MSFT Options History — November 2014

In November 2014, MSFT traded between $47.43 and $49.58. ATM implied volatility averaged 16.4%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 2.3% (HV 20d: 18.7%). Max pain ranged from $43.00 to $47.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.70.

Notable Days

  • 2014-11-17: Highest Volume — 1,370,466 contracts
  • 2014-11-17: Largest IV spike — 16.5% change
  • 2014-11-17: Highest IV Rank — 27.9%
  • 2014-11-03: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.39$47.43$49.58$47.43$47.81
Max Pain$45.11$43.00$47.00$46.00$43.00
ATM IV16.4%15.3%17.8%16.8%16.1%
Expected Move5.6%5.3%5.7%5.7%5.7%
HV 20d18.7%14.7%28.1%28.1%14.7%
HV 60d19.6%19.3%20.1%19.4%19.9%
IV Rank18.8%11.8%27.9%21.7%17.2%
IV Percentile22.5%16.7%36.1%21.8%22.6%
Term Structure0.0%-1.0%1.0%0.1%0.4%
VWIV20.9%19.0%29.2%20.3%20.2%
Skew 25d1.5%0.4%3.0%2.1%0.4%
Skew 10d3.5%0.8%7.2%4.9%0.8%
Call IV 25d16.2%15.0%18.4%15.9%16.4%
Put IV 25d17.7%16.7%19.0%18.0%16.8%
Bid-Ask Spread %9.485.4912.9610.105.49
Gamma HHI0.150.120.230.120.16
Net GEX73.5M41.7M86.4M80.7M73.6M
Net DEX-2.85B-4.07B-1.66B-3.00B-1.81B
Net VEX-11.3M-11.9M-10.3M-11.8M-11.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.061.740.890.54
Total Volume178,662.68435,6241,370,46684,07835,624
Total OI2,166,459.3161,926,7332,303,5152,174,4762,043,771

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$47.43$46.0016.8%5.7%28.1%21.7%20.3%2.1%0.1%80.7M-3.00B-11.8M0.8910.10N/AN/A44,46739,6111,107,3261,067,150
2014-11-04$47.60$46.0017.2%5.7%27.7%24.0%19.9%2.6%-0.0%81.6M-3.13B-11.6M0.6612.96N/AN/A47,98531,7971,118,2741,075,953
2014-11-05$47.86$46.0016.8%5.6%26.0%21.3%20.0%3.0%0.1%80.6M-3.24B-11.6M1.139.48N/AN/A27,72331,3611,124,1021,081,015
2014-11-06$48.67$46.0016.5%5.5%25.2%19.9%21.0%2.6%-0.1%83.9M-3.71B-10.8M1.747.86N/AN/A78,337136,3281,127,1621,087,351
2014-11-07$48.66$47.0016.4%5.5%19.4%19.1%22.7%2.1%-0.1%79.4M-3.56B-11.4M1.0911.76N/AN/A54,84859,5701,133,2831,117,547
2014-11-10$48.85$47.0015.9%5.5%18.7%16.0%20.0%1.5%-0.1%76.5M-3.61B-11.0M0.6111.51N/AN/A62,71138,4361,122,7481,111,098
2014-11-11$48.80$47.0015.8%5.5%18.8%15.4%19.4%1.6%0.1%76.0M-3.61B-10.8M0.9810.95N/AN/A36,33635,5091,121,9691,109,363
2014-11-12$48.82$47.0015.4%5.5%17.6%12.7%19.4%2.2%0.2%77.9M-3.54B-11.3M0.649.05N/AN/A36,17323,3211,141,7581,130,253
2014-11-13$49.55$47.0015.3%5.3%16.2%12.3%19.0%1.7%-0.3%81.4M-4.06B-10.3M0.5812.24N/AN/A72,98742,3331,152,1011,133,086
2014-11-14$49.58$47.0015.3%5.3%15.5%11.8%19.0%2.0%-0.3%83.2M-4.07B-10.3M0.2712.41N/AN/A90,45924,7691,162,9201,140,595
2014-11-17$49.42$47.0017.8%5.6%15.8%27.9%27.2%0.6%-1.0%81.8M-3.80B-11.1M0.0610.79N/AN/A1,288,00082,4661,157,2691,128,049
2014-11-18$48.77$43.0017.4%5.6%16.5%25.4%29.2%1.3%-0.4%86.4M-2.21B-11.4M0.366.38N/AN/A206,66774,039928,1331,161,436
2014-11-19$48.22$43.0017.4%5.6%16.5%25.5%19.9%1.0%-0.1%62.6M-1.88B-11.6M0.517.67N/AN/A74,22838,188937,6311,190,317
2014-11-20$48.60$43.0016.5%5.5%16.2%19.7%19.7%1.1%-0.2%80.7M-2.08B-11.4M0.586.22N/AN/A73,41242,394956,2051,186,025
2014-11-21$47.91$43.0016.5%5.6%15.7%19.6%19.6%0.9%0.4%41.7M-1.79B-11.4M0.718.39N/AN/A109,96678,510985,2731,192,032
2014-11-24$47.59$43.0016.4%5.6%15.9%18.7%20.2%1.1%0.4%55.5M-1.70B-11.4M0.6910.60N/AN/A72,60950,191908,7761,017,957
2014-11-25$47.50$43.0015.8%5.7%15.4%14.9%19.9%1.1%0.2%53.3M-1.66B-11.7M0.727.95N/AN/A48,56434,789951,9191,040,711
2014-11-26$47.75$43.0015.7%5.6%15.5%14.8%20.2%0.5%1.0%59.6M-1.74B-11.8M0.498.34N/AN/A46,94522,938957,5501,054,619
2014-11-28$47.81$43.0016.1%5.7%14.7%17.2%20.2%0.4%0.4%73.6M-1.81B-11.9M0.545.49N/AN/A23,14912,475985,1711,058,600