MSFT Options History — April 2015 In April 2015, MSFT traded between $40.37 and $49.07. ATM implied volatility averaged 22.4%, placing in the 60.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 2.6% (HV 20d: 25.0%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.93.
Notable Days 2015-04-24 : Highest Volume — 634,676 contracts2015-04-24 : Largest IV drop — 16.9% change2015-04-01 : Highest IV Rank — 79.6%2015-04-21 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $43.46 $40.37 $49.07 $40.69 $48.63 Max Pain $43.00 $43.00 $43.00 $43.00 $43.00 ATM IV 22.4% 18.2% 25.2% 25.2% 18.9% Expected Move 6.3% 5.2% 7.3% 5.6% 5.7% HV 20d 25.0% 18.6% 38.6% 20.6% 38.6% HV 60d 28.4% 21.6% 29.8% 29.3% 27.1% IV Rank 60.7% 32.7% 79.6% 79.6% 36.7% IV Percentile 76.5% 50.0% 91.7% 91.7% 54.8% Term Structure -0.8% -1.9% 0.0% -1.0% -0.1% VWIV 22.2% 18.2% 25.4% 19.2% 20.0% Skew 25d 3.0% 1.3% 3.8% 3.4% 1.9% Skew 10d 5.6% 2.3% 7.2% 6.7% 2.3% Call IV 25d 21.0% 17.1% 23.7% 23.7% 17.8% Put IV 25d 24.0% 18.4% 27.1% 27.1% 19.6% Bid-Ask Spread % 10.24 5.52 15.31 8.67 12.68 Gamma HHI 0.10 0.07 0.14 0.07 0.12 Net GEX 35.2M -25.6M 96.9M 8.9M 79.8M Net DEX -649.8M -3.43B 1.08B 866.0M -3.12B Net VEX -14.0M -15.1M -13.0M -13.5M -15.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.49 1.56 0.69 0.90 Total Volume 152,122.048 42,329 634,676 70,734 128,097 Total OI 2,171,229.429 1,834,757 2,298,706 2,221,115 2,239,937
Daily Data (21 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 2015-04-01 $40.69 $43.00 25.2% 5.6% 20.6% 79.6% 19.2% 3.4% -1.0% 8.9M 866.0M -13.5M 0.69 8.67 N/A N/A 41,895 28,839 1,236,859 984,256 2015-04-02 $40.37 $43.00 24.6% 6.7% 20.6% 75.5% 23.0% 3.4% -1.0% -25.6M 1.08B -13.0M 1.09 6.84 N/A N/A 50,453 55,023 1,252,464 993,142 2015-04-06 $41.58 $43.00 23.6% 6.3% 22.8% 69.1% 22.1% 3.1% -1.2% 1.7M 365.9M -14.0M 0.69 11.71 N/A N/A 72,529 50,288 1,202,356 993,032 2015-04-07 $41.56 $43.00 23.6% 6.3% 22.3% 68.9% 22.6% 3.1% -1.1% -3.7M 408.4M -14.2M 1.13 6.92 N/A N/A 37,476 42,286 1,217,569 1,009,828 2015-04-08 $41.42 $43.00 23.8% 6.6% 21.3% 70.6% 23.8% 3.5% -1.0% -8.4M 495.0M -13.9M 1.15 10.42 N/A N/A 34,713 40,053 1,218,150 1,007,429 2015-04-09 $41.48 $43.00 23.4% 6.6% 21.3% 67.9% 21.8% 3.3% -0.7% -5.9M 481.2M -13.8M 0.99 5.52 N/A N/A 21,233 21,096 1,232,001 1,017,278 2015-04-10 $41.72 $43.00 23.4% 6.4% 19.7% 67.4% 22.7% 3.2% -1.8% 4.2M 331.8M -13.8M 0.50 8.17 N/A N/A 65,612 32,854 1,237,387 1,020,596 2015-04-13 $41.78 $43.00 22.5% 6.4% 19.5% 61.4% 22.2% 3.4% -0.5% 111.4K 331.6M -13.4M 1.56 7.34 N/A N/A 32,984 51,604 1,214,994 1,015,005 2015-04-14 $41.62 $43.00 22.7% 6.4% 19.5% 62.6% 23.1% 3.3% -0.1% 1.7M 356.4M -13.6M 1.19 8.50 N/A N/A 31,828 37,809 1,226,383 994,850 2015-04-15 $42.26 $43.00 22.4% 6.4% 20.2% 61.0% 22.9% 3.5% -1.1% 18.5M -736.9K -13.8M 0.61 10.81 N/A N/A 90,891 55,507 1,239,835 1,012,138 2015-04-16 $42.22 $43.00 22.1% 6.3% 19.0% 58.7% 22.4% 3.4% -0.4% 23.1M -34.3M -13.7M 0.93 9.77 N/A N/A 33,534 31,235 1,265,790 1,028,050 2015-04-17 $41.60 $43.00 22.9% 6.6% 19.6% 64.4% 23.0% 3.6% 0.0% 25.4M 406.2M -13.1M 1.51 7.35 N/A N/A 48,991 73,738 1,264,820 1,033,886 2015-04-20 $42.94 $43.00 24.5% 7.2% 22.2% 75.1% 25.4% 3.6% -1.8% 46.2M -529.2M -14.1M 0.56 14.41 N/A N/A 177,994 100,488 1,006,250 828,507 2015-04-21 $42.66 $43.00 24.7% 7.3% 22.3% 76.2% 25.4% 3.6% -1.5% 57.8M -476.8M -14.5M 0.86 12.05 N/A N/A 47,608 41,042 1,108,446 880,137 2015-04-22 $43.02 $43.00 24.0% 7.1% 22.6% 71.4% 25.3% 3.8% -1.9% 69.1M -668.2M -14.6M 0.99 12.42 N/A N/A 53,329 53,048 1,120,904 888,808 2015-04-23 $43.29 $43.00 22.8% 6.9% 18.6% 63.7% 24.1% 3.1% -1.5% 78.1M -826.1M -14.6M 0.84 15.31 N/A N/A 170,596 143,252 1,136,524 913,350 2015-04-24 $47.75 $43.00 19.0% 5.4% 38.6% 37.6% 18.2% 1.8% -0.2% 95.2M -3.37B -14.0M 0.49 13.23 N/A N/A 425,710 208,966 1,196,693 966,979 2015-04-27 $47.98 $43.00 18.2% 5.2% 38.2% 32.7% 18.3% 1.3% -0.4% 96.9M -2.95B -14.8M 0.93 9.27 N/A N/A 91,192 84,936 1,145,880 941,758 2015-04-28 $49.04 $43.00 18.3% 5.4% 38.4% 32.8% 19.0% 1.7% -0.3% 90.1M -3.43B -14.3M 0.91 10.68 N/A N/A 105,621 96,505 1,164,723 951,773 2015-04-29 $49.07 $43.00 19.4% 6.1% 38.2% 40.7% 21.1% 1.6% -0.2% 86.4M -3.37B -15.0M 0.91 13.02 N/A N/A 96,022 87,686 1,194,602 992,449 2015-04-30 $48.63 $43.00 18.9% 5.7% 38.6% 36.7% 20.0% 1.9% -0.1% 79.8M -3.12B -15.1M 0.90 12.68 N/A N/A 67,361 60,736 1,219,764 1,020,173
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