MSFT Options History — November 2015

In November 2015, MSFT traded between $52.97 and $54.92. ATM implied volatility averaged 19.2%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 15.0% (HV 20d: 34.2%). Max pain ranged from $47.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.53.

Notable Days

  • 2015-11-16: Highest Volume — 1,060,971 contracts
  • 2015-11-18: Largest IV drop — 9.1% change
  • 2015-11-13: Highest IV Rank — 32.2%
  • 2015-11-13: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.90$52.97$54.92$53.11$54.35
Max Pain$51.40$47.00$55.00$47.00$55.00
ATM IV19.2%17.9%21.5%19.0%18.7%
Expected Move5.6%5.2%6.3%5.7%5.7%
HV 20d34.2%15.5%43.1%41.1%15.5%
HV 60d33.2%29.3%35.5%35.3%29.3%
IV Rank21.6%15.8%32.2%20.8%19.5%
IV Percentile37.0%16.7%55.2%38.5%29.0%
Term Structure0.3%-0.5%1.0%0.0%0.3%
VWIV20.1%14.7%26.7%20.8%19.8%
Skew 25d2.2%1.9%2.9%2.2%2.3%
Skew 10d4.2%2.4%6.0%3.9%4.4%
Call IV 25d18.6%17.2%21.2%18.4%18.0%
Put IV 25d20.8%19.3%23.2%20.6%20.3%
Bid-Ask Spread %7.934.9112.116.4011.01
Gamma HHI0.170.140.250.150.24
Net GEX162.0M134.4M202.0M146.0M164.3M
Net DEX-3.71B-5.34B-2.03B-4.39B-2.78B
Net VEX-15.6M-16.4M-14.4M-14.4M-15.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.061.060.600.34
Total Volume168,048.1546,6581,060,97193,749113,209
Total OI2,561,352.752,303,1222,822,7222,534,9272,343,719

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$53.11$47.0019.0%5.7%41.1%20.8%20.8%2.2%0.0%146.0M-4.39B-14.4M0.606.40N/AN/A58,76834,9811,511,1581,023,769
2015-11-03$54.24$47.0019.1%5.9%41.4%21.5%21.6%2.1%-0.1%149.0M-5.02B-14.5M0.415.28N/AN/A83,85834,6281,524,0791,032,763
2015-11-04$54.28$47.0019.0%5.8%41.3%21.0%20.6%2.3%0.1%153.0M-5.09B-14.4M0.507.66N/AN/A112,83656,0151,553,6601,057,289
2015-11-05$54.40$49.0019.0%5.4%41.3%20.8%20.5%2.2%-0.0%161.0M-5.10B-14.8M0.875.29N/AN/A73,72464,4901,570,2981,083,050
2015-11-06$54.92$49.0018.6%5.4%41.2%18.9%19.2%2.9%0.4%174.3M-5.34B-15.3M0.648.68N/AN/A76,93749,3301,595,1611,101,169
2015-11-09$54.16$49.0019.6%5.6%41.6%23.7%19.5%2.3%0.0%158.3M-4.80B-15.2M0.539.27N/AN/A70,23637,5141,557,1131,083,792
2015-11-10$53.50$49.0019.6%5.8%42.1%23.4%20.8%2.3%1.0%154.0M-4.18B-15.6M0.805.87N/AN/A53,79743,1351,577,1251,104,035
2015-11-11$53.78$49.0019.2%5.6%41.8%21.6%14.7%2.3%0.2%157.4M-4.38B-15.9M1.0612.11N/AN/A32,69834,7241,593,8751,113,376
2015-11-12$53.35$49.0020.3%6.1%42.2%26.6%20.5%1.9%1.0%152.8M-4.13B-16.0M0.366.64N/AN/A104,79937,3741,617,2061,127,723
2015-11-13$52.97$49.0021.5%6.3%42.4%32.2%22.4%2.0%0.8%137.3M-3.95B-16.1M0.438.69N/AN/A142,97961,5101,667,3851,136,401
2015-11-16$53.77$49.0019.8%5.7%42.5%24.6%26.7%2.3%0.3%172.2M-4.46B-16.1M0.068.03N/AN/A1,005,51455,4571,697,5701,125,152
2015-11-17$53.02$55.0020.8%6.0%43.1%29.0%21.5%2.4%-0.5%134.4M-2.03B-16.1M0.336.83N/AN/A124,64140,9461,320,6791,145,711
2015-11-18$53.84$55.0018.9%5.4%42.8%20.3%20.7%2.2%0.5%180.0M-2.63B-16.1M0.379.58N/AN/A105,48338,5491,334,6631,155,178
2015-11-19$54.02$55.0019.2%5.5%42.7%21.9%19.5%2.2%0.7%184.1M-2.78B-16.1M0.447.29N/AN/A109,28348,5031,360,0521,166,939
2015-11-20$54.10$55.0018.7%5.3%17.1%19.4%19.3%2.1%0.3%191.5M-2.84B-16.4M0.479.26N/AN/A124,27559,0281,371,4871,182,349
2015-11-23$54.19$55.0018.1%5.2%16.3%16.5%17.9%2.3%0.0%152.3M-2.60B-15.9M0.429.57N/AN/A65,25227,6781,271,4351,031,687
2015-11-24$54.25$55.0018.5%5.4%16.0%18.6%19.5%2.2%-0.1%160.8M-2.68B-16.1M0.679.17N/AN/A41,63627,8441,304,6241,046,512
2015-11-25$53.80$55.0018.1%5.3%16.2%16.8%18.5%1.9%0.1%154.4M-2.42B-15.9M0.677.16N/AN/A37,51725,1571,319,3071,041,589
2015-11-27$53.93$55.0017.9%5.2%15.8%15.8%18.2%2.0%0.1%202.0M-2.51B-15.7M0.604.91N/AN/A29,13017,5281,329,6971,048,278
2015-11-30$54.35$55.0018.7%5.7%15.5%19.5%19.8%2.3%0.3%164.3M-2.78B-15.6M0.3411.01N/AN/A84,80328,4061,311,2341,032,485