MSFT Options History — February 2015

In February 2015, MSFT traded between $41.28 and $44.13. ATM implied volatility averaged 17.7%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 22.7% (HV 20d: 40.4%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.72.

Notable Days

2015-02-13: Highest Volume — 354,815 contracts
2015-02-17: Largest IV spike — 7.9% change
2015-02-02: Highest IV Rank — 62.4%
2015-02-02: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.05	$41.28	$44.13	$41.28	$43.84
Max Pain	$43.00	$43.00	$43.00	$43.00	$43.00
ATM IV	17.7%	14.5%	22.6%	22.6%	14.5%
Expected Move	5.1%	4.0%	6.8%	6.8%	4.0%
HV 20d	40.4%	20.7%	44.8%	44.4%	20.7%
HV 60d	30.1%	29.8%	30.4%	30.0%	29.9%
IV Rank	29.2%	7.4%	62.4%	62.4%	7.4%
IV Percentile	40.1%	8.3%	77.0%	77.0%	8.3%
Term Structure	0.2%	-0.4%	0.7%	-0.2%	0.3%
VWIV	18.1%	14.3%	24.4%	24.4%	14.3%
Skew 25d	2.1%	1.6%	3.2%	3.2%	1.9%
Skew 10d	4.5%	3.5%	7.2%	7.2%	3.7%
Call IV 25d	17.2%	14.1%	21.5%	21.5%	14.1%
Put IV 25d	19.3%	16.1%	24.7%	24.7%	16.1%
Bid-Ask Spread %	7.28	4.75	10.07	8.57	9.68
Gamma HHI	0.15	0.12	0.20	0.12	0.16
Net GEX	46.0M	16.8M	93.6M	16.8M	69.1M
Net DEX	-168.0M	-964.5M	763.3M	763.3M	-773.7M
Net VEX	-15.1M	-16.1M	-13.0M	-13.0M	-15.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.22	1.34	0.69	0.60
Total Volume	143,006.895	64,403	354,815	145,326	64,403
Total OI	2,194,422.684	1,995,130	2,376,301	2,029,279	2,111,893

Daily Data (19 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
2015-02-02	$41.28	$43.00	22.6%	6.8%	44.4%	62.4%	24.4%	3.2%	-0.2%	16.8M	763.3M	-13.0M	0.69	8.57	N/A	N/A	85,904	59,422	1,187,057	842,222
2015-02-03	$41.46	$43.00	21.0%	6.2%	44.6%	51.4%	22.3%	2.7%	0.1%	20.6M	697.8M	-13.2M	0.78	9.64	N/A	N/A	83,500	64,886	1,206,276	865,192
2015-02-04	$41.80	$43.00	20.6%	6.2%	44.7%	48.6%	22.1%	2.3%	0.2%	24.2M	548.0M	-13.7M	1.07	8.58	N/A	N/A	96,378	102,995	1,224,553	898,215
2015-02-05	$42.44	$43.00	19.7%	5.7%	44.8%	42.5%	20.1%	2.6%	-0.1%	36.1M	266.1M	-14.3M	0.76	5.66	N/A	N/A	84,572	63,975	1,257,907	958,950
2015-02-06	$42.35	$43.00	19.5%	5.7%	43.1%	41.0%	20.3%	2.3%	0.2%	28.8M	360.4M	-14.5M	0.87	7.10	N/A	N/A	54,200	46,941	1,268,078	977,690
2015-02-09	$42.42	$43.00	19.2%	5.6%	43.2%	38.9%	19.6%	2.2%	0.3%	25.5M	406.0M	-14.3M	0.25	5.83	N/A	N/A	176,790	44,002	1,232,799	965,635
2015-02-10	$42.62	$43.00	18.5%	5.2%	43.2%	34.5%	18.6%	2.3%	-0.4%	42.8M	216.5M	-14.7M	0.75	7.71	N/A	N/A	55,202	41,291	1,267,466	970,451
2015-02-11	$42.26	$43.00	18.9%	5.5%	43.2%	37.4%	19.0%	2.4%	0.3%	25.6M	456.8M	-14.7M	0.34	6.94	N/A	N/A	145,990	49,052	1,272,890	985,403
2015-02-12	$43.05	$43.00	17.9%	5.1%	44.0%	30.0%	18.2%	2.1%	0.1%	66.3M	-85.7M	-15.4M	0.66	6.67	N/A	N/A	97,320	64,424	1,308,746	1,000,057
2015-02-13	$43.81	$43.00	16.5%	4.7%	44.5%	20.8%	18.0%	2.0%	0.1%	53.2M	-717.0M	-15.9M	0.22	7.27	N/A	N/A	291,994	62,821	1,345,674	1,022,380
2015-02-17	$43.50	$43.00	17.8%	5.1%	44.0%	29.7%	17.5%	2.0%	0.0%	20.6M	-305.8M	-16.1M	0.97	6.49	N/A	N/A	87,060	84,858	1,281,925	1,017,777
2015-02-18	$43.48	$43.00	17.1%	4.9%	44.0%	24.7%	16.9%	1.9%	-0.2%	36.4M	-357.6M	-16.0M	0.67	4.75	N/A	N/A	47,844	32,209	1,305,429	1,024,257
2015-02-19	$43.50	$43.00	16.8%	4.8%	43.9%	22.9%	16.7%	2.0%	-0.0%	40.0M	-349.8M	-15.8M	0.87	5.53	N/A	N/A	75,978	66,130	1,294,749	1,011,687
2015-02-20	$43.86	$43.00	15.6%	4.4%	43.0%	15.0%	15.9%	1.7%	0.6%	46.4M	-615.8M	-16.1M	0.44	6.99	N/A	N/A	95,178	42,119	1,334,714	1,041,587
2015-02-23	$44.13	$43.00	15.5%	4.3%	43.1%	13.8%	15.3%	1.8%	0.7%	75.9M	-964.5M	-15.7M	0.62	7.02	N/A	N/A	61,187	37,764	1,138,897	856,233
2015-02-24	$44.08	$43.00	15.2%	4.3%	43.1%	11.8%	15.3%	1.8%	0.6%	80.3M	-950.8M	-15.8M	1.34	7.77	N/A	N/A	42,358	56,854	1,161,838	875,373
2015-02-25	$43.94	$43.00	15.2%	4.1%	25.0%	12.0%	15.1%	1.6%	0.3%	71.2M	-850.2M	-15.7M	1.05	10.07	N/A	N/A	39,361	41,448	1,167,588	912,255
2015-02-26	$44.06	$43.00	14.8%	4.1%	21.3%	9.3%	14.3%	2.1%	0.2%	93.6M	-935.9M	-15.7M	0.76	5.97	N/A	N/A	40,183	30,538	1,183,231	916,957
2015-02-27	$43.84	$43.00	14.5%	4.0%	20.7%	7.4%	14.3%	1.9%	0.3%	69.1M	-773.7M	-15.8M	0.60	9.68	N/A	N/A	40,278	24,125	1,189,023	922,870