MSFT Options History — May 2014 In May 2014, MSFT traded between $39.06 and $40.94. ATM implied volatility averaged 16.0%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.2% (HV 20d: 16.2%). 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 16 of 21 days. Put/call ratio averaged 0.78.
Notable Days 2014-05-12 : Highest Volume — 788,825 contracts2014-05-16 : Largest IV drop — 5.9% change2014-05-01 : Highest IV Rank — 14.6%2014-05-02 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $39.92 $39.06 $40.94 $40.00 $40.94 Max Pain $35.00 $35.00 $35.00 $35.00 $35.00 ATM IV 16.0% 14.1% 18.1% 18.1% 14.6% Expected Move 6.3% 6.2% 6.4% 6.3% 6.3% HV 20d 16.2% 13.2% 20.8% 20.8% 14.0% HV 60d 19.4% 19.1% 19.8% 19.3% 19.3% IV Rank 4.9% 0.0% 14.6% 14.6% 2.7% IV Percentile 2.2% 0.0% 9.1% 9.1% 2.0% Term Structure 0.2% -0.4% 1.2% 0.2% 0.2% VWIV 22.4% 20.9% 23.6% 22.7% 21.6% Skew 25d 1.7% 1.1% 2.2% 1.9% 1.1% Skew 10d 3.5% 2.6% 4.4% 3.6% 3.4% Call IV 25d 15.4% 13.5% 17.6% 17.6% 14.5% Put IV 25d 17.1% 15.1% 19.4% 19.4% 15.6% Bid-Ask Spread % 6.46 4.93 8.54 6.56 8.54 Gamma HHI 0.22 0.17 0.35 0.24 0.17 Net GEX 87.6M 59.1M 119.5M 94.1M 87.4M Net DEX -1.96B -2.45B -1.44B -2.28B -2.45B Net VEX -15.6M -16.3M -15.2M -15.8M -15.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.12 1.63 1.14 0.39 Total Volume 130,972.048 54,210 788,825 69,605 141,999 Total OI 2,380,350.048 2,148,474 2,580,283 2,424,589 2,336,546
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 2014-05-01 $40.00 $35.00 18.1% 6.3% 20.8% 14.6% 22.7% 1.9% 0.2% 94.1M -2.28B -15.8M 1.14 6.56 N/A N/A 32,564 37,041 1,476,114 948,475 2014-05-02 $39.69 $35.00 17.8% 6.4% 20.8% 12.5% 22.5% 2.2% 0.1% 78.4M -2.06B -15.6M 0.76 6.79 N/A N/A 63,159 47,845 1,481,404 961,930 2014-05-05 $39.43 $35.00 17.8% 6.3% 18.4% 12.2% 23.2% 2.1% 0.0% 71.8M -1.92B -15.3M 0.69 5.59 N/A N/A 46,974 32,443 1,461,913 936,707 2014-05-06 $39.06 $35.00 18.0% 6.3% 18.7% 13.8% 23.6% 2.0% 0.1% 59.1M -1.70B -15.2M 0.99 7.55 N/A N/A 52,914 52,406 1,472,635 954,046 2014-05-07 $39.42 $35.00 17.7% 6.3% 19.0% 11.6% 23.5% 2.1% -0.1% 67.0M -1.86B -15.5M 0.14 6.88 N/A N/A 334,482 46,690 1,489,084 981,957 2014-05-08 $39.64 $35.00 17.3% 6.3% 18.1% 9.1% 22.4% 1.7% 0.1% 87.0M -2.19B -16.3M 0.53 5.92 N/A N/A 57,351 30,405 1,568,382 1,002,640 2014-05-09 $39.54 $35.00 16.9% 6.3% 15.1% 6.4% 22.7% 1.7% 0.1% 74.4M -2.11B -16.0M 0.58 5.61 N/A N/A 50,632 29,543 1,569,073 1,011,210 2014-05-12 $39.97 $35.00 16.3% 6.3% 15.5% 2.7% 22.2% 1.4% -0.2% 97.3M -2.37B -15.9M 0.12 5.33 N/A N/A 703,625 85,200 1,551,768 1,000,085 2014-05-13 $40.42 $35.00 16.2% 6.3% 15.9% 1.7% 22.2% 1.4% 0.2% 115.8M -2.04B -15.8M 0.61 5.59 N/A N/A 67,914 41,273 1,383,531 1,065,463 2014-05-14 $40.24 $35.00 16.3% 6.3% 15.3% 2.2% 21.7% 1.4% -0.4% 107.9M -1.90B -15.9M 1.46 7.92 N/A N/A 23,374 34,200 1,399,914 1,077,743 2014-05-15 $39.60 $35.00 16.8% 6.3% 15.2% 6.0% 22.0% 1.6% -0.4% 67.0M -1.44B -15.6M 1.26 4.93 N/A N/A 42,203 52,970 1,382,732 1,074,855 2014-05-16 $39.83 $35.00 15.8% 6.2% 15.0% 0.0% 21.8% 1.6% -0.2% 119.5M -1.56B -15.6M 0.81 6.56 N/A N/A 40,142 32,661 1,394,252 1,088,673 2014-05-19 $39.75 $35.00 15.0% 6.2% 15.0% 0.0% 21.8% 1.8% 1.2% 77.2M -1.69B -15.3M 0.53 5.91 N/A N/A 52,128 27,490 1,227,247 921,227 2014-05-20 $39.68 $35.00 14.5% 6.2% 15.0% 0.0% 21.7% 2.0% 1.1% 81.1M -1.69B -15.4M 0.82 5.77 N/A N/A 39,186 32,226 1,253,828 937,104 2014-05-21 $40.35 $35.00 14.4% 6.2% 15.9% 0.0% 22.4% 1.7% 0.1% 96.9M -2.11B -15.5M 0.55 6.04 N/A N/A 57,425 31,445 1,272,968 948,198 2014-05-22 $40.10 $35.00 14.3% 6.2% 16.1% 0.0% 22.4% 1.4% 0.4% 92.1M -1.94B -15.6M 1.06 6.11 N/A N/A 26,321 27,889 1,283,163 963,548 2014-05-23 $40.12 $35.00 14.1% 6.2% 16.0% 0.0% 23.0% 1.6% 0.9% 93.0M -1.97B -15.6M 0.77 6.97 N/A N/A 37,347 28,877 1,288,566 968,960 2014-05-27 $40.19 $35.00 14.8% 6.2% 13.5% 4.1% 22.1% 1.4% 0.0% 91.8M -1.98B -15.4M 1.63 6.15 N/A N/A 31,541 51,299 1,278,820 963,264 2014-05-28 $40.01 $35.00 14.6% 6.2% 13.2% 2.8% 23.4% 1.5% 0.2% 84.3M -1.84B -15.6M 1.06 7.28 N/A N/A 32,114 34,060 1,287,357 1,004,197 2014-05-29 $40.34 $35.00 14.2% 6.2% 13.5% 0.6% 20.9% 1.6% 0.1% 96.5M -2.06B -15.5M 0.51 7.59 N/A N/A 40,390 20,665 1,299,721 1,018,051 2014-05-30 $40.94 $35.00 14.6% 6.3% 14.0% 2.7% 21.6% 1.1% 0.2% 87.4M -2.45B -15.6M 0.39 8.54 N/A N/A 101,974 40,025 1,313,670 1,022,876
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