MSFT Options History — December 2015 In December 2015, MSFT traded between $54.06 and $56.54. ATM implied volatility averaged 21.2%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.9% (HV 20d: 20.3%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.60.
Notable Days 2015-12-02 : Highest Volume — 265,782 contracts2015-12-28 : Largest IV spike — 30.1% change2015-12-31 : Highest IV Rank — 65.2%2015-12-11 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $55.42 $54.06 $56.54 $55.22 $55.64 Max Pain $50.45 $50.00 $55.00 $55.00 $50.00 ATM IV 21.2% 17.5% 28.6% 18.1% 28.6% Expected Move 5.7% 5.1% 6.5% 5.4% 5.3% HV 20d 20.3% 14.7% 22.8% 16.3% 22.7% HV 60d 29.1% 28.3% 29.6% 29.0% 28.5% IV Rank 31.1% 13.9% 65.2% 16.4% 65.2% IV Percentile 49.7% 11.1% 92.9% 18.7% 92.9% Term Structure 1.2% -1.3% 8.4% 0.3% -1.1% VWIV 20.3% 18.0% 24.9% 19.2% 18.5% Skew 25d 2.7% 1.8% 3.5% 1.9% 3.5% Skew 10d 5.6% 3.4% 10.6% 4.4% 6.7% Call IV 25d 20.4% 16.7% 27.5% 17.4% 27.5% Put IV 25d 23.0% 18.8% 31.0% 19.3% 31.0% Bid-Ask Spread % 7.98 5.53 10.86 10.27 7.29 Gamma HHI 0.19 0.17 0.24 0.24 0.20 Net GEX 185.2M 134.7M 237.7M 187.5M 166.6M Net DEX -3.40B -4.30B -2.41B -3.27B -3.35B Net VEX -15.5M -16.8M -14.4M -15.5M -14.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.27 0.89 0.32 0.77 Total Volume 137,288.909 42,188 265,782 133,271 117,275 Total OI 2,545,456.364 2,362,348 2,791,103 2,362,348 2,549,700
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 2015-12-01 $55.22 $55.00 18.1% 5.4% 16.3% 16.4% 19.2% 1.9% 0.3% 187.5M -3.27B -15.5M 0.32 10.27 N/A N/A 100,842 32,429 1,320,445 1,041,903 2015-12-02 $55.19 $55.00 18.5% 5.6% 14.7% 18.5% 19.6% 2.0% 0.3% 187.1M -3.33B -15.5M 0.27 9.65 N/A N/A 210,038 55,744 1,342,104 1,053,055 2015-12-03 $54.24 $50.00 19.7% 5.6% 16.1% 24.1% 20.9% 2.6% 0.1% 171.8M -2.73B -16.0M 0.47 8.92 N/A N/A 118,576 55,480 1,433,475 1,068,070 2015-12-04 $55.90 $50.00 17.5% 5.3% 19.3% 13.9% 18.7% 1.8% 0.3% 212.9M -3.90B -15.6M 0.51 7.38 N/A N/A 153,505 78,004 1,447,395 1,080,020 2015-12-07 $55.81 $50.00 18.4% 5.6% 19.1% 18.0% 19.6% 2.1% 1.0% 201.6M -3.64B -15.7M 0.77 7.02 N/A N/A 33,072 25,445 1,426,139 1,083,464 2015-12-08 $55.92 $50.00 18.8% 5.7% 18.3% 20.0% 19.8% 1.9% 0.8% 210.8M -3.79B -15.7M 0.84 6.50 N/A N/A 55,895 46,992 1,441,732 1,088,738 2015-12-09 $54.89 $50.00 20.0% 5.9% 19.0% 25.3% 20.5% 2.2% 0.5% 183.6M -3.02B -16.1M 0.54 8.41 N/A N/A 123,988 66,877 1,456,110 1,106,725 2015-12-10 $55.25 $50.00 19.6% 5.7% 19.1% 23.7% 22.1% 2.3% 0.1% 202.4M -3.32B -16.0M 0.75 5.53 N/A N/A 54,215 40,762 1,493,496 1,130,843 2015-12-11 $54.06 $50.00 23.2% 6.5% 20.6% 40.0% 24.9% 2.9% -0.6% 157.4M -2.41B -16.8M 0.66 6.05 N/A N/A 101,825 66,888 1,499,276 1,140,919 2015-12-14 $55.05 $50.00 22.6% 6.5% 21.2% 37.6% 24.3% 3.4% -0.4% 180.6M -3.07B -16.6M 0.42 7.45 N/A N/A 108,821 45,389 1,484,874 1,145,058 2015-12-15 $55.27 $50.00 21.9% 6.3% 20.7% 34.2% 22.1% 3.1% -0.5% 211.6M -3.49B -16.1M 0.51 5.73 N/A N/A 84,581 42,746 1,517,611 1,165,711 2015-12-16 $56.19 $50.00 20.7% 5.9% 20.5% 28.7% 20.3% 2.7% -0.9% 237.7M -4.30B -15.6M 0.43 10.86 N/A N/A 105,979 45,305 1,534,717 1,179,773 2015-12-17 $55.89 $50.00 20.2% 5.8% 20.1% 26.5% 20.5% 3.2% -0.8% 235.0M -3.93B -15.8M 0.55 9.49 N/A N/A 107,913 59,065 1,564,057 1,195,837 2015-12-18 $54.50 $50.00 20.8% 6.0% 22.3% 29.3% 21.1% 3.2% 0.2% 134.7M -2.47B -15.9M 0.61 9.01 N/A N/A 151,045 91,843 1,580,967 1,210,136 2015-12-21 $54.73 $50.00 20.8% 6.0% 22.3% 29.2% 20.8% 2.9% 6.9% 150.8M -2.94B -15.5M 0.70 10.52 N/A N/A 53,713 37,577 1,399,621 1,027,804 2015-12-22 $55.30 $50.00 19.6% 5.7% 22.6% 23.4% 20.1% 2.8% 7.3% 167.9M -3.29B -15.3M 0.55 8.25 N/A N/A 52,845 28,834 1,413,263 1,044,835 2015-12-23 $55.78 $50.00 18.1% 5.1% 22.8% 16.5% 18.3% 2.6% 8.1% 186.6M -3.60B -15.2M 0.55 5.67 N/A N/A 66,470 36,362 1,427,227 1,052,214 2015-12-24 $55.67 $50.00 19.6% 5.2% 22.5% 23.7% 18.0% 2.5% 8.4% 164.9M -3.49B -14.9M 0.89 7.29 N/A N/A 22,333 19,855 1,410,424 1,062,557 2015-12-28 $55.90 $50.00 25.6% 5.4% 22.5% 51.1% 19.7% 2.8% -1.2% 170.6M -3.60B -14.5M 0.89 9.79 N/A N/A 44,372 39,309 1,389,845 1,040,233 2015-12-29 $56.54 $50.00 26.8% 5.5% 22.7% 56.8% 19.7% 3.0% -1.3% 177.7M -3.97B -14.4M 0.60 7.65 N/A N/A 75,246 45,244 1,401,038 1,063,051 2015-12-30 $56.39 $50.00 27.7% 5.3% 22.1% 60.9% 18.3% 3.1% -1.3% 173.4M -3.83B -14.6M 0.65 6.92 N/A N/A 71,346 46,311 1,401,388 1,084,190 2015-12-31 $55.64 $50.00 28.6% 5.3% 22.7% 65.2% 18.5% 3.5% -1.1% 166.6M -3.35B -14.6M 0.77 7.29 N/A N/A 66,361 50,914 1,445,267 1,104,433
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