MSFT Options History — September 2015 In September 2015, MSFT traded between $41.85 and $44.29. ATM implied volatility averaged 28.2%, placing in the 63.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 6.7% (HV 20d: 34.9%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.97.
Notable Days 2015-09-01 : Highest Volume — 142,573 contracts2015-09-08 : Largest IV drop — 14.7% change2015-09-01 : Highest IV Rank — 93.9%2015-09-01 : Largest Expected Move — 10.4%Monthly Statistics Metric Avg Min Max Open Close Price $43.55 $41.85 $44.29 $41.85 $44.19 Max Pain $44.10 $44.00 $45.00 $45.00 $44.00 ATM IV 28.2% 23.7% 34.8% 34.8% 29.7% Expected Move 7.5% 6.3% 10.4% 10.4% 7.1% HV 20d 34.9% 24.4% 39.6% 34.3% 24.4% HV 60d 27.0% 25.4% 27.7% 25.4% 27.7% IV Rank 63.5% 42.8% 93.9% 93.9% 70.3% IV Percentile 92.0% 74.6% 99.6% 99.6% 96.8% Term Structure 0.6% -0.9% 6.0% -0.7% -0.7% VWIV 26.2% 21.3% 36.7% 36.7% 24.5% Skew 25d 6.7% 5.7% 7.7% 7.5% 7.1% Skew 10d 14.3% 11.0% 17.5% 15.1% 14.8% Call IV 25d 25.2% 20.3% 31.5% 31.5% 26.6% Put IV 25d 31.9% 26.0% 39.0% 39.0% 33.6% Bid-Ask Spread % 7.82 5.57 13.45 11.51 7.85 Gamma HHI 0.08 0.07 0.09 0.07 0.08 Net GEX 30.4M 8.5M 48.3M 8.5M 48.3M Net DEX -66.1M -350.5M 469.3M 469.3M -338.1M Net VEX -14.1M -15.0M -13.5M -14.0M -14.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.97 0.54 1.68 0.54 0.75 Total Volume 88,826.571 55,204 142,573 142,573 81,567 Total OI 2,130,503.857 2,018,929 2,229,333 2,018,929 2,156,421
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 2015-09-01 $41.85 $45.00 34.8% 10.4% 34.3% 93.9% 36.7% 7.5% -0.7% 8.5M 469.3M -14.0M 0.54 11.51 N/A N/A 92,526 50,047 1,150,046 868,883 2015-09-02 $43.14 $45.00 29.7% 8.6% 36.7% 70.8% 30.3% 6.9% -0.4% 20.7M 54.4M -14.6M 0.94 6.16 N/A N/A 51,900 48,744 1,176,156 887,079 2015-09-03 $43.59 $44.00 28.0% 7.8% 36.6% 63.0% 27.6% 6.6% -0.5% 27.4M -126.3M -15.0M 0.87 7.67 N/A N/A 42,343 36,854 1,198,733 898,957 2015-09-04 $42.70 $44.00 32.0% 8.8% 37.1% 81.3% 32.0% 7.7% -0.3% 19.0M 208.1M -14.6M 1.30 7.36 N/A N/A 57,105 74,259 1,200,313 905,004 2015-09-08 $43.89 $44.00 27.3% 7.7% 38.4% 59.4% 28.3% 6.5% -0.5% 30.1M -220.4M -15.0M 1.01 8.14 N/A N/A 40,490 40,975 1,192,201 919,874 2015-09-09 $42.97 $44.00 28.0% 8.0% 38.6% 62.3% 27.2% 6.8% -0.0% 15.9M 179.0M -14.4M 0.56 7.33 N/A N/A 70,338 39,686 1,202,646 943,866 2015-09-10 $43.25 $44.00 27.1% 7.7% 38.5% 58.3% 26.8% 6.8% -0.4% 23.4M 64.1M -14.2M 0.76 5.79 N/A N/A 41,399 31,625 1,232,991 950,753 2015-09-11 $43.38 $44.00 25.8% 7.5% 38.5% 52.1% 24.3% 6.2% 0.6% 13.3M 42.0M -14.4M 1.61 5.89 N/A N/A 28,746 46,304 1,240,730 958,817 2015-09-14 $43.02 $44.00 26.7% 7.6% 38.4% 56.5% 26.3% 6.5% 3.6% 18.4M 207.4M -13.9M 1.28 6.41 N/A N/A 26,920 34,458 1,218,207 931,168 2015-09-15 $43.98 $44.00 24.4% 7.0% 39.4% 46.1% 24.4% 6.2% 3.7% 34.4M -211.4M -14.4M 0.75 9.15 N/A N/A 31,627 23,577 1,224,603 940,949 2015-09-16 $44.29 $44.00 23.7% 6.8% 39.6% 42.8% 25.4% 6.3% 3.3% 42.2M -350.5M -14.2M 1.03 5.57 N/A N/A 35,571 36,740 1,233,181 947,903 2015-09-17 $44.22 $44.00 23.8% 6.6% 39.4% 43.1% 23.2% 5.7% 3.7% 44.6M -308.6M -14.0M 0.74 13.45 N/A N/A 61,005 45,244 1,239,777 960,778 2015-09-18 $43.51 $44.00 24.6% 6.4% 39.3% 46.8% 23.0% 6.2% 6.0% 25.9M 69.8M -13.5M 1.39 8.14 N/A N/A 51,684 71,613 1,261,345 967,988 2015-09-21 $44.17 $44.00 26.3% 6.3% 34.8% 54.4% 21.3% 6.4% -0.5% 40.2M -287.6M -13.5M 0.57 8.36 N/A N/A 64,180 36,643 1,140,904 900,186 2015-09-22 $43.45 $44.00 29.0% 7.0% 33.9% 67.1% 24.4% 6.5% -0.8% 29.7M -44.0M -13.7M 1.02 6.36 N/A N/A 29,777 30,510 1,172,892 911,225 2015-09-23 $43.97 $44.00 28.9% 6.6% 32.1% 66.7% 23.4% 6.8% -0.7% 42.4M -236.9M -13.9M 0.71 7.41 N/A N/A 34,938 24,675 1,183,852 921,894 2015-09-24 $43.95 $44.00 29.5% 6.8% 29.1% 69.2% 24.2% 6.6% -0.9% 43.7M -244.1M -13.9M 1.68 8.00 N/A N/A 31,270 52,559 1,200,017 924,088 2015-09-25 $43.99 $44.00 29.2% 6.9% 27.9% 68.2% 23.8% 6.7% -0.9% 46.8M -260.7M -13.7M 0.95 7.85 N/A N/A 54,286 51,729 1,199,548 936,721 2015-09-28 $43.42 $44.00 32.1% 8.0% 28.2% 81.4% 27.1% 7.5% -0.9% 30.2M -10.2M -13.8M 1.13 6.75 N/A N/A 39,311 44,348 1,190,862 920,762 2015-09-29 $43.52 $44.00 32.0% 8.0% 28.1% 81.0% 27.0% 7.4% -0.9% 33.3M -44.3M -13.7M 0.70 9.16 N/A N/A 45,721 32,064 1,197,172 931,089 2015-09-30 $44.19 $44.00 29.7% 7.1% 24.4% 70.3% 24.5% 7.1% -0.7% 48.3M -338.1M -14.1M 0.75 7.85 N/A N/A 46,722 34,845 1,220,573 935,848
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