MSFT Options History — August 2015 In August 2015, MSFT traded between $41.03 and $47.59. ATM implied volatility averaged 23.2%, placing in the 53.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.5% (HV 20d: 24.7%). Max pain ranged from $45.00 to $46.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.65.
Notable Days 2015-08-17 : Highest Volume — 258,994 contracts2015-08-21 : Largest IV spike — 32.0% change2015-08-21 : Highest IV Rank — 100.0%2015-08-24 : Largest Expected Move — 10.9%Monthly Statistics Metric Avg Min Max Open Close Price $45.58 $41.03 $47.59 $46.81 $43.53 Max Pain $45.76 $45.00 $46.00 $46.00 $45.00 ATM IV 23.2% 18.1% 36.1% 18.7% 29.1% Expected Move 6.8% 5.2% 10.9% 5.5% 8.5% HV 20d 24.7% 18.4% 32.9% 20.8% 32.9% HV 60d 19.6% 17.7% 24.2% 17.9% 24.2% IV Rank 53.5% 31.7% 100.0% 35.7% 68.3% IV Percentile 67.1% 37.7% 100.0% 45.2% 98.4% Term Structure -0.2% -2.2% 0.7% -0.2% -0.4% VWIV 23.8% 17.7% 36.2% 19.5% 29.5% Skew 25d 3.5% 1.7% 7.2% 2.2% 6.3% Skew 10d 7.2% 3.4% 15.6% 4.2% 13.1% Call IV 25d 21.7% 17.3% 32.7% 17.5% 26.2% Put IV 25d 25.2% 19.6% 39.9% 19.7% 32.6% Bid-Ask Spread % 10.06 5.64 18.51 10.22 10.94 Gamma HHI 0.13 0.08 0.41 0.11 0.09 Net GEX 52.0M -98.7M 124.8M 74.3M 28.3M Net DEX -634.1M -1.56B 802.8M -1.06B -50.5M Net VEX -14.0M -14.8M -12.4M -14.7M -14.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.09 1.43 0.66 0.68 Total Volume 107,228.524 60,740 258,994 62,184 66,454 Total OI 2,031,009.667 1,845,474 2,136,602 2,021,635 2,029,922
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 2015-08-03 $46.81 $46.00 18.7% 5.5% 20.8% 35.7% 19.5% 2.2% -0.2% 74.3M -1.06B -14.7M 0.66 10.22 N/A N/A 37,566 24,618 1,120,034 901,601 2015-08-04 $47.59 $46.00 18.5% 5.6% 21.2% 34.1% 19.7% 2.3% -0.2% 98.3M -1.52B -14.4M 0.45 5.96 N/A N/A 62,037 27,877 1,123,901 912,912 2015-08-05 $47.59 $46.00 18.6% 5.5% 21.3% 35.1% 19.4% 2.3% -0.2% 103.4M -1.56B -14.3M 0.93 9.43 N/A N/A 45,246 41,938 1,143,787 916,720 2015-08-06 $46.66 $46.00 20.0% 5.6% 22.7% 44.5% 20.2% 2.0% -0.2% 64.7M -931.8M -14.8M 0.94 7.78 N/A N/A 51,574 48,734 1,143,898 930,285 2015-08-07 $46.71 $46.00 19.9% 5.7% 22.8% 43.7% 20.6% 2.3% -0.3% 65.3M -1.00B -14.4M 1.00 6.88 N/A N/A 36,114 36,086 1,156,217 941,434 2015-08-10 $47.27 $46.00 18.4% 5.5% 22.1% 33.8% 19.4% 2.4% 0.7% 89.3M -1.31B -14.0M 0.51 5.64 N/A N/A 40,150 20,590 1,137,929 918,185 2015-08-11 $46.41 $46.00 20.2% 5.8% 23.2% 45.6% 20.5% 1.7% 0.3% 58.9M -857.1M -13.8M 0.71 9.23 N/A N/A 38,025 26,858 1,151,728 920,897 2015-08-12 $46.78 $46.00 19.6% 5.7% 23.4% 42.1% 20.0% 2.3% 0.5% 74.0M -1.06B -14.1M 0.60 10.60 N/A N/A 43,838 26,419 1,159,344 924,806 2015-08-13 $46.82 $46.00 19.5% 5.7% 22.3% 41.4% 20.9% 1.9% 0.5% 75.0M -1.07B -14.0M 0.46 7.45 N/A N/A 44,250 20,220 1,164,038 924,057 2015-08-14 $47.04 $46.00 18.4% 5.3% 22.3% 33.4% 18.7% 2.0% 0.4% 124.8M -1.22B -13.8M 0.32 8.97 N/A N/A 80,423 26,068 1,172,589 929,898 2015-08-17 $47.37 $46.00 18.3% 5.3% 22.3% 33.2% 21.1% 2.3% 0.0% 105.7M -1.33B -13.7M 0.09 6.85 N/A N/A 237,857 21,137 1,164,072 909,626 2015-08-18 $47.26 $46.00 18.1% 5.2% 22.3% 31.7% 17.7% 2.4% 0.2% 107.5M -1.19B -13.5M 0.35 6.18 N/A N/A 64,671 22,355 1,101,879 913,463 2015-08-19 $46.61 $46.00 18.9% 5.4% 18.4% 37.0% 19.2% 2.3% 0.7% 75.7M -857.7M -13.5M 0.81 9.86 N/A N/A 35,446 28,630 1,113,172 919,855 2015-08-20 $45.76 $46.00 21.9% 6.3% 19.0% 57.4% 22.1% 2.4% -0.1% 8.7M -443.0M -13.6M 0.27 9.32 N/A N/A 123,009 32,866 1,127,677 927,918 2015-08-21 $43.39 $46.00 28.9% 8.4% 26.7% 100.0% 28.4% 3.6% -1.0% -98.7M 569.1M -13.5M 1.43 10.96 N/A N/A 91,476 130,831 1,197,858 938,744 2015-08-24 $42.24 $46.00 36.1% 10.9% 27.8% 100.0% 36.2% 7.2% -2.2% 4.5M 442.5M -13.5M 0.71 18.51 N/A N/A 98,924 69,974 1,013,915 831,559 2015-08-25 $41.03 $45.00 34.3% 10.4% 29.1% 92.1% 35.2% 6.9% -0.4% -3.8M 802.8M -12.4M 0.72 15.19 N/A N/A 76,600 54,931 1,038,037 847,054 2015-08-26 $42.69 $45.00 31.6% 9.3% 31.9% 80.1% 31.7% 6.6% -1.1% 4.2M 386.1M -13.7M 0.93 17.68 N/A N/A 51,932 48,385 1,071,559 866,718 2015-08-27 $43.73 $45.00 29.3% 8.6% 32.8% 69.7% 29.3% 6.3% -1.0% 16.4M 21.1M -14.4M 0.60 14.70 N/A N/A 64,546 38,863 1,081,053 872,035 2015-08-28 $43.89 $45.00 28.3% 8.3% 32.9% 64.8% 29.4% 6.1% -0.6% 15.4M -69.9M -14.8M 0.43 8.91 N/A N/A 80,159 34,122 1,110,684 880,143 2015-08-31 $43.53 $45.00 29.1% 8.5% 32.9% 68.3% 29.5% 6.3% -0.4% 28.3M -50.5M -14.8M 0.68 10.94 N/A N/A 39,475 26,979 1,168,094 861,828
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