MSFT Options History — December 2014 In December 2014, MSFT traded between $45.23 and $48.84. ATM implied volatility averaged 19.5%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.8% (HV 20d: 18.7%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.81.
Notable Days 2014-12-16 : Highest Volume — 142,332 contracts2014-12-16 : Largest IV spike — 13.1% change2014-12-16 : Highest IV Rank — 75.7%2014-12-16 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $47.50 $45.23 $48.84 $48.68 $46.45 Max Pain $43.00 $43.00 $43.00 $43.00 $43.00 ATM IV 19.5% 16.4% 25.3% 17.2% 23.3% Expected Move 6.2% 5.7% 7.4% 5.8% 6.5% HV 20d 18.7% 14.4% 23.5% 14.6% 22.9% HV 60d 21.1% 19.9% 22.4% 20.0% 22.3% IV Rank 38.9% 19.2% 75.7% 24.0% 62.9% IV Percentile 52.7% 25.4% 85.3% 30.2% 78.6% Term Structure 0.7% -1.2% 3.5% 0.4% -1.2% VWIV 21.9% 18.9% 25.8% 20.6% 22.5% Skew 25d 1.7% 0.4% 3.3% 0.9% 3.0% Skew 10d 3.7% 1.2% 6.1% 2.5% 6.1% Call IV 25d 19.3% 16.1% 25.1% 16.9% 22.4% Put IV 25d 21.0% 17.0% 27.8% 17.8% 25.4% Bid-Ask Spread % 7.73 4.71 11.60 7.69 7.64 Gamma HHI 0.15 0.09 0.21 0.20 0.12 Net GEX 69.0M 6.8M 119.1M 96.0M 50.3M Net DEX -1.73B -2.48B -544.6M -2.32B -1.26B Net VEX -11.6M -12.1M -10.7M -11.5M -11.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.81 0.40 1.33 0.54 0.83 Total Volume 90,482.864 44,977 142,332 94,843 70,943 Total OI 2,078,739.364 1,978,109 2,242,632 2,007,752 2,003,035
Daily Data (22 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 2014-12-01 $48.68 $43.00 17.2% 5.8% 14.6% 24.0% 20.6% 0.9% 0.4% 96.0M -2.32B -11.5M 0.54 7.69 N/A N/A 61,414 33,429 966,738 1,041,014 2014-12-02 $48.38 $43.00 17.0% 5.8% 14.4% 23.1% 20.7% 1.1% -0.0% 91.1M -2.13B -11.8M 1.19 5.62 N/A N/A 41,324 49,055 985,192 1,050,829 2014-12-03 $48.13 $43.00 16.4% 5.7% 14.5% 19.2% 20.4% 0.5% 0.9% 90.9M -2.05B -11.6M 0.59 7.10 N/A N/A 48,815 28,938 998,090 1,058,069 2014-12-04 $48.84 $43.00 16.5% 5.7% 15.3% 19.6% 20.7% 0.6% 0.5% 119.1M -2.48B -11.7M 0.44 7.68 N/A N/A 62,959 27,857 1,017,399 1,069,399 2014-12-05 $48.43 $43.00 16.5% 5.7% 14.4% 19.9% 20.8% 0.9% 0.3% 109.1M -2.20B -11.7M 0.47 5.05 N/A N/A 62,495 29,071 1,026,884 1,077,167 2014-12-08 $47.72 $43.00 17.6% 5.9% 15.3% 26.7% 20.9% 1.8% 0.1% 69.0M -1.73B -11.7M 0.67 4.71 N/A N/A 36,653 24,737 1,012,444 1,065,243 2014-12-09 $47.61 $43.00 18.2% 6.0% 15.2% 30.7% 21.4% 1.4% -0.0% 62.3M -1.67B -11.8M 1.27 5.88 N/A N/A 32,085 40,708 1,015,694 1,071,002 2014-12-10 $46.84 $43.00 19.3% 6.4% 16.1% 37.3% 22.5% 1.4% 0.9% 37.0M -1.26B -12.0M 0.76 7.93 N/A N/A 56,936 43,261 1,016,628 1,078,565 2014-12-11 $47.11 $43.00 19.6% 6.4% 16.3% 39.3% 22.6% 0.4% 1.1% 44.6M -1.43B -11.9M 0.76 8.55 N/A N/A 54,393 41,095 1,027,619 1,087,473 2014-12-12 $46.99 $43.00 22.0% 6.7% 15.1% 54.8% 23.9% 1.0% 0.3% 44.2M -1.36B -12.1M 0.82 9.17 N/A N/A 67,327 55,511 1,033,654 1,093,915 2014-12-15 $46.80 $43.00 22.4% 6.9% 15.1% 57.0% 25.3% 2.3% -0.5% 37.0M -1.30B -12.1M 0.66 10.20 N/A N/A 59,324 39,321 1,033,837 1,091,689 2014-12-16 $45.23 $43.00 25.3% 7.4% 18.7% 75.7% 25.4% 2.8% -0.2% 6.8M -544.6M -12.1M 0.54 7.57 N/A N/A 92,465 49,867 1,052,301 1,101,581 2014-12-17 $45.79 $43.00 22.9% 6.9% 19.3% 60.6% 25.8% 2.3% -0.5% 17.0M -847.4M -12.0M 1.14 11.34 N/A N/A 61,186 70,032 1,087,531 1,103,624 2014-12-18 $47.43 $43.00 21.1% 6.5% 23.3% 49.0% 23.4% 2.2% -0.1% 63.2M -1.75B -12.0M 0.77 10.89 N/A N/A 74,966 57,466 1,104,427 1,120,161 2014-12-19 $47.66 $43.00 18.7% 6.1% 23.2% 33.5% 22.0% 1.9% 1.6% 87.5M -1.94B -11.7M 0.40 11.60 N/A N/A 75,409 29,881 1,120,501 1,122,131 2014-12-22 $47.93 $43.00 18.1% 6.0% 22.8% 30.0% 20.2% 2.1% 3.3% 79.2M -2.03B -11.4M 1.33 8.62 N/A N/A 36,438 48,485 979,962 998,758 2014-12-23 $48.54 $43.00 17.6% 5.8% 23.0% 26.8% 20.0% 1.5% 3.4% 99.7M -2.37B -11.1M 0.68 8.12 N/A N/A 58,291 39,867 991,530 1,018,433 2014-12-24 $48.14 $43.00 18.0% 5.9% 23.3% 29.0% 18.9% 2.0% 2.6% 91.2M -2.17B -11.1M 1.28 5.61 N/A N/A 21,775 27,804 994,368 1,029,005 2014-12-26 $47.91 $43.00 18.9% 5.9% 23.3% 34.8% 20.3% 2.1% 3.5% 86.0M -2.02B -10.9M 0.99 5.88 N/A N/A 32,880 32,627 990,994 1,029,506 2014-12-29 $47.46 $43.00 21.0% 6.2% 23.5% 48.5% 21.1% 3.3% -0.2% 72.5M -1.74B -10.9M 0.67 6.38 N/A N/A 41,043 27,513 973,083 1,005,026 2014-12-30 $47.02 $43.00 21.8% 6.1% 22.7% 53.4% 22.6% 2.9% -0.4% 63.3M -1.55B -10.7M 1.11 6.91 N/A N/A 21,322 23,655 980,690 1,007,075 2014-12-31 $46.45 $43.00 23.3% 6.5% 22.9% 62.9% 22.5% 3.0% -1.2% 50.3M -1.26B -11.0M 0.83 7.64 N/A N/A 38,703 32,240 985,042 1,017,993
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