MSFT Options History — June 2015 In June 2015, MSFT traded between $44.29 and $47.22. ATM implied volatility averaged 20.7%, placing in the 49.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.8% (HV 20d: 16.9%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.79.
Notable Days 2015-06-04 : Highest Volume — 130,060 contracts2015-06-29 : Largest IV spike — 11.8% change2015-06-29 : Highest IV Rank — 89.2%2015-06-29 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $45.99 $44.29 $47.22 $47.22 $44.29 Max Pain $45.27 $45.00 $47.00 $47.00 $45.00 ATM IV 20.7% 17.8% 26.6% 19.6% 25.6% Expected Move 5.4% 4.8% 6.1% 5.5% 5.8% HV 20d 16.9% 14.7% 21.7% 21.7% 15.6% HV 60d 28.1% 27.3% 28.9% 28.9% 27.3% IV Rank 49.4% 29.8% 89.2% 41.9% 82.7% IV Percentile 66.0% 40.9% 98.0% 61.5% 96.4% Term Structure 0.9% -1.1% 6.0% -0.2% -0.7% VWIV 18.9% 16.8% 21.7% 19.4% 20.0% Skew 25d 1.6% 0.8% 2.9% 1.1% 2.9% Skew 10d 2.9% 1.2% 4.7% 1.8% 4.7% Call IV 25d 20.2% 17.2% 25.5% 19.1% 24.7% Put IV 25d 21.8% 18.5% 28.0% 20.1% 27.6% Bid-Ask Spread % 9.33 6.83 15.06 13.17 7.27 Gamma HHI 0.13 0.09 0.15 0.15 0.09 Net GEX 52.3M 19.8M 71.3M 69.1M 19.8M Net DEX -706.5M -1.16B -40.1M -1.16B -40.1M Net VEX -15.2M -16.2M -14.0M -15.7M -14.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.51 1.36 0.51 1.36 Total Volume 76,113 46,242 130,060 88,055 96,061 Total OI 1,983,607.773 1,854,239 2,067,473 1,924,491 1,952,392
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 2015-06-01 $47.22 $47.00 19.6% 5.5% 21.7% 41.9% 19.4% 1.1% -0.2% 69.1M -1.16B -15.7M 0.51 13.17 N/A N/A 58,401 29,654 1,021,455 903,036 2015-06-02 $46.92 $47.00 19.1% 5.5% 21.6% 38.6% 19.2% 1.4% -0.1% 66.7M -1.04B -15.6M 0.79 9.45 N/A N/A 25,847 20,395 1,036,506 907,038 2015-06-03 $46.84 $47.00 18.9% 5.5% 21.4% 37.3% 19.2% 1.3% -0.2% 65.4M -968.5M -15.8M 0.74 10.37 N/A N/A 43,572 32,105 1,050,565 916,285 2015-06-04 $46.33 $45.00 19.6% 5.7% 17.9% 41.8% 19.9% 1.3% -0.2% 48.6M -749.1M -15.7M 0.71 9.14 N/A N/A 76,115 53,945 1,060,663 918,759 2015-06-05 $46.21 $45.00 19.5% 5.6% 17.2% 41.3% 19.4% 1.1% 0.2% 52.7M -690.9M -16.2M 0.83 9.20 N/A N/A 47,546 39,459 1,103,022 939,997 2015-06-08 $45.80 $45.00 19.4% 5.6% 15.5% 40.6% 19.9% 1.6% 0.5% 46.1M -565.5M -15.9M 1.18 8.86 N/A N/A 32,550 38,403 1,089,835 926,029 2015-06-09 $45.64 $45.00 19.4% 5.6% 15.3% 40.6% 19.8% 1.2% 0.3% 40.7M -474.4M -15.8M 0.68 9.87 N/A N/A 46,907 31,842 1,100,397 938,468 2015-06-10 $46.66 $45.00 18.5% 5.2% 17.5% 34.2% 18.3% 1.5% -0.4% 71.3M -1.01B -15.7M 0.61 10.92 N/A N/A 45,167 27,445 1,105,810 935,282 2015-06-11 $46.41 $45.00 17.8% 5.3% 17.5% 29.8% 18.0% 1.6% 0.9% 60.8M -855.4M -15.7M 1.04 8.09 N/A N/A 27,141 28,315 1,109,885 936,714 2015-06-12 $46.01 $45.00 18.8% 5.4% 15.2% 36.3% 19.1% 1.6% 0.3% 34.8M -662.7M -15.5M 0.62 8.30 N/A N/A 57,893 36,009 1,114,825 939,155 2015-06-15 $45.49 $45.00 19.7% 5.7% 15.4% 42.6% 19.6% 1.8% 4.3% 39.3M -453.1M -15.2M 0.66 7.75 N/A N/A 45,625 29,900 1,106,749 925,176 2015-06-16 $45.80 $45.00 19.1% 5.5% 15.7% 38.5% 19.2% 1.5% 4.4% 43.9M -618.7M -15.4M 0.69 7.75 N/A N/A 31,492 21,879 1,112,606 931,551 2015-06-17 $45.92 $45.00 19.5% 5.6% 15.6% 41.3% 19.7% 0.8% 4.6% 46.9M -689.7M -15.0M 0.63 7.88 N/A N/A 40,448 25,532 1,116,648 934,547 2015-06-18 $46.70 $45.00 19.5% 5.3% 17.0% 41.1% 18.4% 1.1% 6.0% 70.8M -1.11B -15.5M 0.62 6.83 N/A N/A 39,017 24,101 1,122,152 933,682 2015-06-19 $46.14 $45.00 19.5% 5.0% 17.4% 41.0% 17.5% 1.3% 5.7% 64.5M -823.8M -14.9M 0.86 7.93 N/A N/A 38,556 33,330 1,131,263 936,210 2015-06-22 $46.33 $45.00 21.5% 4.8% 17.1% 54.8% 16.8% 1.9% -0.8% 69.4M -944.8M -14.9M 0.67 6.85 N/A N/A 27,758 18,502 1,020,685 833,554 2015-06-23 $45.94 $45.00 22.9% 5.0% 17.2% 64.4% 17.3% 1.8% -1.0% 61.2M -770.4M -14.4M 0.72 8.16 N/A N/A 43,836 31,422 1,030,273 840,261 2015-06-24 $45.72 $45.00 23.6% 5.0% 14.7% 68.8% 17.5% 1.7% -0.7% 56.5M -676.6M -14.5M 0.75 10.43 N/A N/A 30,393 22,678 1,044,743 854,666 2015-06-25 $45.72 $45.00 23.6% 4.9% 14.7% 69.1% 17.4% 1.9% -1.0% 53.4M -659.6M -14.5M 0.83 11.61 N/A N/A 27,569 22,832 1,051,446 862,250 2015-06-26 $45.27 $45.00 23.8% 5.0% 14.7% 70.2% 18.0% 2.2% -1.1% 42.2M -436.4M -14.2M 1.03 15.06 N/A N/A 54,574 56,145 1,057,425 864,577 2015-06-29 $44.42 $45.00 26.6% 6.1% 15.7% 89.2% 21.7% 2.5% -1.0% 25.8M -142.5M -14.2M 0.77 10.44 N/A N/A 64,376 49,749 1,051,304 871,485 2015-06-30 $44.29 $45.00 25.6% 5.8% 15.6% 82.7% 20.0% 2.9% -0.7% 19.8M -40.1M -14.0M 1.36 7.27 N/A N/A 40,717 55,344 1,067,436 884,956
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