MSFT Options History — August 2014 In August 2014, MSFT traded between $42.74 and $45.43. ATM implied volatility averaged 16.0%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.6% (HV 20d: 14.4%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.81.
Notable Days 2014-08-18 : Highest Volume — 1,187,552 contracts2014-08-14 : Largest IV drop — 9.4% change2014-08-07 : Highest IV Rank — 36.7%2014-08-07 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $44.26 $42.74 $45.43 $42.86 $45.43 Max Pain $41.71 $41.00 $43.00 $42.00 $42.00 ATM IV 16.0% 13.4% 20.3% 19.8% 13.9% Expected Move 5.8% 5.5% 6.4% 6.1% 5.6% HV 20d 14.4% 11.1% 18.1% 17.0% 11.1% HV 60d 14.4% 13.4% 14.8% 14.6% 13.4% IV Rank 12.9% 0.0% 36.7% 33.4% 2.9% IV Percentile 13.9% 0.0% 44.8% 39.7% 2.8% Term Structure 0.3% -0.7% 0.9% -0.7% 0.7% VWIV 20.8% 18.8% 23.0% 21.3% 19.2% Skew 25d 1.3% 0.9% 1.5% 1.1% 1.4% Skew 10d 2.2% 1.4% 4.6% 1.9% 4.6% Call IV 25d 16.0% 13.1% 20.4% 20.3% 13.7% Put IV 25d 17.3% 14.5% 21.8% 21.4% 15.1% Bid-Ask Spread % 10.43 7.56 12.95 10.14 8.61 Gamma HHI 0.14 0.11 0.37 0.12 0.12 Net GEX 138.2M 89.3M 287.6M 102.0M 157.6M Net DEX -2.89B -3.97B -2.42B -2.51B -2.86B Net VEX -14.3M -15.6M -13.2M -15.1M -13.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.81 0.10 2.64 0.54 0.87 Total Volume 176,196 51,878 1,187,552 212,893 61,926 Total OI 2,679,829.238 2,227,451 3,034,118 3,020,643 2,385,751
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 2014-08-01 $42.86 $42.00 19.8% 6.1% 17.0% 33.4% 21.3% 1.1% -0.7% 102.0M -2.51B -15.1M 0.54 10.14 N/A N/A 138,019 74,874 1,889,202 1,131,441 2014-08-04 $43.37 $43.00 18.3% 6.0% 17.3% 24.9% 21.6% 1.1% 0.3% 129.6M -2.98B -15.1M 0.68 10.53 N/A N/A 37,925 25,633 1,860,177 1,065,509 2014-08-05 $43.08 $43.00 19.4% 6.2% 17.4% 31.4% 22.2% 1.5% 0.2% 113.3M -2.80B -14.9M 0.65 9.58 N/A N/A 45,905 29,852 1,862,047 1,074,364 2014-08-06 $42.74 $43.00 19.7% 6.2% 17.7% 32.8% 22.2% 0.9% 0.1% 89.3M -2.49B -15.2M 0.50 10.02 N/A N/A 72,180 36,123 1,876,002 1,086,209 2014-08-07 $43.23 $42.00 20.3% 6.4% 18.1% 36.7% 22.1% 1.4% 0.2% 123.6M -2.91B -15.6M 0.80 10.73 N/A N/A 54,468 43,366 1,902,638 1,098,469 2014-08-08 $43.20 $42.00 19.0% 6.3% 17.9% 29.0% 22.4% 1.2% 0.2% 118.4M -2.90B -15.1M 0.93 10.67 N/A N/A 53,496 49,604 1,920,195 1,113,923 2014-08-11 $43.20 $42.00 18.3% 6.2% 17.9% 24.5% 23.0% 1.4% -0.2% 117.9M -2.80B -14.7M 0.24 10.39 N/A N/A 170,129 41,074 1,881,646 1,065,464 2014-08-12 $43.52 $42.00 17.8% 6.0% 17.9% 21.8% 21.1% 1.2% 0.1% 126.6M -2.99B -14.7M 0.43 12.02 N/A N/A 48,086 20,480 1,885,094 1,084,360 2014-08-13 $44.08 $42.00 16.7% 6.0% 12.5% 15.0% 20.7% 1.1% -0.0% 172.4M -3.56B -13.5M 0.48 11.98 N/A N/A 128,034 61,052 1,885,413 1,090,607 2014-08-14 $44.27 $42.00 15.1% 5.9% 12.0% 5.7% 21.8% 1.2% -0.2% 181.1M -3.61B -14.0M 0.88 12.08 N/A N/A 79,998 70,477 1,875,228 1,097,287 2014-08-15 $44.79 $41.00 14.3% 5.7% 12.7% 1.0% 21.0% 1.4% -0.3% 287.6M -3.97B -13.9M 0.32 12.91 N/A N/A 259,610 81,939 1,872,613 1,125,682 2014-08-18 $45.11 $41.00 14.1% 5.6% 12.9% 0.0% 19.8% 1.1% 0.7% 134.1M -3.67B -13.6M 0.10 12.95 N/A N/A 1,083,367 104,185 1,467,125 963,623 2014-08-19 $45.33 $41.00 13.4% 5.6% 13.0% 0.0% 20.3% 1.5% 0.8% 139.9M -2.76B -13.2M 1.13 9.81 N/A N/A 93,467 105,930 1,223,075 1,004,376 2014-08-20 $44.95 $41.00 13.8% 5.6% 13.4% 2.0% 19.2% 1.3% 0.9% 118.9M -2.46B -13.6M 0.72 10.36 N/A N/A 88,115 63,837 1,241,665 1,045,807 2014-08-21 $45.22 $41.00 13.7% 5.6% 12.9% 1.5% 20.7% 1.4% 0.8% 148.7M -2.73B -14.2M 0.89 10.62 N/A N/A 62,389 55,753 1,329,423 1,082,841 2014-08-22 $45.15 $41.00 13.5% 5.5% 12.9% 0.2% 19.6% 1.4% 0.6% 131.9M -2.63B -14.5M 0.69 10.61 N/A N/A 71,043 49,282 1,303,521 1,101,685 2014-08-25 $45.17 $41.00 13.6% 5.5% 12.0% 1.1% 18.8% 1.1% 0.8% 135.5M -2.67B -13.7M 0.79 9.49 N/A N/A 29,017 22,861 1,262,238 1,057,791 2014-08-26 $45.01 $41.00 13.5% 5.5% 12.1% 0.3% 19.6% 1.2% 0.9% 131.4M -2.54B -13.9M 1.15 9.31 N/A N/A 26,054 29,881 1,271,496 1,064,774 2014-08-27 $44.87 $41.00 13.7% 5.6% 11.8% 1.3% 20.1% 1.2% 0.7% 122.3M -2.42B -13.9M 1.54 7.56 N/A N/A 26,489 40,916 1,281,406 1,071,235 2014-08-28 $44.88 $42.00 14.3% 5.5% 11.1% 4.8% 20.6% 1.5% 0.6% 119.3M -2.42B -14.3M 2.64 8.73 N/A N/A 17,374 45,906 1,291,419 1,083,593 2014-08-29 $45.43 $42.00 13.9% 5.6% 11.1% 2.9% 19.2% 1.4% 0.7% 157.6M -2.86B -13.8M 0.87 8.61 N/A N/A 33,080 28,846 1,293,960 1,091,791
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