MSFT Options History — August 2016

In August 2016, MSFT traded between $56.51 and $58.33. ATM implied volatility averaged 14.4%, placing in the 1.5% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 2.2% (HV 20d: 16.5%). Max pain ranged from $52.50 to $57.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.87.

Notable Days

2016-08-15: Highest Volume — 495,849 contracts
2016-08-03: Largest IV drop — 7.0% change
2016-08-31: Highest IV Rank — 5.0%
2016-08-02: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.71	$56.51	$58.33	$56.51	$57.49
Max Pain	$55.43	$52.50	$57.50	$52.50	$57.50
ATM IV	14.4%	13.7%	15.7%	15.2%	15.0%
Expected Move	4.1%	3.7%	4.6%	4.4%	4.1%
HV 20d	16.5%	8.2%	23.9%	23.9%	8.8%
HV 60d	22.3%	21.2%	23.3%	23.3%	21.3%
IV Rank	1.5%	0.0%	5.0%	1.7%	5.0%
IV Percentile	1.9%	0.0%	8.3%	0.4%	8.3%
Term Structure	0.5%	0.1%	1.5%	0.1%	0.4%
VWIV	15.4%	13.4%	22.7%	16.0%	15.4%
Skew 25d	3.1%	2.8%	3.5%	3.2%	2.9%
Skew 10d	6.8%	5.1%	8.0%	7.0%	5.9%
Call IV 25d	13.3%	12.4%	14.0%	13.9%	13.7%
Put IV 25d	16.4%	15.5%	17.5%	17.2%	16.6%
Bid-Ask Spread %	3.40	2.56	4.79	4.79	3.60
Gamma HHI	0.19	0.14	0.27	0.15	0.21
Net GEX	121.7M	51.7M	182.7M	127.2M	90.1M
Net DEX	-2.08B	-3.01B	-1.38B	-2.12B	-1.38B
Net VEX	-14.0M	-14.5M	-13.4M	-14.3M	-13.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.07	1.58	1.44	0.79
Total Volume	88,618.565	34,088	495,849	64,573	60,005
Total OI	1,782,212.957	1,525,429	1,984,741	1,829,719	1,662,701

