MSFT Options History — June 2016

In June 2016, MSFT traded between $48.38 and $52.80. ATM implied volatility averaged 23.7%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.8% (HV 20d: 19.9%). Max pain ranged from $50.50 to $52.50. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.84.

Notable Days

2016-06-13: Highest Volume — 179,695 contracts
2016-06-24: Largest IV spike — 16.9% change
2016-06-27: Highest IV Rank — 73.6%
2016-06-27: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.92	$48.38	$52.80	$52.80	$51.05
Max Pain	$52.11	$50.50	$52.50	$52.50	$50.50
ATM IV	23.7%	17.9%	34.0%	18.0%	27.7%
Expected Move	5.7%	4.9%	7.5%	4.9%	5.1%
HV 20d	19.9%	16.5%	27.1%	17.8%	27.1%
HV 60d	23.9%	23.1%	26.1%	24.2%	26.1%
IV Rank	27.8%	1.8%	73.6%	2.2%	45.8%
IV Percentile	46.2%	1.6%	93.3%	2.8%	75.8%
Term Structure	0.9%	-1.6%	7.5%	-0.2%	-1.3%
VWIV	20.8%	18.3%	26.1%	18.3%	18.9%
Skew 25d	4.8%	3.3%	7.6%	3.4%	5.6%
Skew 10d	9.9%	5.8%	13.9%	7.3%	12.6%
Call IV 25d	21.6%	16.7%	30.5%	16.9%	25.3%
Put IV 25d	26.5%	20.0%	37.2%	20.3%	30.9%
Bid-Ask Spread %	3.99	2.42	13.36	3.17	4.27
Gamma HHI	0.10	0.07	0.15	0.15	0.08
Net GEX	40.7M	-12.9M	90.1M	90.1M	36.7M
Net DEX	-141.3M	-931.2M	711.1M	-931.2M	-342.7M
Net VEX	-13.1M	-13.6M	-12.5M	-13.5M	-13.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.47	1.33	0.70	1.33
Total Volume	94,690.455	45,882	179,695	84,467	128,030
Total OI	1,733,276.909	1,546,469	1,897,171	1,688,114	1,778,753

