18.7% 41.6% 23.1% 2.4% -0.5% 103.7M -1.99B -17.2M 1.11 4.51 N/A N/A 35,092 39,048 1,524,412 1,035,935 2014-03-04 $38.41 $35.00 18.0% 6.7% 13.8% 34.5% 23.7% 2.1% -0.0% 118.1M -2.39B -16.9M 0.58 5.34 N/A N/A 47,602 27,725 1,529,804 1,050,169 2014-03-05 $38.11 $35.00 18.1% 6.7% 14.1% 35.1% 25.1% 1.9% 0.0% 119.9M -2.25B -17.0M 1.11 4.37 N/A N/A 26,243 29,036 1,550,814 1,059,279 2014-03-06 $38.15 $35.00 17.9% 6.7% 12.6% 33.9% 23.8% 1.9% 0.3% 121.4M -2.24B -16.9M 0.80 5.93 N/A N/A 29,942 23,978 1,550,234 1,069,120 2014-03-07 $37.90 $35.00 17.7% 6.7% 12.8% 33.0% 24.1% 1.9% 0.4% 121.1M -2.03B -16.9M 0.48 4.23 N/A N/A 41,182 19,702 1,557,899 1,077,186 2014-03-10 $37.82 $35.00 18.2% 6.6% 12.5% 35.8% 23.3% 2.5% -0.1% 103.2M -1.98B -16.5M 0.50 4.40 N/A N/A 22,577 11,271 1,542,739 1,063,413 2014-03-11 $38.02 $35.00 17.8% 6.6% 12.4% 33.6% 24.1% 2.3% -0.4% 113.8M -2.12B -16.5M 0.58 4.93 N/A N/A 46,288 26,759 1,547,493 1,068,285 2014-03-12 $38.27 $35.00 17.2% 6.7% 12.2% 30.8% 24.6% 2.5% -0.0% 127.3M -2.31B -16.3M 1.56 5.55 N/A N/A 29,255 45,662 1,559,102 1,076,779 2014-03-13 $37.89 $32.00 18.4% 6.7% 12.6% 36.7% 25.1% 2.2% -0.6% 109.6M -2.02B -16.5M 0.70 4.82 N/A N/A 42,801 29,959 1,565,856 1,086,608 2014-03-14 $37.70 $32.00 18.6% 6.7% 12.7% 26.0% 25.4% 3.0% -1.6% 106.6M -1.91B -16.3M 0.79 5.00 N/A N/A 43,697 34,519 1,574,752 1,089,143 2014-03-17 $38.05 $32.00 17.5% 6.7% 13.1% 19.3% 23.7% 2.2% 5.3% 118.8M -2.13B -16.3M 0.74 4.98 N/A N/A 31,058 22,915 1,557,676 1,069,309 2014-03-18 $39.55 $32.00 18.8% 6.5% 18.6% 27.5% 23.5% 2.0% 4.6% 145.9M -3.19B -16.2M 0.49 8.34 N/A N/A 285,033 139,702 1,562,556 1,075,370 2014-03-19 $39.27 $35.00 17.8% 6.4% 18.9% 21.0% 23.0% 1.9% 4.2% 169.5M -3.02B -16.4M 0.60 6.89 N/A N/A 130,733 78,196 1,647,566 1,116,800 2014-03-20 $40.33 $35.00 18.8% 6.5% 20.8% 26.9% 22.7% 1.4% 4.2% 188.5M -3.93B -16.4M 0.60 6.08 N/A N/A 225,862 136,005 1,698,986 1,150,487 2014-03-21 $40.16 $35.00 19.5% 6.4% 20.9% 31.6% 22.7% 1.8% 3.8% 198.5M -3.77B -16.7M 0.74 5.83 N/A N/A 115,697 85,884 1,743,997 1,197,536 2014-03-24 $40.50 $35.00 22.9% 6.5% 20.6% 51.6% 24.2% 2.2% -1.2% 120.0M -3.36B -16.6M 0.79 5.67 N/A N/A 84,846 67,155 1,545,691 1,030,553 2014-03-25 $40.34 $35.00 23.2% 6.4% 20.6% 53.5% 22.6% 1.9% -0.8% 119.1M -3.24B -16.7M 0.40 5.05 N/A N/A 99,958 40,368 1,558,583 1,061,623 2014-03-26 $39.79 $35.00 23.8% 6.4% 21.5% 57.1% 23.1% 2.2% -0.4% 124.8M -2.86B -16.7M 0.57 6.50 N/A N/A 84,208 48,297 1,595,720 1,078,286 2014-03-27 $39.36 $35.00 24.2% 6.4% 21.8% 59.5% 22.7% 2.4% -1.1% 101.5M -2.57B -16.5M 0.98 6.57 N/A N/A 74,573 73,275 1,595,290 1,088,308 2014-03-28 $40.30 $35.00 24.1% 6.4% 22.9% 58.9% 24.0% 2.1% -1.4% 111.3M -3.33B -16.1M 0.59 7.28 N/A N/A 114,284 67,350 1,602,729 1,109,104 2014-03-31 $40.99 $35.00 24.8% 6.4% 22.6% 63.0% 23.2% 2.1% -1.1% 110.9M -3.59B -16.1M 0.55 6.26 N/A N/A 169,604 92,937 1,536,253 1,035,523
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