MSFT Options History — May 2015 In May 2015, MSFT traded between $46.15 and $48.71. ATM implied volatility averaged 17.6%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 18.1% (HV 20d: 35.7%). Max pain ranged from $43.00 to $47.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.87.
Notable Days 2015-05-18 : Highest Volume — 341,750 contracts2015-05-08 : Largest IV drop — 9.1% change2015-05-06 : Highest IV Rank — 44.3%2015-05-06 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $47.55 $46.15 $48.71 $48.62 $46.99 Max Pain $45.55 $43.00 $47.00 $43.00 $47.00 ATM IV 17.6% 16.3% 20.0% 18.0% 17.9% Expected Move 5.1% 4.7% 5.6% 5.3% 5.1% HV 20d 35.7% 21.3% 41.6% 38.2% 21.5% HV 60d 28.2% 27.0% 29.0% 27.1% 28.9% IV Rank 28.5% 19.5% 44.3% 31.0% 30.4% IV Percentile 42.1% 27.0% 66.3% 46.8% 44.8% Term Structure 0.2% -0.4% 0.9% -0.2% -0.0% VWIV 18.4% 17.0% 24.9% 18.3% 17.6% Skew 25d 1.4% 0.9% 1.8% 1.8% 1.6% Skew 10d 2.5% 1.6% 3.6% 3.1% 3.3% Call IV 25d 17.2% 16.0% 19.3% 17.3% 17.5% Put IV 25d 18.6% 17.5% 21.1% 19.0% 19.1% Bid-Ask Spread % 8.89 5.29 15.99 9.98 11.89 Gamma HHI 0.15 0.12 0.21 0.12 0.15 Net GEX 72.9M 37.4M 97.7M 75.2M 82.0M Net DEX -1.90B -3.12B -805.2M -3.12B -1.00B Net VEX -15.5M -16.1M -14.6M -14.9M -15.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.13 1.67 0.83 0.52 Total Volume 114,610.4 61,490 341,750 143,983 95,388 Total OI 2,093,071.45 1,828,534 2,297,184 2,254,345 1,942,155
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 2015-05-01 $48.62 $43.00 18.0% 5.3% 38.2% 31.0% 18.3% 1.8% -0.2% 75.2M -3.12B -14.9M 0.83 9.98 N/A N/A 78,572 65,411 1,222,840 1,031,505 2015-05-04 $48.24 $44.00 17.6% 5.1% 37.9% 28.6% 17.9% 1.4% -0.1% 81.3M -2.80B -15.4M 1.43 8.32 N/A N/A 32,996 47,212 1,192,848 975,945 2015-05-05 $47.75 $44.00 19.2% 5.2% 38.3% 39.2% 18.5% 1.7% 0.9% 82.5M -2.51B -15.8M 1.67 15.99 N/A N/A 60,793 101,655 1,202,938 980,960 2015-05-06 $46.15 $45.00 20.0% 5.6% 40.9% 44.3% 19.9% 1.8% -0.4% 88.2M -1.61B -15.6M 1.37 6.71 N/A N/A 59,765 81,794 1,226,665 1,007,368 2015-05-07 $46.78 $44.00 18.4% 5.3% 41.0% 33.8% 19.6% 1.7% 0.0% 85.2M -2.00B -15.7M 1.63 8.19 N/A N/A 36,747 59,750 1,239,085 1,021,188 2015-05-08 $47.75 $45.00 16.7% 4.8% 41.3% 22.5% 17.1% 1.6% 0.0% 78.2M -2.60B -14.6M 0.76 8.35 N/A N/A 49,157 37,470 1,242,499 1,033,053 2015-05-11 $47.37 $45.00 16.9% 5.0% 41.6% 23.3% 17.3% 1.4% 0.7% 74.9M -2.34B -14.6M 0.66 6.04 N/A N/A 37,091 24,399 1,218,744 1,023,141 2015-05-12 $47.42 $45.00 17.1% 5.0% 41.5% 24.6% 18.0% 1.7% 0.9% 73.7M -2.31B -15.7M 1.11 9.34 N/A N/A 36,212 40,304 1,233,043 1,030,964 2015-05-13 $47.63 $45.00 17.3% 5.0% 41.3% 25.9% 17.7% 1.6% 0.3% 77.8M -2.36B -15.7M 0.74 6.46 N/A N/A 42,771 31,847 1,236,374 1,037,517 2015-05-14 $48.71 $45.00 16.8% 4.8% 41.6% 23.1% 17.6% 1.3% 0.1% 97.7M -2.92B -15.1M 0.63 5.29 N/A N/A 83,818 52,773 1,215,428 1,041,653 2015-05-15 $48.25 $45.00 16.8% 4.8% 41.3% 22.8% 19.9% 1.1% -0.4% 70.4M -2.72B -14.8M 0.68 6.10 N/A N/A 78,116 52,929 1,244,841 1,052,343 2015-05-18 $48.01 $45.00 16.3% 4.7% 40.5% 19.5% 24.9% 1.6% 0.1% 69.6M -1.71B -15.2M 0.13 8.81 N/A N/A 302,840 38,910 1,011,350 860,169 2015-05-19 $47.58 $47.00 17.5% 5.0% 40.6% 27.3% 17.5% 0.9% 0.3% 58.1M -1.20B -15.5M 0.50 8.44 N/A N/A 92,156 45,848 942,992 885,542 2015-05-20 $47.59 $47.00 17.3% 4.9% 40.6% 25.9% 17.0% 1.1% 0.1% 65.6M -1.29B -15.9M 0.65 9.33 N/A N/A 58,229 37,572 999,937 906,510 2015-05-21 $47.42 $47.00 17.3% 4.9% 40.7% 26.0% 17.2% 1.2% 0.3% 65.6M -1.22B -16.0M 0.88 7.97 N/A N/A 52,687 46,116 1,008,541 913,519 2015-05-22 $46.88 $47.00 17.3% 5.0% 21.3% 26.6% 17.4% 1.4% -0.0% 37.4M -910.3M -15.9M 0.94 14.13 N/A N/A 52,038 48,841 1,018,577 927,547 2015-05-26 $46.61 $47.00 18.5% 5.3% 21.3% 34.6% 18.7% 1.3% 0.1% 47.2M -805.2M -16.1M 0.85 9.03 N/A N/A 44,256 37,473 994,697 902,192 2015-05-27 $47.70 $47.00 18.0% 5.1% 21.5% 31.0% 18.1% 1.1% 0.2% 75.9M -1.37B -15.8M 0.68 8.15 N/A N/A 50,210 34,069 1,003,223 909,619 2015-05-28 $47.48 $47.00 17.6% 5.0% 21.5% 28.5% 18.0% 0.9% -0.0% 71.2M -1.24B -15.9M 0.80 9.18 N/A N/A 35,468 28,525 1,006,648 917,269 2015-05-29 $46.99 $47.00 17.9% 5.1% 21.5% 30.4% 17.6% 1.6% -0.0% 82.0M -1.00B -15.6M 0.52 11.89 N/A N/A 62,945 32,443 1,021,753 920,402
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