MSFT Options History — October 2015 In October 2015, MSFT traded between $43.89 and $54.17. ATM implied volatility averaged 24.8%, placing in the 47.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 2.2% (HV 20d: 26.9%). Max pain ranged from $44.00 to $47.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.65.
Notable Days 2015-10-23 : Highest Volume — 651,879 contracts2015-10-23 : Largest IV drop — 32.2% change2015-10-01 : Highest IV Rank — 73.2%2015-10-22 : Largest Expected Move — 8.3%Monthly Statistics Metric Avg Min Max Open Close Price $48.65 $43.89 $54.17 $43.89 $52.86 Max Pain $44.95 $44.00 $47.00 $44.00 $47.00 ATM IV 24.8% 19.2% 30.3% 30.3% 19.2% Expected Move 6.9% 5.7% 8.3% 7.1% 5.8% HV 20d 26.9% 18.1% 42.3% 22.3% 41.8% HV 60d 30.2% 27.3% 35.5% 27.8% 35.3% IV Rank 47.6% 21.7% 73.2% 73.2% 21.7% IV Percentile 75.1% 40.5% 97.2% 97.2% 40.5% Term Structure -0.8% -2.3% 0.2% -1.2% -0.1% VWIV 24.7% 20.1% 28.8% 25.6% 20.1% Skew 25d 4.8% 2.3% 7.1% 7.1% 2.4% Skew 10d 9.8% 3.3% 14.3% 11.5% 3.3% Call IV 25d 22.6% 18.3% 27.4% 27.4% 18.4% Put IV 25d 27.4% 20.8% 34.5% 34.5% 20.8% Bid-Ask Spread % 8.51 5.31 18.82 9.80 9.21 Gamma HHI 0.13 0.08 0.17 0.08 0.13 Net GEX 125.5M 46.6M 178.9M 46.6M 158.3M Net DEX -2.62B -5.64B -210.1M -210.1M -4.64B Net VEX -14.2M -15.2M -12.6M -13.8M -15.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.24 1.40 1.40 0.50 Total Volume 157,119.273 44,680 651,879 44,680 187,285 Total OI 2,288,317.955 1,938,711 2,653,281 2,189,452 2,653,281
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 2015-10-01 $43.89 $44.00 30.3% 7.1% 22.3% 73.2% 25.6% 7.1% -1.2% 46.6M -210.1M -13.8M 1.40 9.80 N/A N/A 18,613 26,067 1,245,710 943,742 2015-10-02 $45.36 $44.00 27.6% 6.1% 24.8% 60.4% 22.9% 6.2% -0.4% 81.8M -1.02B -14.4M 0.90 11.33 N/A N/A 60,032 53,941 1,258,406 955,134 2015-10-05 $46.63 $44.00 26.4% 7.2% 24.9% 55.2% 26.6% 5.6% -0.6% 108.9M -1.65B -14.5M 0.77 7.02 N/A N/A 75,310 57,908 1,247,122 937,033 2015-10-06 $46.79 $44.00 26.4% 7.3% 23.4% 55.1% 25.2% 5.6% -1.0% 112.1M -1.76B -14.5M 0.89 7.36 N/A N/A 49,407 43,804 1,273,416 958,276 2015-10-07 $46.69 $44.00 27.6% 7.4% 21.7% 60.5% 26.7% 6.1% -0.8% 112.4M -1.72B -14.6M 0.86 8.34 N/A N/A 44,848 38,356 1,284,812 960,311 2015-10-08 $47.33 $44.00 25.9% 7.2% 21.9% 52.6% 25.4% 5.7% -0.9% 130.8M -2.12B -14.4M 0.89 9.02 N/A N/A 45,979 40,844 1,293,822 963,892 2015-10-09 $47.25 $44.00 26.0% 7.2% 22.0% 53.2% 24.8% 5.6% -1.0% 178.9M -2.10B -14.4M 0.65 8.81 N/A N/A 40,335 26,064 1,325,319 972,774 2015-10-12 $46.97 $44.00 25.4% 7.2% 21.8% 50.6% 25.4% 5.6% -0.2% 124.2M -1.79B -13.8M 0.51 5.31 N/A N/A 48,345 24,755 1,267,534 942,172 2015-10-13 $46.86 $44.00 25.2% 7.1% 20.9% 49.7% 26.8% 5.2% -0.4% 124.7M -1.73B -13.8M 0.91 5.63 N/A N/A 34,396 31,204 1,282,964 947,413 2015-10-14 $46.58 $45.00 26.0% 7.2% 21.1% 53.1% 25.6% 5.7% -1.3% 116.4M -1.57B -13.7M 0.55 5.32 N/A N/A 49,800 27,520 1,289,964 957,596 2015-10-15 $46.93 $45.00 24.7% 7.0% 21.1% 47.2% 24.2% 5.7% -0.4% 133.1M -1.73B -13.8M 0.60 5.70 N/A N/A 38,359 23,179 1,290,728 960,040 2015-10-16 $47.38 $45.00 23.9% 6.9% 20.0% 43.3% 23.1% 5.4% 0.1% 122.7M -2.06B -13.5M 0.24 6.01 N/A N/A 122,013 29,897 1,294,154 962,148 2015-10-19 $47.59 $45.00 26.4% 7.5% 19.6% 55.0% 26.3% 5.7% -1.8% 105.0M -1.65B -13.7M 0.32 9.00 N/A N/A 141,975 45,647 1,118,650 820,061 2015-10-20 $47.69 $45.00 27.4% 7.8% 18.1% 59.6% 26.9% 5.4% -1.3% 118.9M -1.79B -14.4M 0.37 8.92 N/A N/A 120,847 44,958 1,207,101 840,944 2015-10-21 $47.16 $45.00 27.9% 8.0% 18.7% 61.8% 28.0% 5.6% -2.1% 128.0M -1.65B -14.7M 0.46 8.78 N/A N/A 77,676 36,028 1,299,525 860,051 2015-10-22 $47.80 $45.00 28.7% 8.3% 19.0% 65.9% 28.8% 4.0% -2.3% 135.8M -2.03B -15.2M 0.47 18.82 N/A N/A 302,381 141,399 1,322,391 879,067 2015-10-23 $53.41 $46.00 19.5% 5.7% 42.3% 23.1% 21.4% 2.7% -0.9% 118.9M -5.64B -12.6M 0.36 10.63 N/A N/A 478,058 173,821 1,429,446 964,189 2015-10-26 $54.17 $46.00 20.8% 6.2% 41.5% 29.1% 23.3% 2.7% -0.4% 135.2M -5.29B -14.2M 0.34 7.29 N/A N/A 182,410 62,177 1,468,695 951,095 2015-10-27 $53.70 $46.00 20.6% 6.3% 41.9% 28.4% 22.3% 2.6% -0.1% 149.6M -5.23B -14.5M 0.78 10.32 N/A N/A 97,804 76,326 1,530,932 974,892 2015-10-28 $53.91 $46.00 20.1% 6.0% 42.0% 25.7% 22.1% 2.8% -0.2% 158.3M -5.33B -14.2M 0.81 8.75 N/A N/A 82,988 67,410 1,561,398 1,015,883 2015-10-29 $53.35 $47.00 19.4% 5.9% 42.2% 22.6% 21.2% 2.3% 0.2% 160.1M -5.03B -14.5M 0.63 5.83 N/A N/A 53,116 33,342 1,588,555 1,042,357 2015-10-30 $52.86 $47.00 19.2% 5.8% 41.8% 21.7% 20.1% 2.4% -0.1% 158.3M -4.64B -15.0M 0.50 9.21 N/A N/A 124,577 62,708 1,602,602 1,050,679
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