MSFT Options History — February 2016

In February 2016, MSFT traded between $49.29 and $54.73. ATM implied volatility averaged 27.9%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 4.8% (HV 20d: 32.7%). Max pain ranged from $52.50 to $52.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.68.

Notable Days

2016-02-12: Highest Volume — 212,131 contracts
2016-02-05: Largest IV spike — 11.1% change
2016-02-09: Highest IV Rank — 74.1%
2016-02-09: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.34	$49.29	$54.73	$54.73	$50.84
Max Pain	$52.50	$52.50	$52.50	$52.50	$52.50
ATM IV	27.9%	24.0%	33.3%	24.0%	24.9%
Expected Move	8.1%	7.0%	9.6%	7.0%	7.3%
HV 20d	32.7%	26.6%	34.7%	32.6%	26.6%
HV 60d	26.2%	24.1%	27.4%	24.1%	27.2%
IV Rank	52.7%	37.5%	74.1%	37.5%	41.2%
IV Percentile	77.6%	61.9%	93.3%	64.7%	64.3%
Term Structure	-0.3%	-1.0%	0.6%	-0.0%	-0.1%
VWIV	28.0%	23.2%	33.1%	25.6%	26.2%
Skew 25d	5.1%	3.9%	6.1%	3.9%	4.5%
Skew 10d	10.6%	8.4%	12.7%	8.4%	8.7%
Call IV 25d	25.8%	22.2%	31.1%	22.2%	23.1%
Put IV 25d	30.9%	26.0%	37.2%	26.0%	27.6%
Bid-Ask Spread %	10.19	8.08	15.57	8.32	10.50
Gamma HHI	0.12	0.08	0.17	0.17	0.11
Net GEX	60.0M	5.5M	126.6M	126.6M	50.4M
Net DEX	-551.6M	-1.94B	276.5M	-1.94B	-314.5M
Net VEX	-14.3M	-14.9M	-13.1M	-14.6M	-14.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.35	1.06	0.51	0.57
Total Volume	141,245.25	63,624	212,131	127,739	63,624
Total OI	1,990,251.3	1,672,973	2,254,547	1,901,836	1,743,447

Daily Data (20 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
2016-02-01	$54.73	$52.50	24.0%	7.0%	32.6%	37.5%	25.6%	3.9%	-0.0%	126.6M	-1.94B	-14.6M	0.51	8.32	N/A	N/A	84,533	43,206	1,227,663	674,173
2016-02-02	$52.99	$52.50	26.0%	7.8%	33.9%	45.5%	27.6%	4.7%	-0.2%	87.2M	-1.09B	-14.3M	0.83	9.56	N/A	N/A	63,854	53,310	1,259,117	691,785
2016-02-03	$52.15	$52.50	27.4%	8.2%	33.9%	50.7%	29.5%	4.8%	-0.4%	66.5M	-688.4M	-14.2M	0.87	12.94	N/A	N/A	66,685	57,982	1,283,672	709,949
2016-02-04	$51.88	$52.50	27.2%	7.6%	33.2%	50.0%	25.8%	4.8%	-0.5%	64.4M	-530.8M	-14.0M	0.63	9.10	N/A	N/A	57,771	36,207	1,291,113	725,567
2016-02-05	$50.01	$52.50	30.2%	8.4%	34.4%	62.0%	28.3%	5.1%	-0.7%	5.5M	276.5M	-13.1M	0.52	10.40	N/A	N/A	124,129	63,992	1,285,789	731,452
2016-02-08	$49.29	$52.50	32.8%	9.2%	34.7%	72.0%	32.6%	5.8%	-0.8%	13.4M	234.1M	-13.7M	0.67	8.81	N/A	N/A	113,787	75,982	1,307,785	710,245
2016-02-09	$49.33	$52.50	33.3%	9.6%	34.7%	74.1%	33.1%	6.1%	0.4%	12.5M	271.3M	-13.9M	0.41	10.32	N/A	N/A	133,412	55,244	1,319,070	749,709
2016-02-10	$49.72	$52.50	33.0%	9.4%	34.7%	72.7%	31.6%	5.8%	-0.1%	27.4M	87.6M	-14.2M	0.54	10.64	N/A	N/A	107,530	58,173	1,382,517	757,343
2016-02-11	$49.80	$52.50	32.9%	9.5%	34.2%	72.5%	32.4%	5.9%	0.3%	31.6M	56.0M	-14.6M	0.62	10.59	N/A	N/A	79,275	49,219	1,415,691	775,693
2016-02-12	$50.40	$52.50	30.9%	9.0%	33.3%	64.6%	30.8%	5.5%	0.6%	58.9M	-208.3M	-14.6M	0.99	9.05	N/A	N/A	106,760	105,371	1,444,918	785,522
2016-02-16	$50.95	$52.50	30.0%	8.6%	30.7%	61.1%	30.1%	5.4%	-1.0%	53.2M	-442.7M	-14.5M	1.06	8.08	N/A	N/A	47,956	50,705	1,422,285	781,409
2016-02-17	$52.37	$52.50	26.9%	7.7%	32.1%	49.0%	27.7%	5.4%	-0.5%	92.8M	-1.22B	-14.9M	0.35	10.83	N/A	N/A	120,198	42,548	1,433,640	789,319
2016-02-18	$52.20	$52.50	26.4%	7.5%	32.2%	46.7%	27.0%	5.5%	0.1%	87.1M	-1.11B	-14.8M	0.81	10.46	N/A	N/A	70,522	56,772	1,455,315	799,232
2016-02-19	$51.76	$52.50	25.3%	7.2%	32.3%	42.6%	25.1%	4.9%	0.2%	88.3M	-815.2M	-14.3M	0.86	9.49	N/A	N/A	111,362	96,104	1,433,706	804,234
2016-02-22	$52.60	$52.50	24.6%	7.1%	31.0%	39.7%	23.2%	4.7%	-0.4%	82.1M	-1.14B	-14.8M	0.72	8.41	N/A	N/A	67,024	48,446	1,026,234	646,739
2016-02-23	$51.14	$52.50	25.6%	7.4%	32.5%	43.6%	24.0%	4.8%	-0.6%	64.0M	-507.2M	-14.4M	0.62	8.62	N/A	N/A	107,824	66,990	1,072,721	649,266
2016-02-24	$51.28	$52.50	27.1%	8.1%	32.4%	49.5%	27.8%	5.3%	-0.7%	55.3M	-530.0M	-14.5M	0.66	12.51	N/A	N/A	63,658	42,043	1,044,735	669,237
2016-02-25	$52.00	$52.50	24.7%	7.2%	32.1%	40.1%	26.2%	4.8%	-0.2%	79.3M	-853.2M	-14.8M	0.97	15.57	N/A	N/A	43,080	41,868	1,067,853	673,484
2016-02-26	$51.33	$52.50	24.6%	7.1%	31.9%	39.7%	24.6%	4.5%	-0.6%	52.6M	-555.5M	-14.4M	0.43	9.67	N/A	N/A	103,202	44,557	1,078,564	684,833
2016-02-29	$50.84	$52.50	24.9%	7.3%	26.6%	41.2%	26.2%	4.5%	-0.1%	50.4M	-314.5M	-14.0M	0.57	10.50	N/A	N/A	40,560	23,064	1,069,760	673,687