MSFT Options History — June 2014 In June 2014, MSFT traded between $40.29 and $42.25. ATM implied volatility averaged 16.0%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.6% (HV 20d: 14.5%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.67.
Notable Days 2014-06-13 : Highest Volume — 187,989 contracts2014-06-23 : Largest IV spike — 16.1% change2014-06-30 : Highest IV Rank — 39.0%2014-06-03 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $41.36 $40.29 $42.25 $40.79 $41.70 Max Pain $37.50 $35.00 $45.00 $35.00 $45.00 ATM IV 16.0% 14.3% 20.7% 14.8% 20.7% Expected Move 6.1% 5.7% 6.3% 6.3% 5.9% HV 20d 14.5% 13.6% 15.5% 13.7% 14.7% HV 60d 18.1% 16.2% 19.9% 19.3% 16.6% IV Rank 11.3% 0.7% 39.0% 3.9% 39.0% IV Percentile 12.0% 0.8% 44.4% 2.8% 44.4% Term Structure 1.2% -1.0% 6.2% 0.2% -0.7% VWIV 21.9% 19.9% 24.6% 22.8% 21.1% Skew 25d 1.7% 1.2% 2.3% 1.3% 2.1% Skew 10d 4.0% 2.8% 6.4% 3.6% 2.9% Call IV 25d 15.7% 13.5% 20.0% 14.7% 20.0% Put IV 25d 17.4% 14.9% 22.0% 16.0% 22.0% Bid-Ask Spread % 6.18 4.31 9.10 6.33 5.24 Gamma HHI 0.18 0.16 0.20 0.18 0.19 Net GEX 104.4M 83.8M 154.9M 96.3M 101.3M Net DEX -2.70B -3.18B -2.02B -2.36B -2.78B Net VEX -14.5M -15.6M -13.9M -15.3M -14.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.34 1.10 0.70 0.49 Total Volume 106,877.857 39,164 187,989 84,993 172,378 Total OI 2,421,330.905 2,318,700 2,525,365 2,322,076 2,404,232
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 2014-06-02 $40.79 $35.00 14.8% 6.3% 13.7% 3.9% 22.8% 1.3% 0.2% 96.3M -2.36B -15.3M 0.70 6.33 N/A N/A 50,045 34,948 1,316,938 1,005,138 2014-06-03 $40.29 $35.00 15.0% 6.3% 14.3% 5.0% 23.0% 1.5% 0.0% 88.8M -2.02B -15.5M 0.69 6.96 N/A N/A 46,111 31,893 1,329,279 1,025,037 2014-06-04 $40.32 $35.00 15.0% 6.3% 13.7% 4.8% 23.1% 1.7% 0.1% 95.5M -2.04B -15.6M 0.77 6.55 N/A N/A 46,199 35,760 1,348,525 1,035,232 2014-06-05 $41.21 $35.00 14.7% 6.2% 15.3% 3.2% 22.4% 1.4% 0.3% 111.2M -2.73B -15.0M 0.51 7.01 N/A N/A 80,903 41,402 1,352,053 1,042,150 2014-06-06 $41.48 $35.00 14.3% 6.2% 15.4% 0.7% 22.0% 1.6% 0.1% 154.9M -2.92B -14.8M 0.65 7.36 N/A N/A 89,732 57,893 1,365,230 1,066,008 2014-06-09 $41.27 $35.00 14.5% 6.2% 15.5% 1.9% 24.6% 1.2% 0.7% 95.5M -2.66B -14.8M 0.97 7.78 N/A N/A 58,356 56,760 1,342,879 1,055,621 2014-06-10 $41.11 $35.00 14.6% 6.2% 15.3% 2.8% 21.9% 1.4% 0.2% 94.1M -2.56B -14.5M 1.10 6.12 N/A N/A 19,000 20,882 1,348,897 1,048,167 2014-06-11 $40.86 $35.00 14.5% 6.3% 15.0% 2.1% 21.9% 1.5% 0.1% 88.1M -2.34B -14.6M 0.94 6.07 N/A N/A 20,221 18,943 1,350,651 1,060,098 2014-06-12 $40.58 $35.00 14.7% 6.3% 15.2% 3.4% 21.8% 2.3% -0.1% 83.8M -2.14B -14.5M 0.83 5.89 N/A N/A 66,433 55,459 1,354,814 1,059,354 2014-06-13 $41.23 $35.00 15.2% 6.2% 14.8% 6.2% 23.0% 1.6% 0.2% 101.0M -2.70B -14.4M 0.34 6.05 N/A N/A 140,472 47,517 1,365,171 1,078,177 2014-06-16 $41.50 $35.00 15.8% 6.2% 14.8% 9.8% 22.5% 1.4% 4.3% 113.9M -2.90B -14.4M 0.37 4.98 N/A N/A 78,370 29,197 1,393,009 1,044,926 2014-06-17 $41.68 $35.00 14.9% 6.2% 14.8% 4.5% 21.9% 1.8% 5.6% 118.2M -3.03B -14.2M 0.41 4.38 N/A N/A 86,694 35,253 1,406,328 1,060,518 2014-06-18 $41.65 $35.00 14.8% 6.2% 14.7% 3.7% 21.7% 1.5% 5.9% 123.2M -3.01B -14.2M 0.62 4.31 N/A N/A 76,203 47,216 1,417,129 1,064,200 2014-06-19 $41.51 $35.00 14.3% 6.1% 13.8% 1.1% 21.0% 1.5% 5.9% 108.7M -2.86B -14.2M 0.63 7.39 N/A N/A 50,360 31,487 1,420,006 1,083,280 2014-06-20 $41.68 $35.00 14.8% 6.1% 13.6% 4.2% 22.5% 1.4% 6.2% 111.1M -3.04B -14.1M 0.54 6.60 N/A N/A 81,267 43,643 1,433,426 1,091,939 2014-06-23 $41.99 $0.00 17.2% 5.7% 13.7% 18.4% 20.0% 1.8% -0.7% 102.2M -2.95B -13.9M 0.88 5.71 N/A N/A 83,829 73,429 1,333,522 985,178 2014-06-24 $41.75 $45.00 18.6% 5.7% 14.0% 26.5% 19.9% 1.4% -0.4% 97.9M -2.74B -14.2M 0.63 4.83 N/A N/A 41,831 26,517 1,375,964 1,031,560 2014-06-25 $42.03 $45.00 19.0% 5.7% 13.9% 28.9% 20.2% 2.3% -0.8% 104.4M -2.97B -14.1M 0.47 6.01 N/A N/A 46,327 21,951 1,384,174 1,042,550 2014-06-26 $41.72 $45.00 19.9% 5.8% 14.1% 34.4% 21.0% 2.1% -0.4% 96.4M -2.76B -14.2M 0.92 5.22 N/A N/A 53,659 49,596 1,393,380 1,047,726 2014-06-27 $42.25 $45.00 19.6% 5.7% 13.9% 32.1% 21.3% 2.2% -1.0% 106.8M -3.18B -14.1M 0.52 9.10 N/A N/A 63,369 32,930 1,414,787 1,070,696 2014-06-30 $41.70 $45.00 20.7% 5.9% 14.7% 39.0% 21.1% 2.1% -0.7% 101.3M -2.78B -14.1M 0.49 5.24 N/A N/A 115,537 56,841 1,388,259 1,015,973
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