MSFT Options History — March 2016 In March 2016, MSFT traded between $50.91 and $55.35. ATM implied volatility averaged 23.8%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 1.1% (HV 20d: 24.9%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.74.
Notable Days 2016-03-18 : Highest Volume — 124,353 contracts2016-03-16 : Largest IV drop — 13.0% change2016-03-28 : Highest IV Rank — 54.0%2016-03-07 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $53.36 $50.91 $55.35 $52.45 $55.35 Max Pain $50.27 $50.00 $52.50 $52.50 $51.00 ATM IV 23.8% 19.4% 29.0% 21.9% 26.0% Expected Move 5.9% 4.9% 6.8% 6.4% 4.9% HV 20d 24.9% 21.2% 29.2% 29.2% 21.2% HV 60d 27.6% 27.2% 28.0% 28.0% 27.5% IV Rank 32.3% 13.2% 54.0% 28.8% 41.2% IV Percentile 57.1% 27.8% 84.5% 47.6% 67.9% Term Structure 1.1% -1.3% 7.5% 0.5% -1.3% VWIV 21.1% 16.9% 23.6% 22.4% 16.9% Skew 25d 4.1% 3.1% 4.7% 4.4% 4.0% Skew 10d 8.9% 6.3% 11.0% 9.3% 10.1% Call IV 25d 22.1% 18.4% 26.6% 20.1% 24.8% Put IV 25d 26.1% 21.5% 31.3% 24.5% 28.8% Bid-Ask Spread % 8.57 5.55 14.45 14.45 9.14 Gamma HHI 0.17 0.11 0.30 0.13 0.22 Net GEX 103.7M 46.1M 152.5M 91.2M 152.5M Net DEX -1.36B -2.24B -218.5M -1.02B -2.08B Net VEX -13.9M -14.5M -13.3M -14.5M -14.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.40 1.21 0.44 0.71 Total Volume 90,242.955 51,865 124,353 96,065 89,568 Total OI 1,751,605.636 1,497,821 1,889,931 1,767,910 1,695,542
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 2016-03-01 $52.45 $52.50 21.9% 6.4% 29.2% 28.8% 22.4% 4.4% 0.5% 91.2M -1.02B -14.5M 0.44 14.45 N/A N/A 66,871 29,194 1,086,333 681,577 2016-03-02 $52.85 $52.50 21.6% 6.3% 27.1% 24.5% 23.2% 4.4% 0.3% 102.0M -1.26B -14.5M 0.73 8.73 N/A N/A 36,471 26,590 1,090,725 687,796 2016-03-03 $52.33 $50.00 21.2% 6.2% 26.7% 22.1% 23.5% 4.1% 0.4% 91.5M -997.5M -14.3M 1.03 8.13 N/A N/A 49,014 50,510 1,107,662 700,005 2016-03-04 $52.02 $50.00 21.4% 6.1% 26.8% 22.8% 22.6% 3.8% 0.3% 81.8M -808.9M -14.0M 0.54 10.37 N/A N/A 77,310 41,689 1,123,741 723,610 2016-03-07 $50.91 $50.00 23.3% 6.8% 24.4% 29.6% 23.1% 4.2% 0.4% 46.1M -218.5M -13.3M 0.53 8.73 N/A N/A 63,790 34,031 1,109,581 710,124 2016-03-08 $51.60 $50.00 23.2% 6.4% 24.1% 29.3% 23.4% 3.6% -1.0% 70.9M -604.6M -14.0M 0.56 8.26 N/A N/A 58,570 32,517 1,127,500 724,309 2016-03-09 $52.68 $50.00 22.6% 6.5% 25.0% 26.5% 23.6% 4.0% -0.3% 104.1M -1.21B -14.4M 0.78 8.34 N/A N/A 44,177 34,623 1,132,150 733,306 2016-03-10 $51.93 $50.00 23.0% 6.4% 25.7% 28.3% 23.5% 4.1% -0.6% 76.1M -698.9M -14.0M 0.76 9.46 N/A N/A 61,450 46,639 1,135,590 745,533 2016-03-11 $53.00 $50.00 21.1% 6.2% 26.5% 20.5% 22.2% 3.8% 0.9% 127.7M -1.36B -14.2M 0.45 6.49 N/A N/A 71,065 31,953 1,141,398 747,894 2016-03-14 $53.32 $50.00 21.8% 6.3% 26.3% 23.3% 22.1% 4.1% 5.8% 100.1M -1.39B -13.9M 0.98 5.55 N/A N/A 26,219 25,646 1,078,975 723,041 2016-03-15 $53.50 $50.00 22.3% 6.4% 26.1% 25.5% 23.3% 4.3% 5.7% 103.5M -1.50B -13.8M 0.79 7.26 N/A N/A 45,442 35,796 1,088,137 730,178 2016-03-16 $54.30 $50.00 19.4% 5.6% 24.9% 13.2% 20.7% 3.5% 7.5% 134.0M -2.03B -13.8M 0.79 13.48 N/A N/A 52,126 41,279 1,108,060 732,809 2016-03-17 $54.81 $50.00 20.6% 5.5% 24.9% 18.2% 20.4% 3.1% 7.2% 151.7M -2.24B -13.9M 0.40 7.79 N/A N/A 63,059 25,463 1,112,568 743,878 2016-03-18 $53.61 $50.00 23.1% 6.0% 26.2% 29.0% 20.0% 3.5% 6.2% 101.6M -1.68B -13.5M 0.56 8.04 N/A N/A 79,589 44,764 1,136,250 753,681 2016-03-21 $53.79 $50.00 26.1% 5.6% 25.6% 41.7% 18.9% 4.5% -0.8% 86.9M -1.35B -13.5M 0.76 7.90 N/A N/A 53,783 40,960 920,349 577,472 2016-03-22 $54.08 $50.00 26.6% 5.5% 23.2% 43.8% 19.5% 4.2% -1.0% 98.5M -1.49B -13.6M 0.97 7.04 N/A N/A 37,560 36,593 950,086 603,443 2016-03-23 $54.01 $50.00 27.6% 5.4% 23.2% 47.8% 19.2% 4.4% -1.1% 100.6M -1.47B -13.9M 0.91 6.99 N/A N/A 34,245 31,080 973,528 612,861 2016-03-24 $54.18 $50.00 27.9% 5.4% 22.8% 49.1% 18.5% 4.3% -1.1% 104.8M -1.57B -14.0M 0.93 7.30 N/A N/A 32,856 30,709 984,258 625,324 2016-03-28 $53.46 $50.00 29.0% 5.8% 22.9% 54.0% 20.2% 4.7% -1.2% 88.2M -1.22B -13.6M 1.21 9.38 N/A N/A 32,293 38,978 974,437 617,192 2016-03-29 $54.70 $50.00 27.5% 5.2% 23.6% 47.5% 18.1% 4.6% -1.1% 127.1M -1.76B -13.7M 0.71 8.26 N/A N/A 62,918 44,750 987,130 636,449 2016-03-30 $55.09 $50.00 26.6% 5.1% 21.3% 43.7% 17.8% 4.3% -1.2% 141.5M -1.95B -13.8M 0.68 7.43 N/A N/A 73,215 49,990 1,007,058 653,784 2016-03-31 $55.35 $51.00 26.0% 4.9% 21.2% 41.2% 16.9% 4.0% -1.3% 152.5M -2.08B -14.2M 0.71 9.14 N/A N/A 52,353 37,215 1,028,231 667,311
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