MSFT Options History — July 2016 In July 2016, MSFT traded between $51.15 and $56.76. ATM implied volatility averaged 21.4%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 5.4% (HV 20d: 26.8%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.80.
Notable Days 2016-07-20 : Highest Volume — 533,785 contracts2016-07-20 : Largest IV drop — 38.9% change2016-07-05 : Highest IV Rank — 46.7%2016-07-05 : Largest Expected Move — 7.7%Monthly Statistics Metric Avg Min Max Open Close Price $54.12 $51.15 $56.76 $51.29 $56.69 Max Pain $50.98 $50.00 $52.50 $51.00 $52.50 ATM IV 21.4% 14.8% 28.0% 26.3% 14.8% Expected Move 5.9% 4.3% 7.7% 4.5% 4.3% HV 20d 26.8% 23.7% 32.4% 26.9% 23.7% HV 60d 24.9% 21.1% 26.2% 26.0% 23.3% IV Rank 21.4% 0.0% 46.7% 39.4% 0.0% IV Percentile 35.6% 0.0% 77.8% 64.3% 0.0% Term Structure -0.4% -1.6% 0.8% -1.2% 0.4% VWIV 20.9% 15.6% 26.9% 17.0% 15.6% Skew 25d 4.2% 2.8% 5.9% 5.2% 3.0% Skew 10d 8.5% 4.8% 13.0% 11.2% 6.7% Call IV 25d 19.4% 13.2% 25.3% 24.7% 13.2% Put IV 25d 23.7% 16.2% 31.2% 29.9% 16.2% Bid-Ask Spread % 4.09 3.11 7.10 4.42 3.71 Gamma HHI 0.15 0.08 0.41 0.09 0.14 Net GEX 108.0M 31.2M 386.1M 36.6M 128.1M Net DEX -1.57B -2.82B -339.5M -452.3M -2.47B Net VEX -13.7M -14.4M -13.3M -13.6M -14.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.54 1.11 0.79 0.60 Total Volume 141,111.2 62,761 533,785 97,209 95,479 Total OI 1,854,401.9 1,600,757 2,039,568 1,820,011 1,895,946
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 2016-07-01 $51.29 $51.00 26.3% 4.5% 26.9% 39.4% 17.0% 5.2% -1.2% 36.6M -452.3M -13.6M 0.79 4.42 N/A N/A 54,166 43,043 985,141 834,870 2016-07-05 $51.15 $50.00 28.0% 7.7% 26.7% 46.7% 25.9% 5.9% -1.1% 31.2M -339.5M -13.3M 1.08 3.38 N/A N/A 30,162 32,599 962,832 810,804 2016-07-06 $51.40 $50.00 27.4% 7.1% 26.8% 44.4% 26.0% 5.8% -1.3% 37.6M -436.7M -13.4M 0.68 3.48 N/A N/A 57,183 39,011 971,223 819,030 2016-07-07 $51.33 $50.00 27.7% 7.1% 26.8% 45.4% 25.9% 5.9% -1.4% 41.3M -431.0M -13.3M 0.75 3.29 N/A N/A 40,221 30,287 985,630 826,828 2016-07-08 $52.28 $50.00 24.7% 6.7% 27.5% 32.2% 24.0% 5.7% -1.2% 76.4M -890.1M -13.3M 0.76 4.83 N/A N/A 71,593 54,657 989,250 834,969 2016-07-11 $52.66 $50.00 25.6% 7.0% 27.5% 36.4% 24.0% 5.1% -1.1% 66.2M -1.01B -13.3M 0.88 3.34 N/A N/A 51,081 44,760 984,163 834,370 2016-07-12 $53.19 $50.00 24.1% 6.8% 25.9% 29.4% 23.2% 4.9% -0.0% 78.5M -1.29B -13.3M 0.93 3.11 N/A N/A 65,588 61,125 1,001,302 848,612 2016-07-13 $53.65 $50.00 23.8% 7.0% 25.6% 28.4% 24.2% 4.4% 0.8% 92.4M -1.51B -13.6M 0.67 3.46 N/A N/A 73,551 49,498 1,017,642 876,629 2016-07-14 $53.75 $50.00 24.2% 7.0% 25.5% 30.1% 24.3% 4.6% 0.6% 102.9M -1.57B -13.5M 0.77 3.49 N/A N/A 57,156 44,116 1,047,181 894,049 2016-07-15 $53.61 $50.00 23.6% 6.8% 25.4% 27.2% 22.6% 4.1% 0.5% 68.7M -1.48B -13.3M 0.54 3.77 N/A N/A 92,725 50,352 1,049,741 900,287 2016-07-18 $53.99 $50.00 23.6% 6.7% 25.3% 27.2% 23.7% 4.2% -1.3% 76.5M -1.32B -13.5M 0.71 5.41 N/A N/A 128,094 90,462 857,084 743,673 2016-07-19 $53.05 $50.00 26.1% 7.4% 26.4% 38.5% 26.9% 4.0% -1.6% 68.6M -955.8M -14.1M 1.00 7.10 N/A N/A 171,043 171,611 934,690 793,440 2016-07-20 $56.25 $51.00 16.0% 4.6% 32.3% 0.0% 16.2% 2.9% -0.4% 161.8M -2.77B -13.6M 0.54 3.82 N/A N/A 346,295 187,490 1,011,113 873,442 2016-07-21 $55.81 $52.50 15.4% 4.4% 32.4% 0.0% 16.4% 3.0% -0.3% 151.9M -2.34B -14.3M 0.74 3.67 N/A N/A 75,428 55,548 1,078,148 936,050 2016-07-22 $56.49 $52.50 15.3% 4.4% 32.2% 0.0% 15.9% 2.8% -0.4% 386.1M -2.82B -14.0M 0.56 4.01 N/A N/A 88,497 49,337 1,092,001 947,567 2016-07-25 $56.64 $52.50 15.3% 4.4% 27.6% 0.0% 16.8% 3.6% 0.3% 141.4M -2.45B -14.1M 1.11 4.90 N/A N/A 39,433 43,791 994,862 837,818 2016-07-26 $56.76 $52.50 15.4% 4.5% 24.2% 0.6% 16.7% 3.4% 0.2% 144.7M -2.48B -14.3M 0.95 5.71 N/A N/A 42,879 40,548 1,006,327 851,167 2016-07-27 $56.27 $52.50 15.4% 4.5% 24.3% 0.6% 17.1% 3.2% 0.4% 136.3M -2.18B -14.4M 1.01 3.37 N/A N/A 41,550 42,095 1,011,188 858,532 2016-07-28 $56.21 $52.50 15.4% 4.5% 23.8% 0.7% 16.2% 3.2% 0.2% 132.2M -2.14B -14.3M 0.93 3.53 N/A N/A 36,151 33,619 1,020,931 869,506 2016-07-29 $56.69 $52.50 14.8% 4.3% 23.7% 0.0% 15.6% 3.0% 0.4% 128.1M -2.47B -14.1M 0.60 3.71 N/A N/A 59,712 35,767 1,027,933 868,013
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