MSFT Options History — September 2014 In September 2014, MSFT traded between $44.96 and $47.52. ATM implied volatility averaged 16.7%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.2% (HV 20d: 12.5%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.90.
Notable Days 2014-09-19 : Highest Volume — 337,786 contracts2014-09-22 : Largest IV spike — 21.7% change2014-09-25 : Highest IV Rank — 40.4%2014-09-30 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $46.41 $44.96 $47.52 $45.09 $46.36 Max Pain $42.52 $42.00 $43.00 $42.00 $43.00 ATM IV 16.7% 14.3% 20.5% 14.6% 20.0% Expected Move 5.5% 5.3% 5.6% 5.6% 5.6% HV 20d 12.5% 10.3% 16.8% 11.2% 16.0% HV 60d 13.9% 13.3% 14.9% 13.5% 14.8% IV Rank 18.8% 5.0% 40.4% 6.8% 37.2% IV Percentile 25.3% 5.6% 57.1% 8.7% 52.8% Term Structure 0.9% -1.1% 5.3% 0.1% -0.4% VWIV 19.5% 18.6% 21.5% 20.0% 19.6% Skew 25d 1.6% 0.7% 2.8% 1.6% 2.5% Skew 10d 3.4% 1.7% 6.3% 2.5% 4.5% Call IV 25d 16.7% 14.1% 20.7% 14.6% 19.1% Put IV 25d 18.2% 15.3% 22.6% 16.2% 21.6% Bid-Ask Spread % 9.74 6.86 12.21 7.60 8.33 Gamma HHI 0.14 0.09 0.28 0.12 0.12 Net GEX 125.1M 44.6M 206.5M 137.4M 62.5M Net DEX -3.18B -4.33B -2.31B -2.59B -2.58B Net VEX -12.9M -13.8M -11.9M -13.5M -12.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.26 2.30 1.23 0.57 Total Volume 122,378.095 57,581 337,786 80,730 63,922 Total OI 2,445,423.429 2,262,743 2,624,562 2,331,093 2,279,222
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 2014-09-02 $45.09 $42.00 14.6% 5.6% 11.2% 6.8% 20.0% 1.6% 0.1% 137.4M -2.59B -13.5M 1.23 7.60 N/A N/A 36,204 44,526 1,276,878 1,054,215 2014-09-03 $44.96 $42.00 14.5% 5.5% 10.9% 6.4% 18.9% 1.2% 0.1% 126.6M -2.45B -13.8M 1.00 9.10 N/A N/A 28,854 28,727 1,285,890 1,076,205 2014-09-04 $45.26 $42.00 14.3% 5.5% 10.3% 5.0% 18.9% 1.6% 0.2% 133.9M -2.68B -13.7M 0.88 9.58 N/A N/A 40,477 35,463 1,296,300 1,089,990 2014-09-05 $45.91 $42.00 15.2% 5.5% 10.7% 9.9% 18.9% 1.0% -0.1% 206.5M -3.28B -13.2M 1.15 12.21 N/A N/A 132,353 152,003 1,308,318 1,096,662 2014-09-08 $46.47 $42.00 15.8% 5.5% 11.0% 13.2% 19.6% 0.9% 0.1% 163.9M -3.63B -13.2M 0.75 12.13 N/A N/A 125,950 94,762 1,327,415 1,137,422 2014-09-09 $46.76 $42.00 15.4% 5.5% 11.0% 11.5% 20.0% 0.7% -0.4% 159.7M -3.75B -13.3M 0.55 9.14 N/A N/A 107,803 58,750 1,348,350 1,181,440 2014-09-10 $46.84 $42.00 15.5% 5.4% 10.9% 12.0% 18.6% 1.1% -0.3% 154.7M -3.85B -13.3M 2.30 10.69 N/A N/A 45,892 105,391 1,363,565 1,208,395 2014-09-11 $47.00 $42.00 15.7% 5.5% 10.4% 12.9% 21.5% 1.6% -0.6% 144.5M -3.88B -13.4M 0.58 10.58 N/A N/A 51,277 29,821 1,366,682 1,257,880 2014-09-12 $46.70 $42.00 16.1% 5.5% 10.9% 15.3% 21.1% 1.3% -0.7% 143.6M -3.66B -13.4M 0.71 10.15 N/A N/A 59,513 42,121 1,378,588 1,237,930 2014-09-15 $46.24 $42.00 16.4% 5.6% 11.3% 16.8% 19.1% 1.1% 4.3% 141.8M -3.15B -13.5M 0.76 9.92 N/A N/A 36,637 27,676 1,346,945 1,209,458 2014-09-16 $46.76 $43.00 15.6% 5.5% 11.6% 12.5% 19.2% 1.4% 4.0% 154.2M -3.60B -12.8M 0.27 8.58 N/A N/A 94,262 25,743 1,352,818 1,218,157 2014-09-17 $46.52 $43.00 15.3% 5.4% 11.8% 10.4% 19.4% 1.3% 4.8% 170.0M -3.41B -12.9M 0.52 11.96 N/A N/A 92,850 48,474 1,376,687 1,226,004 2014-09-18 $46.68 $43.00 14.5% 5.4% 11.2% 6.1% 18.9% 1.6% 5.3% 191.4M -3.45B -12.6M 0.68 10.54 N/A N/A 64,244 43,776 1,365,912 1,221,327 2014-09-19 $47.52 $43.00 14.9% 5.3% 12.5% 8.5% 18.7% 1.2% 4.5% 175.1M -4.33B -11.9M 0.26 11.31 N/A N/A 267,572 70,214 1,380,472 1,231,885 2014-09-22 $47.06 $43.00 18.2% 5.3% 13.2% 26.9% 19.2% 1.8% -0.6% 85.3M -3.13B -12.2M 1.48 9.87 N/A N/A 45,404 67,150 1,159,552 1,107,527 2014-09-23 $46.56 $43.00 19.6% 5.3% 13.9% 35.3% 19.9% 2.1% -1.1% 52.6M -2.69B -12.4M 0.89 8.01 N/A N/A 58,664 51,990 1,142,438 1,148,128 2014-09-24 $47.08 $43.00 19.3% 5.3% 14.2% 33.2% 18.9% 2.4% -0.7% 70.2M -3.05B -12.2M 0.92 8.52 N/A N/A 32,053 29,483 1,162,468 1,165,345 2014-09-25 $46.04 $43.00 20.5% 5.6% 16.6% 40.4% 19.1% 1.6% -0.0% 47.7M -2.31B -12.8M 0.91 6.86 N/A N/A 36,410 33,284 1,166,590 1,177,420 2014-09-26 $46.41 $43.00 19.5% 5.5% 16.8% 34.4% 20.5% 2.4% -0.2% 44.6M -2.58B -12.6M 1.95 9.77 N/A N/A 32,271 62,942 1,178,012 1,182,657 2014-09-29 $46.44 $43.00 20.4% 5.5% 16.3% 39.7% 20.4% 2.8% -0.3% 61.6M -2.64B -12.2M 0.60 9.72 N/A N/A 40,647 24,385 1,136,168 1,126,575 2014-09-30 $46.36 $43.00 20.0% 5.6% 16.0% 37.2% 19.6% 2.5% -0.4% 62.5M -2.58B -12.4M 0.57 8.33 N/A N/A 40,755 23,167 1,145,348 1,133,874
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