MSFT Options History — January 2015 In January 2015, MSFT traded between $40.39 and $47.59. ATM implied volatility averaged 24.0%, placing in the 68.9% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 2.4% (HV 20d: 26.4%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.77.
Notable Days 2015-01-27 : Highest Volume — 794,254 contracts2015-01-30 : Largest IV spike — 9.2% change2015-01-15 : Highest IV Rank — 86.8%2015-01-15 : Largest Expected Move — 7.7%Monthly Statistics Metric Avg Min Max Open Close Price $45.51 $40.39 $47.59 $46.79 $40.39 Max Pain $43.00 $43.00 $43.00 $43.00 $43.00 ATM IV 24.0% 21.3% 27.0% 23.3% 24.4% Expected Move 6.9% 6.3% 7.7% 6.4% 7.5% HV 20d 26.4% 18.8% 43.5% 23.1% 43.5% HV 60d 22.0% 19.6% 29.6% 22.2% 29.6% IV Rank 68.9% 53.6% 86.8% 63.0% 74.0% IV Percentile 83.0% 72.2% 95.6% 79.0% 86.5% Term Structure -0.6% -1.2% 0.2% -0.8% -0.4% VWIV 24.3% 22.1% 26.5% 22.5% 25.8% Skew 25d 2.7% 1.0% 3.4% 3.4% 1.9% Skew 10d 5.5% 2.3% 8.4% 5.4% 2.8% Call IV 25d 23.0% 20.3% 25.8% 22.4% 23.9% Put IV 25d 25.7% 22.1% 28.4% 25.8% 25.8% Bid-Ask Spread % 8.59 5.77 12.61 8.01 11.39 Gamma HHI 0.13 0.10 0.16 0.13 0.10 Net GEX 42.7M -1.5M 77.7M 57.9M 2.1M Net DEX -842.1M -1.90B 1.24B -1.39B 1.24B Net VEX -11.5M -12.6M -10.7M -11.0M -12.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.25 1.38 0.96 0.79 Total Volume 192,708.55 56,479 794,254 81,272 205,500 Total OI 1,925,778.45 1,421,333 2,294,635 2,031,507 2,115,550
Daily Data (20 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 2015-01-02 $46.79 $43.00 23.3% 6.4% 23.1% 63.0% 22.5% 3.4% -0.8% 57.9M -1.39B -11.0M 0.96 8.01 N/A N/A 41,497 39,775 999,257 1,032,250 2015-01-05 $46.33 $43.00 24.4% 6.9% 22.5% 69.9% 24.6% 2.9% -0.6% 48.1M -1.19B -10.9M 0.86 5.77 N/A N/A 30,315 26,164 989,699 1,026,974 2015-01-06 $45.65 $43.00 26.2% 7.2% 22.8% 81.4% 25.1% 2.6% -0.6% 36.4M -848.1M -10.9M 0.78 6.86 N/A N/A 64,198 50,280 998,343 1,034,181 2015-01-07 $46.23 $43.00 25.3% 6.9% 23.0% 76.0% 25.0% 2.9% -0.8% 43.0M -1.15B -11.0M 0.47 9.70 N/A N/A 67,057 31,443 1,007,340 1,053,070 2015-01-08 $47.59 $43.00 24.1% 6.6% 25.4% 68.1% 23.0% 3.3% -0.6% 77.7M -1.90B -10.8M 0.59 6.47 N/A N/A 84,066 49,230 1,021,046 1,062,617 2015-01-09 $47.21 $43.00 23.8% 6.6% 24.9% 66.5% 24.1% 3.0% -1.0% 68.8M -1.75B -10.7M 1.21 7.44 N/A N/A 52,845 63,924 1,031,625 1,068,226 2015-01-12 $46.68 $43.00 25.0% 7.0% 25.1% 73.9% 25.0% 2.7% -1.0% 54.9M -1.41B -10.7M 0.66 8.14 N/A N/A 54,184 35,522 1,019,119 1,069,346 2015-01-13 $46.30 $43.00 24.9% 7.1% 25.3% 73.5% 24.1% 3.2% 0.1% 49.6M -1.23B -10.8M 0.25 7.13 N/A N/A 132,934 33,264 1,036,943 1,077,787 2015-01-14 $45.95 $43.00 26.0% 7.3% 25.4% 80.5% 25.9% 3.3% -0.6% 50.7M -1.08B -11.2M 0.75 8.30 N/A N/A 56,595 42,426 1,101,550 1,086,160 2015-01-15 $45.50 $43.00 27.0% 7.7% 22.5% 86.8% 26.5% 2.6% 0.2% 40.4M -826.5M -11.2M 0.56 7.02 N/A N/A 120,422 67,108 1,118,222 1,096,270 2015-01-16 $46.24 $43.00 24.9% 7.0% 22.8% 73.6% 25.3% 3.2% -0.7% 40.1M -1.33B -12.1M 1.38 7.66 N/A N/A 74,966 103,741 1,163,471 1,131,164 2015-01-20 $46.39 $43.00 23.9% 6.8% 18.8% 67.2% 24.8% 3.1% -0.4% 46.5M -1.07B -11.9M 0.67 7.44 N/A N/A 67,641 45,477 835,416 585,917 2015-01-21 $45.92 $43.00 23.4% 6.7% 18.9% 66.9% 24.4% 3.1% -0.4% 37.6M -843.8M -12.2M 1.05 7.55 N/A N/A 66,573 69,691 868,189 617,778 2015-01-22 $47.06 $43.00 22.4% 6.5% 21.0% 60.3% 22.9% 2.8% -1.2% 56.4M -1.38B -12.5M 0.88 9.33 N/A N/A 77,689 68,425 888,259 654,431 2015-01-23 $47.11 $43.00 21.5% 6.3% 20.4% 54.5% 22.7% 2.6% -1.0% 53.7M -1.46B -12.5M 1.26 7.56 N/A N/A 82,371 103,733 914,045 672,807 2015-01-26 $47.01 $43.00 22.5% 6.8% 20.2% 61.6% 23.9% 2.4% -0.9% 67.0M -1.48B -12.3M 0.69 11.83 N/A N/A 179,030 122,749 928,080 619,936 2015-01-27 $42.66 $43.00 21.3% 6.4% 39.6% 53.6% 22.1% 1.8% -0.7% 12.5M 569.5M -10.8M 0.58 12.61 N/A N/A 501,106 293,148 1,002,594 675,424 2015-01-28 $41.24 $43.00 23.3% 7.1% 40.9% 66.6% 23.9% 1.0% 0.1% -1.5M 1.00B -11.5M 0.56 12.31 N/A N/A 222,414 125,637 1,126,816 788,376 2015-01-29 $42.02 $43.00 22.3% 6.6% 41.9% 60.1% 23.5% 2.5% -0.5% 12.3M 680.0M -12.6M 0.54 9.31 N/A N/A 194,879 106,152 1,170,981 826,310 2015-01-30 $40.39 $43.00 24.4% 7.5% 43.5% 74.0% 25.8% 1.9% -0.4% 2.1M 1.24B -12.2M 0.79 11.39 N/A N/A 114,942 90,558 1,252,642 862,908
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