MSFT Options History — March 2015 In March 2015, MSFT traded between $40.73 and $43.85. ATM implied volatility averaged 19.4%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.5% (HV 20d: 16.8%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.77.
Notable Days 2015-03-20 : Highest Volume — 215,334 contracts2015-03-25 : Largest IV spike — 22.4% change2015-03-26 : Highest IV Rank — 78.2%2015-03-12 : Largest Expected Move — 5.7%Monthly Statistics Metric Avg Min Max Open Close Price $42.13 $40.73 $43.85 $43.85 $40.73 Max Pain $43.68 $43.00 $45.00 $43.00 $43.00 ATM IV 19.4% 14.6% 25.0% 14.6% 24.8% Expected Move 5.0% 4.0% 5.7% 4.0% 5.5% HV 20d 16.8% 13.1% 20.9% 13.6% 20.6% HV 60d 29.6% 28.8% 30.4% 29.9% 29.3% IV Rank 40.2% 8.3% 78.2% 8.3% 77.0% IV Percentile 53.8% 11.1% 90.5% 11.1% 88.1% Term Structure 0.8% -1.0% 5.3% -0.1% -1.0% VWIV 17.5% 14.2% 20.0% 14.2% 18.5% Skew 25d 2.6% 2.0% 3.6% 2.2% 3.2% Skew 10d 5.5% 3.9% 7.3% 3.9% 6.8% Call IV 25d 18.3% 14.3% 23.5% 14.3% 23.2% Put IV 25d 20.9% 16.5% 27.1% 16.5% 26.4% Bid-Ask Spread % 8.34 4.77 11.10 10.28 9.53 Gamma HHI 0.11 0.08 0.16 0.16 0.08 Net GEX 13.9M -47.3M 71.5M 71.5M -11.1M Net DEX 319.7M -740.0M 1.06B -740.0M 885.3M Net VEX -14.3M -15.2M -13.2M -15.2M -13.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.38 1.54 0.65 0.60 Total Volume 113,389.318 58,232 215,334 104,826 112,990 Total OI 2,171,021.818 2,032,132 2,353,177 2,050,952 2,163,721
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 2015-03-02 $43.85 $43.00 14.6% 4.0% 13.6% 8.3% 14.2% 2.2% -0.1% 71.5M -740.0M -15.2M 0.65 10.28 N/A N/A 63,429 41,397 1,152,790 898,162 2015-03-03 $43.32 $43.00 15.6% 4.3% 13.1% 14.9% 15.5% 2.0% -0.1% 53.2M -330.2M -15.0M 1.05 7.81 N/A N/A 53,140 55,778 1,169,867 914,789 2015-03-04 $43.05 $43.00 16.2% 4.6% 13.5% 19.0% 15.9% 2.1% -0.1% 42.2M -183.0M -14.9M 0.89 11.10 N/A N/A 45,362 40,156 1,177,471 922,006 2015-03-05 $43.12 $45.00 15.9% 4.6% 13.2% 16.9% 16.0% 2.3% -0.2% 52.5M -205.5M -14.9M 1.09 6.61 N/A N/A 28,214 30,696 1,192,514 929,181 2015-03-06 $42.33 $45.00 16.8% 5.0% 14.0% 23.1% 17.3% 2.4% -0.1% 13.5M 364.1M -14.5M 0.88 10.41 N/A N/A 73,723 65,222 1,194,793 939,174 2015-03-09 $42.85 $44.00 16.7% 4.9% 14.7% 22.0% 17.3% 2.4% 0.7% 30.6M -67.7M -14.6M 0.59 10.61 N/A N/A 62,234 36,865 1,179,645 939,268 2015-03-10 $42.03 $44.00 18.1% 5.2% 16.3% 31.6% 18.3% 2.4% 0.3% 4.8M 451.8M -14.4M 0.77 9.40 N/A N/A 62,196 48,197 1,200,334 956,499 2015-03-11 $41.98 $44.00 18.6% 5.4% 16.1% 35.1% 20.0% 2.4% 0.4% 3.6M 516.9M -14.8M 1.54 5.84 N/A N/A 47,408 72,939 1,223,478 976,335 2015-03-12 $41.02 $44.00 19.9% 5.7% 17.8% 44.1% 19.8% 2.3% 0.0% -23.9M 1.06B -13.9M 0.63 11.10 N/A N/A 102,395 64,799 1,234,207 1,016,535 2015-03-13 $41.38 $44.00 19.6% 5.7% 16.7% 41.9% 19.9% 2.4% 0.4% -3.1M 885.9M -14.4M 0.95 6.39 N/A N/A 39,842 37,890 1,260,249 1,030,967 2015-03-16 $41.56 $43.00 18.9% 5.4% 15.2% 37.4% 19.8% 2.3% 4.1% -15.0M 755.8M -14.2M 0.73 5.25 N/A N/A 41,070 30,135 1,242,622 1,014,020 2015-03-17 $41.70 $43.00 18.8% 5.4% 15.3% 36.2% 19.3% 2.3% 4.4% -9.3M 660.4M -14.4M 0.50 7.35 N/A N/A 44,781 22,427 1,255,943 1,019,942 2015-03-18 $42.50 $43.00 18.0% 5.2% 17.0% 31.1% 17.6% 2.4% 4.0% 27.2M 104.0M -14.7M 0.61 9.65 N/A N/A 95,925 58,811 1,268,017 1,022,734 2015-03-19 $42.29 $43.00 18.1% 5.0% 17.1% 31.7% 16.6% 2.1% 4.1% 8.5M 290.8M -14.5M 0.51 5.96 N/A N/A 57,490 29,170 1,295,592 1,037,205 2015-03-20 $42.88 $43.00 17.6% 4.5% 17.6% 28.2% 15.9% 2.3% 5.3% 59.2M -172.2M -14.4M 0.69 7.87 N/A N/A 127,158 88,176 1,317,102 1,036,075 2015-03-23 $42.86 $44.00 18.9% 4.4% 17.4% 37.3% 15.4% 3.0% -0.6% 38.6M -94.7M -14.0M 0.38 7.37 N/A N/A 63,968 24,065 1,119,931 912,201 2015-03-24 $42.90 $44.00 20.0% 4.3% 17.4% 44.7% 15.1% 3.0% -0.7% 42.2M -149.3M -14.2M 0.72 7.26 N/A N/A 33,923 24,309 1,131,150 918,343 2015-03-25 $41.46 $44.00 24.5% 5.4% 20.9% 75.2% 18.7% 3.6% -0.8% 22.2K 581.1M -13.5M 1.28 10.29 N/A N/A 83,829 107,520 1,139,439 925,218 2015-03-26 $41.22 $44.00 25.0% 5.4% 20.9% 78.2% 18.2% 3.6% -0.7% -17.2M 749.1M -13.6M 0.91 7.72 N/A N/A 71,897 65,764 1,164,471 964,633 2015-03-27 $40.97 $44.00 24.8% 5.3% 20.9% 76.8% 18.0% 3.5% -0.7% -47.3M 873.1M -13.5M 0.53 10.80 N/A N/A 87,067 46,290 1,191,929 982,764 2015-03-30 $40.95 $44.00 24.4% 5.1% 20.9% 74.4% 18.5% 3.6% -0.9% -15.0M 795.5M -13.5M 0.49 4.77 N/A N/A 70,916 35,002 1,163,610 967,554 2015-03-31 $40.73 $43.00 24.8% 5.5% 20.6% 77.0% 18.5% 3.2% -1.0% -11.1M 885.3M -13.2M 0.60 9.53 N/A N/A 70,829 42,161 1,192,568 971,153
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