MSFT Options History — April 2016

In April 2016, MSFT traded between $49.84 and $56.45. ATM implied volatility averaged 24.8%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.2% (HV 20d: 21.6%). Max pain ranged from $51.00 to $54.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.78.

Notable Days

2016-04-22: Highest Volume — 464,455 contracts
2016-04-22: Largest IV drop — 21.0% change
2016-04-07: Highest IV Rank — 55.0%
2016-04-07: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.03	$49.84	$56.45	$55.50	$49.88
Max Pain	$52.50	$51.00	$54.00	$51.00	$52.50
ATM IV	24.8%	19.5%	29.3%	25.7%	21.1%
Expected Move	6.8%	4.5%	7.7%	4.5%	6.3%
HV 20d	21.6%	15.3%	31.8%	20.7%	30.7%
HV 60d	26.4%	24.5%	28.9%	27.4%	26.5%
IV Rank	36.0%	13.6%	55.0%	40.1%	20.5%
IV Percentile	60.2%	29.4%	85.3%	65.9%	41.7%
Term Structure	-1.1%	-1.8%	-0.3%	-1.6%	-0.9%
VWIV	24.3%	16.3%	29.3%	16.3%	22.5%
Skew 25d	4.4%	3.3%	5.3%	4.3%	3.8%
Skew 10d	8.5%	6.0%	11.9%	10.2%	7.2%
Call IV 25d	22.8%	18.0%	27.1%	24.3%	19.7%
Put IV 25d	27.2%	21.3%	32.4%	28.6%	23.6%
Bid-Ask Spread %	5.52	2.67	10.34	10.00	3.77
Gamma HHI	0.18	0.09	0.28	0.19	0.14
Net GEX	92.9M	-24.1M	182.5M	158.9M	-23.5M
Net DEX	-1.12B	-2.19B	760.2M	-2.19B	760.2M
Net VEX	-13.5M	-14.5M	-12.0M	-14.1M	-12.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.41	1.26	0.64	0.81
Total Volume	135,928.81	64,979	464,455	104,308	121,027
Total OI	1,739,100.476	1,455,708	1,888,164	1,725,913	1,888,164

Daily Data (21 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
2016-04-01	$55.50	$51.00	25.7%	4.5%	20.7%	40.1%	16.3%	4.3%	-1.6%	158.9M	-2.19B	-14.1M	0.64	10.00	N/A	N/A	63,671	40,637	1,045,175	680,738
2016-04-04	$55.35	$52.50	25.9%	7.1%	20.6%	40.7%	27.1%	4.2%	-1.1%	153.1M	-2.04B	-14.1M	0.97	5.68	N/A	N/A	32,971	32,008	1,038,457	670,937
2016-04-05	$54.51	$52.50	28.0%	7.4%	19.7%	49.7%	27.1%	4.8%	-1.1%	128.4M	-1.61B	-14.2M	1.08	5.05	N/A	N/A	45,387	48,989	1,044,716	679,179
2016-04-06	$55.18	$52.50	27.3%	7.3%	19.6%	46.8%	26.0%	4.7%	-1.2%	153.2M	-1.93B	-14.1M	0.83	8.89	N/A	N/A	42,784	35,555	1,055,841	700,312
2016-04-07	$54.43	$52.50	29.3%	7.7%	19.4%	55.0%	29.3%	5.3%	-1.6%	128.5M	-1.53B	-14.1M	1.26	7.27	N/A	N/A	30,256	38,186	1,065,138	711,097
2016-04-08	$54.40	$52.50	27.6%	7.4%	18.5%	48.1%	27.5%	5.2%	-1.7%	129.5M	-1.48B	-13.9M	0.74	7.38	N/A	N/A	45,921	34,088	1,071,017	721,044
2016-04-11	$54.45	$52.50	27.8%	7.5%	17.2%	48.7%	26.8%	4.9%	-1.0%	135.4M	-1.48B	-13.7M	0.76	6.34	N/A	N/A	45,841	34,894	1,058,388	715,222
2016-04-12	$54.60	$52.50	27.9%	7.5%	17.1%	49.1%	27.4%	5.0%	-1.5%	145.1M	-1.53B	-13.7M	0.77	8.26	N/A	N/A	47,964	36,862	1,069,213	727,641
2016-04-13	$55.41	$52.50	25.6%	7.2%	17.8%	39.5%	24.5%	4.6%	-0.4%	180.4M	-1.97B	-13.5M	0.56	2.73	N/A	N/A	66,927	37,384	1,070,774	740,795
2016-04-14	$55.30	$52.50	26.4%	7.4%	17.1%	42.7%	26.2%	4.8%	-0.3%	182.5M	-1.93B	-13.6M	0.99	2.90	N/A	N/A	44,756	44,347	1,079,633	755,310
2016-04-15	$55.65	$52.50	26.3%	7.4%	16.9%	42.6%	24.5%	4.6%	-0.9%	117.7M	-2.18B	-13.4M	0.41	3.80	N/A	N/A	142,502	58,110	1,084,244	758,368
2016-04-18	$56.45	$52.50	24.6%	7.0%	15.3%	35.3%	23.6%	4.9%	-1.6%	88.7M	-1.69B	-13.7M	0.46	6.03	N/A	N/A	94,150	43,547	824,497	631,211
2016-04-19	$56.27	$52.50	25.6%	7.3%	15.4%	39.5%	25.4%	4.5%	-1.7%	90.2M	-1.66B	-14.0M	0.75	2.67	N/A	N/A	81,802	61,503	859,634	650,146
2016-04-20	$55.55	$52.50	25.9%	7.4%	16.2%	40.5%	25.1%	4.6%	-1.7%	82.2M	-1.37B	-14.1M	0.61	4.69	N/A	N/A	106,739	64,645	901,230	690,636
2016-04-21	$55.83	$52.50	25.6%	7.4%	16.3%	39.3%	25.8%	4.1%	-1.8%	89.8M	-1.50B	-14.5M	0.85	10.34	N/A	N/A	154,023	131,519	944,032	715,132
2016-04-22	$51.77	$54.00	20.2%	5.8%	31.8%	16.5%	20.7%	3.3%	-0.4%	5.1M	477.6M	-12.4M	0.74	3.09	N/A	N/A	267,466	196,989	1,020,980	781,248
2016-04-25	$52.01	$52.50	19.5%	5.7%	31.6%	13.6%	20.2%	3.3%	-0.5%	16.8M	-17.6M	-13.0M	0.76	2.91	N/A	N/A	66,422	50,409	976,575	730,098
2016-04-26	$51.36	$52.50	19.8%	5.8%	30.5%	14.8%	21.2%	3.3%	-0.3%	9.4M	187.6M	-12.9M	0.48	5.43	N/A	N/A	71,921	34,466	1,000,247	742,549
2016-04-27	$50.91	$52.50	20.1%	6.0%	30.3%	16.3%	21.3%	3.5%	-0.3%	4.5M	326.5M	-12.8M	1.20	4.34	N/A	N/A	54,019	64,584	1,034,586	754,586
2016-04-28	$49.84	$52.50	20.3%	6.2%	30.7%	16.9%	22.3%	3.8%	-0.5%	-24.1M	740.4M	-12.0M	0.78	4.38	N/A	N/A	78,384	60,850	1,051,661	780,659
2016-04-29	$49.88	$52.50	21.1%	6.3%	30.7%	20.5%	22.5%	3.8%	-0.9%	-23.5M	760.2M	-12.5M	0.81	3.77	N/A	N/A	66,791	54,236	1,085,377	802,787