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
2016-06-01	$52.80	$52.50	18.0%	4.9%	17.8%	2.2%	18.3%	3.4%	-0.2%	90.1M	-931.2M	-13.5M	0.70	3.17	N/A	N/A	49,575	34,892	971,132	716,982
2016-06-02	$52.37	$52.50	18.1%	5.1%	18.2%	2.7%	19.3%	3.4%	-0.2%	84.0M	-701.6M	-13.2M	0.91	2.42	N/A	N/A	48,554	44,218	985,924	720,442
2016-06-03	$51.77	$52.50	17.9%	5.0%	18.8%	1.8%	18.9%	3.3%	0.1%	60.2M	-394.9M	-13.1M	0.61	2.68	N/A	N/A	46,904	28,784	1,004,488	741,241
2016-06-06	$52.22	$52.50	18.5%	5.2%	18.8%	4.4%	18.5%	3.5%	-0.1%	75.3M	-605.5M	-13.2M	0.51	2.47	N/A	N/A	38,402	19,661	991,823	734,392
2016-06-07	$52.15	$52.50	18.6%	5.1%	18.7%	4.8%	18.8%	3.3%	-0.7%	78.7M	-571.4M	-13.1M	0.78	2.74	N/A	N/A	33,682	26,218	1,006,143	738,370
2016-06-08	$52.03	$52.50	18.4%	5.1%	17.6%	4.0%	18.7%	3.4%	-0.5%	78.2M	-527.9M	-13.1M	1.12	2.59	N/A	N/A	21,686	24,196	1,013,890	741,811
2016-06-09	$51.71	$52.50	18.6%	5.2%	17.8%	4.8%	19.0%	3.4%	-0.7%	69.6M	-365.7M	-12.9M	0.80	2.72	N/A	N/A	29,699	23,624	1,019,449	742,251
2016-06-10	$51.46	$52.50	19.4%	5.4%	17.6%	8.4%	19.9%	3.7%	-1.0%	68.6M	-256.7M	-13.1M	0.66	3.62	N/A	N/A	48,780	32,016	1,023,703	751,005
2016-06-13	$50.19	$52.50	22.4%	6.4%	19.6%	22.1%	23.0%	4.9%	5.9%	18.0M	244.7M	-12.5M	0.89	3.88	N/A	N/A	95,085	84,610	1,010,826	747,366
2016-06-14	$49.75	$52.50	22.2%	6.3%	18.9%	20.8%	23.0%	4.9%	7.0%	3.9M	409.1M	-12.6M	0.69	3.45	N/A	N/A	60,520	41,854	1,041,058	780,794
2016-06-15	$49.71	$52.50	21.5%	6.2%	18.4%	18.0%	22.4%	4.7%	7.5%	4.0M	412.8M	-12.5M	1.01	4.13	N/A	N/A	34,238	34,671	1,057,978	793,559
2016-06-16	$50.32	$52.50	23.1%	6.3%	18.8%	24.9%	22.9%	4.7%	6.2%	21.8M	167.1M	-12.8M	0.81	3.18	N/A	N/A	51,080	41,477	1,063,717	806,103
2016-06-17	$50.16	$52.50	23.7%	6.0%	18.6%	27.7%	20.9%	4.9%	7.3%	37.3M	162.9M	-12.7M	0.87	4.02	N/A	N/A	45,560	39,767	1,081,869	815,302
2016-06-20	$50.07	$52.50	26.0%	5.7%	18.5%	38.0%	19.5%	5.4%	-1.4%	14.4M	87.3M	-12.6M	0.47	3.13	N/A	N/A	68,860	32,204	870,835	675,634
2016-06-21	$51.28	$52.00	26.1%	5.5%	19.9%	38.3%	20.2%	5.7%	-1.3%	47.4M	-349.4M	-13.3M	0.93	3.11	N/A	N/A	63,098	58,383	901,720	693,520
2016-06-22	$51.06	$52.00	28.8%	6.0%	16.5%	50.4%	22.0%	6.3%	-1.5%	37.2M	-240.9M	-13.5M	1.23	3.83	N/A	N/A	28,418	34,865	920,761	722,588
2016-06-23	$51.91	$51.50	27.3%	5.3%	17.1%	43.7%	19.8%	5.8%	-1.3%	68.4M	-596.1M	-13.6M	1.17	5.09	N/A	N/A	35,413	41,465	929,865	738,210
2016-06-24	$49.85	$52.00	31.9%	7.0%	22.3%	64.2%	26.1%	7.6%	-1.6%	-1.3M	271.4M	-13.3M	0.97	13.36	N/A	N/A	83,562	80,832	934,444	751,666
2016-06-27	$48.38	$51.50	34.0%	7.5%	24.1%	73.6%	26.0%	6.8%	-1.6%	-12.9M	711.1M	-12.7M	0.83	5.02	N/A	N/A	77,856	65,002	906,938	760,558
2016-06-28	$49.43	$51.00	30.9%	6.3%	25.5%	60.0%	22.1%	5.7%	-1.3%	-2.3M	368.1M	-13.2M	0.61	4.54	N/A	N/A	53,140	32,370	931,594	781,511
2016-06-29	$50.50	$51.00	28.9%	5.7%	26.8%	50.9%	19.8%	5.8%	-0.5%	19.2M	-60.1M	-13.5M	0.49	4.47	N/A	N/A	80,586	39,353	941,524	790,353
2016-06-30	$51.05	$50.50	27.7%	5.1%	27.1%	45.8%	18.9%	5.6%	-1.3%	36.7M	-342.7M	-13.6M	1.33	4.27	N/A	N/A	55,030	73,000	974,405	804,348