MSFT Options History — April 2014 In April 2014, MSFT traded between $39.18 and $41.42. ATM implied volatility averaged 24.4%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.0% (HV 20d: 23.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.73.
Notable Days 2014-04-24 : Highest Volume — 261,111 contracts2014-04-25 : Largest IV drop — 21.0% change2014-04-11 : Highest IV Rank — 80.1%2014-04-10 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $40.13 $39.18 $41.42 $41.42 $40.40 Max Pain $35.00 $35.00 $35.00 $35.00 $35.00 ATM IV 24.4% 18.5% 28.0% 24.6% 18.5% Expected Move 6.4% 6.3% 6.5% 6.3% 6.4% HV 20d 23.4% 20.6% 27.2% 22.2% 20.6% HV 60d 21.6% 19.2% 22.7% 22.6% 19.2% IV Rank 56.9% 17.3% 80.1% 61.6% 17.3% IV Percentile 68.6% 13.9% 96.4% 74.6% 13.9% Term Structure -0.8% -1.7% 0.1% -0.9% 0.1% VWIV 23.0% 21.8% 24.9% 22.6% 21.9% Skew 25d 2.6% 1.9% 3.3% 2.4% 2.0% Skew 10d 5.1% 3.0% 7.1% 6.7% 3.8% Call IV 25d 23.5% 18.0% 27.0% 23.7% 18.0% Put IV 25d 26.0% 20.0% 30.0% 26.0% 20.0% Bid-Ask Spread % 6.51 4.55 8.63 5.89 8.62 Gamma HHI 0.21 0.14 0.62 0.14 0.20 Net GEX 109.0M 68.8M 227.8M 118.1M 102.5M Net DEX -2.81B -3.94B -2.13B -3.94B -2.53B Net VEX -16.2M -17.0M -15.3M -16.4M -15.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.36 1.35 0.36 0.68 Total Volume 126,367.333 57,530 261,111 146,262 121,697 Total OI 2,581,089.476 2,197,722 2,785,892 2,684,419 2,387,813
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 2014-04-01 $41.42 $35.00 24.6% 6.3% 22.2% 61.6% 22.6% 2.4% -0.9% 118.1M -3.94B -16.4M 0.36 5.89 N/A N/A 107,727 38,535 1,615,240 1,069,179 2014-04-02 $41.35 $35.00 25.0% 6.4% 21.9% 64.2% 22.9% 2.5% -1.0% 120.0M -3.91B -16.4M 0.83 6.17 N/A N/A 41,629 34,613 1,633,220 1,079,212 2014-04-03 $41.01 $35.00 24.9% 6.3% 22.3% 63.8% 24.9% 2.2% -1.4% 116.6M -3.64B -16.8M 0.70 5.73 N/A N/A 57,323 40,108 1,640,334 1,093,858 2014-04-04 $39.87 $35.00 26.3% 6.4% 24.8% 71.9% 23.2% 2.5% -1.6% 106.3M -2.82B -16.8M 0.77 5.70 N/A N/A 105,390 81,044 1,648,406 1,107,768 2014-04-07 $39.80 $35.00 26.9% 6.4% 24.8% 73.4% 23.4% 2.5% -0.3% 108.0M -2.81B -17.0M 0.86 7.18 N/A N/A 49,265 42,186 1,631,950 1,065,722 2014-04-08 $39.82 $35.00 26.4% 6.4% 24.8% 69.5% 23.4% 2.9% -0.8% 110.3M -2.81B -16.9M 1.03 6.13 N/A N/A 42,755 43,842 1,643,034 1,077,288 2014-04-09 $40.47 $35.00 26.2% 6.5% 25.2% 68.3% 24.1% 2.4% -0.5% 123.1M -3.27B -16.8M 0.46 5.50 N/A N/A 83,619 38,394 1,646,811 1,088,186 2014-04-10 $39.36 $35.00 27.3% 6.5% 27.2% 75.5% 23.4% 2.6% -0.7% 99.1M -2.52B -17.0M 0.67 4.93 N/A N/A 83,179 55,657 1,668,714 1,095,687 2014-04-11 $39.21 $35.00 28.0% 6.5% 27.1% 80.1% 23.6% 3.0% -0.6% 101.0M -2.45B -16.9M 0.90 5.67 N/A N/A 61,502 55,211 1,685,979 1,099,913 2014-04-14 $39.18 $35.00 27.6% 6.5% 27.0% 77.4% 22.9% 2.8% -0.7% 96.1M -2.40B -16.6M 0.50 4.55 N/A N/A 58,889 29,508 1,663,947 1,088,800 2014-04-15 $39.75 $35.00 26.9% 6.5% 23.7% 72.5% 22.1% 2.9% -0.5% 110.0M -2.86B -16.5M 0.50 8.63 N/A N/A 110,510 54,939 1,678,185 1,095,971 2014-04-16 $40.40 $35.00 25.3% 6.4% 24.2% 62.4% 22.6% 2.5% -1.1% 126.7M -3.25B -16.2M 0.58 5.97 N/A N/A 57,668 33,643 1,646,398 1,100,629 2014-04-17 $40.01 $35.00 24.4% 6.4% 22.6% 55.9% 23.8% 2.8% -0.6% 227.8M -3.00B -16.1M 0.60 7.57 N/A N/A 90,820 54,214 1,651,832 1,109,895 2014-04-21 $39.94 $35.00 23.9% 6.3% 22.6% 52.7% 22.5% 2.9% -1.7% 72.5M -2.31B -15.4M 1.09 7.88 N/A N/A 45,927 50,061 1,346,648 851,074 2014-04-22 $39.99 $35.00 23.3% 6.3% 22.3% 49.1% 22.4% 3.3% -1.0% 74.9M -2.31B -15.5M 0.97 6.29 N/A N/A 29,216 28,314 1,370,948 881,789 2014-04-23 $39.69 $35.00 23.7% 6.3% 22.4% 51.6% 22.6% 2.9% -1.0% 68.8M -2.13B -15.3M 0.85 6.49 N/A N/A 40,327 34,212 1,376,292 901,017 2014-04-24 $39.86 $35.00 24.8% 6.3% 22.0% 58.8% 22.6% 2.8% -1.3% 71.7M -2.23B -15.6M 0.60 8.15 N/A N/A 163,652 97,459 1,392,766 912,996 2014-04-25 $39.91 $35.00 19.6% 6.3% 21.6% 24.3% 22.6% 2.5% -0.5% 131.7M -2.29B -15.5M 0.57 6.86 N/A N/A 126,806 72,683 1,463,616 962,313 2014-04-28 $40.87 $35.00 19.4% 6.4% 21.6% 23.1% 21.8% 1.9% -0.2% 102.8M -2.85B -15.6M 0.38 6.72 N/A N/A 126,576 48,498 1,424,350 919,493 2014-04-29 $40.51 $35.00 19.1% 6.4% 21.0% 21.4% 22.9% 1.9% 0.0% 101.8M -2.63B -15.6M 1.35 6.12 N/A N/A 49,377 66,739 1,449,134 936,472 2014-04-30 $40.40 $35.00 18.5% 6.4% 20.6% 17.3% 21.9% 2.0% 0.1% 102.5M -2.53B -15.4M 0.68 8.62 N/A N/A 72,510 49,187 1,453,721 934,092
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