Daily Data (23 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
2016-08-01	$56.51	$52.50	15.2%	4.4%	23.9%	1.7%	16.0%	3.2%	0.1%	127.2M	-2.12B	-14.3M	1.44	4.79	N/A	N/A	26,507	38,066	987,290	842,429
2016-08-02	$56.64	$52.50	15.7%	4.6%	23.7%	3.5%	16.4%	3.5%	0.1%	127.9M	-2.18B	-14.3M	0.75	3.27	N/A	N/A	40,868	30,646	991,183	856,598
2016-08-03	$56.90	$52.50	14.5%	4.3%	23.7%	0.0%	16.4%	3.4%	0.1%	135.6M	-2.32B	-14.2M	0.67	4.21	N/A	N/A	50,553	33,989	1,000,320	864,105
2016-08-04	$57.37	$52.50	14.8%	4.4%	23.6%	1.1%	15.3%	3.1%	0.2%	149.4M	-2.63B	-14.3M	0.58	3.84	N/A	N/A	67,963	39,247	1,021,379	872,820
2016-08-05	$57.94	$52.50	14.2%	4.3%	23.2%	0.0%	15.3%	2.8%	0.2%	182.4M	-2.97B	-14.3M	0.71	3.21	N/A	N/A	71,927	51,197	1,048,291	887,214
2016-08-08	$58.01	$52.50	14.6%	4.4%	23.3%	1.4%	16.4%	3.1%	0.8%	171.8M	-2.89B	-14.1M	0.86	3.34	N/A	N/A	32,631	28,120	1,050,258	877,193
2016-08-09	$58.17	$52.50	14.5%	4.4%	23.2%	1.1%	15.5%	2.9%	0.9%	175.3M	-3.00B	-14.2M	1.05	2.56	N/A	N/A	35,123	36,767	1,061,799	888,043
2016-08-10	$57.96	$52.50	14.3%	4.3%	23.3%	0.3%	16.3%	3.0%	0.8%	170.0M	-2.82B	-14.5M	0.87	2.87	N/A	N/A	31,839	27,576	1,066,056	898,124
2016-08-11	$58.33	$55.00	14.1%	4.4%	23.3%	0.0%	16.5%	3.1%	1.5%	182.7M	-3.01B	-14.5M	1.27	3.31	N/A	N/A	27,189	34,640	1,061,823	905,452
2016-08-12	$57.86	$55.00	13.7%	4.1%	23.6%	0.0%	15.6%	2.9%	0.9%	151.2M	-2.73B	-14.0M	0.86	2.90	N/A	N/A	45,758	39,438	1,065,907	918,834
2016-08-15	$58.14	$55.00	14.0%	4.0%	23.6%	0.9%	22.7%	3.2%	0.4%	167.8M	-2.79B	-13.7M	0.07	3.24	N/A	N/A	462,926	32,923	1,040,223	913,753
2016-08-16	$57.46	$57.50	14.2%	4.1%	23.0%	2.0%	14.8%	3.1%	0.5%	70.1M	-1.38B	-13.8M	0.57	3.00	N/A	N/A	62,753	35,670	820,542	919,986
2016-08-17	$57.56	$57.50	14.6%	4.2%	10.5%	3.4%	14.8%	3.4%	0.5%	74.5M	-1.40B	-13.6M	0.82	2.74	N/A	N/A	24,487	20,057	826,121	933,909
2016-08-18	$57.60	$57.50	14.2%	4.0%	10.0%	1.9%	14.3%	3.1%	0.7%	72.8M	-1.44B	-13.6M	0.82	3.58	N/A	N/A	18,727	15,361	834,192	941,726
2016-08-19	$57.60	$57.50	13.7%	3.8%	9.2%	0.0%	13.8%	3.1%	1.1%	51.7M	-1.48B	-13.5M	0.74	3.48	N/A	N/A	39,268	29,049	844,046	942,081
2016-08-22	$57.62	$57.50	14.1%	3.9%	9.2%	1.4%	14.5%	3.3%	0.3%	90.7M	-1.47B	-13.4M	0.87	3.88	N/A	N/A	37,142	32,232	772,831	752,598
2016-08-23	$57.90	$57.50	13.7%	3.7%	9.3%	0.0%	13.4%	2.9%	0.3%	97.0M	-1.60B	-13.5M	1.15	3.13	N/A	N/A	28,189	32,471	790,638	770,090
2016-08-24	$57.95	$57.50	13.9%	3.8%	8.5%	0.7%	13.6%	3.0%	0.4%	97.2M	-1.60B	-13.6M	1.58	3.82	N/A	N/A	15,609	24,622	798,797	782,475
2016-08-25	$58.26	$57.50	14.4%	4.0%	8.6%	2.7%	14.1%	3.1%	0.3%	103.4M	-1.74B	-13.9M	0.84	3.06	N/A	N/A	29,586	24,797	808,684	793,250
2016-08-26	$58.06	$57.50	14.7%	4.0%	8.4%	3.8%	14.7%	3.4%	0.3%	103.4M	-1.66B	-13.8M	0.89	3.43	N/A	N/A	49,006	43,404	817,374	798,472
2016-08-29	$58.13	$57.50	14.3%	3.9%	8.2%	2.4%	13.8%	3.0%	0.5%	106.1M	-1.67B	-14.0M	0.75	3.72	N/A	N/A	41,911	31,574	819,123	791,809
2016-08-30	$57.87	$57.50	14.2%	3.9%	8.5%	2.0%	13.8%	3.3%	0.5%	100.3M	-1.52B	-14.2M	1.05	3.29	N/A	N/A	27,480	28,934	842,458	807,901
2016-08-31	$57.49	$57.50	15.0%	4.1%	8.8%	5.0%	15.4%	2.9%	0.4%	90.1M	-1.38B	-13.7M	0.79	3.60	N/A	N/A	33,567	26,438	848,893	813,808