MSFT Options History — May 2016

In May 2016, MSFT traded between $49.75 and $52.59. ATM implied volatility averaged 19.4%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 8.2% (HV 20d: 27.6%). Max pain ranged from $52.00 to $52.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.70.

Notable Days

2016-05-24: Highest Volume — 124,744 contracts
2016-05-17: Largest IV spike — 14.1% change
2016-05-03: Highest IV Rank — 19.8%
2016-05-04: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.98	$49.75	$52.59	$50.64	$52.59
Max Pain	$52.45	$52.00	$52.50	$52.50	$52.50
ATM IV	19.4%	17.7%	21.0%	19.5%	18.5%
Expected Move	5.6%	4.9%	6.5%	5.9%	5.0%
HV 20d	27.6%	17.9%	32.3%	31.5%	19.3%
HV 60d	25.3%	24.6%	26.7%	26.7%	24.6%
IV Rank	11.2%	1.6%	19.8%	13.6%	4.4%
IV Percentile	22.8%	1.6%	40.9%	27.8%	8.7%
Term Structure	0.3%	-0.5%	1.4%	0.1%	-0.3%
VWIV	20.0%	17.1%	24.0%	22.0%	18.3%
Skew 25d	3.5%	3.1%	4.0%	3.5%	3.3%
Skew 10d	6.8%	5.7%	8.2%	7.8%	7.7%
Call IV 25d	17.9%	16.5%	19.5%	17.9%	17.1%
Put IV 25d	21.4%	19.7%	23.3%	21.4%	20.4%
Bid-Ask Spread %	3.02	2.18	4.29	3.89	3.02
Gamma HHI	0.10	0.08	0.14	0.10	0.14
Net GEX	26.9M	-13.4M	79.9M	841.8K	79.9M
Net DEX	-7.1M	-815.6M	600.1M	337.5M	-815.6M
Net VEX	-12.9M	-13.3M	-12.2M	-12.8M	-13.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.40	1.17	0.42	0.60
Total Volume	87,964.571	50,812	124,744	124,203	65,409
Total OI	1,794,720.619	1,577,503	1,894,722	1,798,777	1,664,589

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
2016-05-02	$50.64	$52.50	19.5%	5.9%	31.5%	13.6%	22.0%	3.5%	0.1%	841.8K	337.5M	-12.8M	0.42	3.89	N/A	N/A	87,592	36,611	1,031,803	766,974
2016-05-03	$49.75	$52.00	21.0%	6.5%	31.6%	19.8%	22.0%	3.9%	-0.3%	-5.0M	600.1M	-12.4M	1.15	4.29	N/A	N/A	39,532	45,396	1,055,911	779,231
2016-05-04	$49.93	$52.00	20.9%	6.5%	31.2%	19.5%	24.0%	3.8%	-0.2%	3.1M	437.5M	-12.8M	0.88	3.13	N/A	N/A	32,935	28,874	1,069,405	771,240
2016-05-05	$49.83	$52.50	20.7%	6.0%	31.0%	18.7%	21.0%	3.8%	0.1%	-1.5M	500.9M	-12.8M	0.74	2.93	N/A	N/A	41,630	30,688	1,076,726	777,561
2016-05-06	$50.32	$52.50	19.8%	5.8%	31.4%	15.0%	20.4%	3.3%	0.4%	7.5M	311.9M	-12.9M	0.63	3.22	N/A	N/A	47,657	30,044	1,085,159	786,325
2016-05-09	$50.08	$52.50	20.1%	5.8%	31.4%	15.9%	21.2%	3.4%	0.4%	5.0M	411.5M	-12.7M	0.85	2.18	N/A	N/A	27,515	23,297	1,065,354	778,372
2016-05-10	$51.03	$52.50	19.1%	5.8%	32.3%	11.8%	20.0%	3.2%	1.1%	21.1M	46.2M	-13.2M	0.75	2.35	N/A	N/A	54,721	40,935	1,072,354	784,648
2016-05-11	$51.07	$52.50	18.7%	5.7%	31.7%	10.2%	20.0%	3.4%	1.4%	29.4M	-27.2M	-13.1M	0.72	2.66	N/A	N/A	62,268	44,888	1,084,779	780,080
2016-05-12	$51.52	$52.50	18.4%	5.2%	32.0%	9.1%	19.7%	3.2%	-0.3%	33.3M	-160.4M	-13.2M	0.85	3.07	N/A	N/A	45,986	38,969	1,096,380	791,511
2016-05-13	$51.12	$52.50	19.1%	5.7%	31.8%	11.8%	19.7%	3.5%	1.2%	31.4M	21.8M	-12.9M	0.56	3.39	N/A	N/A	57,599	32,255	1,099,210	795,512
2016-05-16	$51.87	$52.50	17.7%	5.1%	31.8%	6.1%	22.2%	3.6%	1.1%	43.0M	-308.5M	-13.1M	0.40	3.56	N/A	N/A	83,082	32,856	1,078,402	781,145
2016-05-17	$51.16	$52.50	20.2%	5.9%	32.0%	16.7%	18.5%	3.9%	-0.5%	20.4M	40.9M	-13.0M	0.50	2.58	N/A	N/A	37,294	18,676	1,051,587	785,923
2016-05-18	$50.71	$52.50	20.5%	5.9%	31.9%	14.2%	20.2%	3.7%	0.3%	5.6M	172.2M	-12.8M	1.17	2.36	N/A	N/A	41,236	48,047	1,061,869	788,542
2016-05-19	$50.36	$52.50	20.8%	5.9%	31.7%	15.7%	20.9%	3.9%	0.5%	-13.4M	300.5M	-12.6M	0.67	2.41	N/A	N/A	44,974	30,227	1,064,583	800,164
2016-05-20	$50.63	$52.50	19.6%	5.6%	17.9%	10.5%	19.6%	3.5%	0.5%	41.6M	123.4M	-12.7M	0.55	2.76	N/A	N/A	71,148	39,254	1,078,583	801,840
2016-05-23	$50.02	$52.50	19.9%	5.5%	18.2%	11.2%	19.2%	4.0%	0.4%	13.6M	192.2M	-12.2M	0.90	3.00	N/A	N/A	38,004	34,116	895,013	682,490
2016-05-24	$51.61	$52.50	18.7%	5.2%	21.2%	5.2%	18.6%	3.1%	0.4%	52.9M	-440.3M	-13.0M	0.47	3.11	N/A	N/A	84,606	40,138	913,379	694,103
2016-05-25	$52.18	$52.50	18.1%	5.0%	21.2%	2.5%	17.3%	3.2%	0.2%	63.1M	-665.9M	-13.2M	0.60	3.02	N/A	N/A	73,443	43,837	930,918	710,254
2016-05-26	$51.89	$52.50	17.9%	4.9%	19.7%	1.6%	18.3%	3.2%	0.4%	57.6M	-515.2M	-13.2M	0.96	3.60	N/A	N/A	37,529	36,015	944,350	724,086
2016-05-27	$52.25	$52.50	18.1%	4.9%	19.8%	2.6%	17.1%	3.1%	0.2%	75.8M	-711.7M	-13.3M	0.40	2.82	N/A	N/A	70,099	27,874	956,909	731,869
2016-05-31	$52.59	$52.50	18.5%	5.0%	19.3%	4.4%	18.3%	3.3%	-0.3%	79.9M	-815.6M	-13.3M	0.60	3.02	N/A	N/A	40,943	24,466	957,420	707,169