MSFT Options History — January 2016

In January 2016, MSFT traded between $50.66 and $55.15. ATM implied volatility averaged 34.6%, placing in the 86.2% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 10.1% (HV 20d: 24.5%). Max pain ranged from $52.50 to $52.50. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.65.

Notable Days

2016-01-15: Highest Volume — 433,494 contracts
2016-01-29: Largest IV drop — 30.4% change
2016-01-08: Highest IV Rank — 100.0%
2016-01-20: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.40	$50.66	$55.15	$54.55	$54.53
Max Pain	$52.50	$52.50	$52.50	$52.50	$52.50
ATM IV	34.6%	24.3%	39.9%	32.1%	24.3%
Expected Move	9.8%	7.1%	11.4%	8.4%	7.1%
HV 20d	24.5%	20.6%	32.9%	23.0%	32.9%
HV 60d	27.2%	21.3%	31.5%	28.9%	24.4%
IV Rank	86.2%	38.6%	100.0%	81.3%	38.6%
IV Percentile	96.4%	65.9%	100.0%	98.4%	65.9%
Term Structure	-1.8%	-2.8%	-0.4%	-1.6%	-0.4%
VWIV	33.8%	25.0%	40.0%	29.5%	25.0%
Skew 25d	5.3%	3.5%	7.0%	4.3%	4.2%
Skew 10d	10.4%	7.1%	14.7%	10.5%	7.4%
Call IV 25d	32.1%	23.1%	36.2%	29.9%	23.1%
Put IV 25d	37.3%	27.3%	43.2%	34.3%	27.3%
Bid-Ask Spread %	9.65	6.74	12.80	10.51	9.19
Gamma HHI	0.14	0.10	0.20	0.19	0.15
Net GEX	83.7M	-1.6M	160.0M	138.8M	160.0M
Net DEX	-1.28B	-3.03B	-309.2M	-2.62B	-2.16B
Net VEX	-14.6M	-15.1M	-13.9M	-14.6M	-14.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.35	0.98	0.95	0.35
Total Volume	178,446.842	93,518	433,494	173,010	175,129
Total OI	2,326,725.684	1,772,764	2,868,984	2,551,041	2,062,809

Daily Data (19 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
2016-01-04	$54.55	$52.50	32.1%	8.4%	23.0%	81.3%	29.5%	4.3%	-1.6%	138.8M	-2.62B	-14.6M	0.95	10.51	N/A	N/A	88,505	84,505	1,445,959	1,105,082
2016-01-05	$55.15	$52.50	31.1%	8.2%	20.6%	77.0%	28.8%	3.5%	-1.7%	145.1M	-3.03B	-14.7M	0.61	7.42	N/A	N/A	84,912	51,908	1,473,475	1,147,601
2016-01-06	$53.97	$52.50	32.3%	8.5%	21.9%	82.5%	29.4%	4.2%	-1.2%	115.1M	-2.21B	-14.9M	0.56	10.12	N/A	N/A	71,876	40,544	1,501,117	1,170,926
2016-01-07	$52.58	$52.50	35.9%	9.5%	23.5%	99.0%	32.3%	4.9%	-2.0%	93.1M	-1.33B	-14.8M	0.58	12.54	N/A	N/A	110,197	63,873	1,522,343	1,179,934
2016-01-08	$52.32	$52.50	36.1%	9.6%	22.8%	100.0%	33.0%	4.5%	-2.3%	97.2M	-1.14B	-14.7M	0.75	9.20	N/A	N/A	81,989	61,613	1,554,560	1,201,059
2016-01-11	$52.36	$52.50	35.1%	9.4%	22.5%	95.1%	33.8%	4.5%	-1.2%	99.9M	-1.35B	-14.2M	0.98	12.03	N/A	N/A	94,741	92,440	1,525,277	1,175,540
2016-01-12	$52.77	$52.50	33.1%	9.2%	21.6%	86.1%	32.1%	4.8%	-0.9%	90.6M	-1.63B	-14.3M	0.95	9.35	N/A	N/A	57,635	54,931	1,541,911	1,210,958
2016-01-13	$51.81	$52.50	35.8%	9.6%	21.2%	98.2%	32.9%	5.2%	-2.8%	80.0M	-881.1M	-14.2M	0.57	12.80	N/A	N/A	127,169	72,497	1,558,121	1,230,821
2016-01-14	$53.02	$52.50	34.6%	9.6%	23.0%	93.0%	32.7%	5.3%	-1.0%	90.9M	-1.84B	-14.7M	0.47	11.71	N/A	N/A	135,865	63,988	1,588,034	1,246,010
2016-01-15	$51.00	$52.50	38.6%	10.7%	25.4%	100.0%	36.3%	6.1%	-2.5%	-1.6M	-674.2M	-13.9M	0.66	11.75	N/A	N/A	261,921	171,573	1,607,935	1,261,049
2016-01-19	$50.72	$52.50	36.6%	10.4%	25.4%	92.0%	35.7%	6.0%	-2.3%	41.7M	-309.2M	-14.1M	0.54	8.34	N/A	N/A	94,977	51,273	1,163,584	609,180
2016-01-20	$50.89	$52.50	39.9%	11.4%	24.3%	100.0%	40.0%	7.0%	-2.6%	46.2M	-422.9M	-14.6M	0.63	11.22	N/A	N/A	141,661	88,829	1,162,671	627,204
2016-01-21	$50.66	$52.50	38.6%	11.2%	24.2%	95.1%	38.9%	6.9%	-2.8%	41.8M	-396.6M	-14.7M	0.84	7.82	N/A	N/A	76,459	64,145	1,231,311	666,050
2016-01-22	$52.21	$52.50	34.4%	10.1%	26.6%	78.4%	33.4%	6.2%	-2.3%	94.2M	-1.04B	-15.1M	0.74	9.23	N/A	N/A	83,673	62,270	1,239,455	682,753
2016-01-25	$51.74	$52.50	35.2%	10.7%	26.3%	81.8%	37.1%	6.3%	-1.6%	62.9M	-828.5M	-14.8M	0.73	8.06	N/A	N/A	69,157	50,569	1,200,262	659,365
2016-01-26	$52.10	$52.50	34.4%	10.6%	26.6%	78.3%	37.7%	5.7%	-2.0%	71.8M	-980.1M	-15.0M	0.36	6.77	N/A	N/A	77,908	28,019	1,219,164	663,866
2016-01-27	$51.17	$52.50	34.9%	10.9%	26.9%	80.3%	36.7%	5.6%	-1.6%	52.1M	-535.5M	-14.2M	0.71	6.74	N/A	N/A	54,577	38,941	1,196,449	670,921
2016-01-28	$52.04	$52.50	34.9%	11.1%	27.4%	80.6%	37.5%	4.9%	-1.9%	70.9M	-925.7M	-14.7M	0.43	8.59	N/A	N/A	252,108	108,113	1,220,911	684,121
2016-01-29	$54.53	$52.50	24.3%	7.1%	32.9%	38.6%	25.0%	4.2%	-0.4%	160.0M	-2.16B	-14.8M	0.35	9.19	N/A	N/A	129,562	45,567	1,320,643	742,166