MSFT Options History — September 2016

In September 2016, MSFT traded between $56.29 and $58.01. ATM implied volatility averaged 19.5%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 8.4% (HV 20d: 11.1%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2016-09-09: Highest Volume — 112,878 contracts
  • 2016-09-19: Largest IV spike — 20.6% change
  • 2016-09-26: Highest IV Rank — 41.1%
  • 2016-09-29: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.33$56.29$58.01$57.53$57.65
Max Pain$55.24$55.00$57.50$57.50$55.00
ATM IV19.5%14.0%24.4%15.3%23.2%
Expected Move6.5%3.6%7.6%4.2%7.4%
HV 20d11.1%7.4%14.5%8.3%14.5%
HV 60d19.2%16.6%21.3%21.3%16.9%
IV Rank22.2%1.1%41.1%6.1%36.4%
IV Percentile32.6%2.0%61.5%9.9%56.7%
Term Structure1.2%-1.3%7.9%0.2%-1.3%
VWIV23.1%12.8%28.5%15.1%25.4%
Skew 25d4.0%2.9%4.8%3.2%4.3%
Skew 10d8.4%6.4%10.2%7.0%8.7%
Call IV 25d17.7%12.4%22.2%13.8%21.4%
Put IV 25d21.7%15.3%27.0%17.0%25.8%
Bid-Ask Spread %3.092.494.073.642.77
Gamma HHI0.190.140.230.190.22
Net GEX92.9M32.0M133.0M101.9M99.3M
Net DEX-1.30B-1.72B-681.6M-1.41B-1.51B
Net VEX-13.4M-13.7M-13.0M-13.7M-13.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.461.700.900.72
Total Volume69,951.76255,975112,87859,47856,960
Total OI1,742,1971,624,6871,838,3501,685,3971,812,063

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$57.53$57.5015.3%4.2%8.3%6.1%15.1%3.2%0.2%101.9M-1.41B-13.7M0.903.64N/AN/A31,27528,203863,292822,105
2016-09-02$57.68$57.5014.0%3.6%7.5%1.1%12.8%2.9%0.5%110.4M-1.45B-13.4M0.673.43N/AN/A45,90630,894865,146829,610
2016-09-06$57.59$55.0014.4%6.1%7.5%2.5%21.3%3.2%0.7%98.4M-1.40B-13.5M0.972.49N/AN/A32,19331,328856,387828,107
2016-09-07$57.57$55.0014.0%6.2%7.4%1.3%21.1%3.0%0.7%104.3M-1.44B-13.1M0.773.30N/AN/A32,86725,273867,167839,141
2016-09-08$57.48$55.0014.0%6.1%7.4%1.1%20.1%3.1%0.6%101.4M-1.36B-13.3M0.763.08N/AN/A39,10429,714878,770846,479
2016-09-09$56.51$55.0016.8%6.6%9.0%12.0%23.4%3.9%0.0%32.0M-805.3M-13.7M0.704.07N/AN/A66,39346,485894,683861,245
2016-09-12$57.07$55.0016.4%6.6%9.5%10.2%24.1%3.8%6.5%80.8M-1.13B-13.2M0.693.15N/AN/A48,71833,813901,286866,807
2016-09-13$56.32$55.0017.7%6.8%10.3%15.4%25.0%4.3%6.1%45.7M-721.6M-13.3M1.032.77N/AN/A31,06131,922916,794879,276
2016-09-14$56.29$55.0017.8%7.0%9.5%15.6%24.9%4.2%6.5%40.1M-681.6M-13.7M0.613.08N/AN/A35,23521,491924,101887,278
2016-09-15$57.27$55.0017.7%6.9%11.5%15.2%24.4%3.6%7.9%122.4M-1.25B-13.7M0.763.08N/AN/A45,44234,405928,256889,191
2016-09-16$57.31$55.0018.6%6.7%11.5%18.8%23.9%4.0%7.8%80.3M-1.18B-13.7M0.712.96N/AN/A39,95528,432936,844901,506
2016-09-19$57.02$55.0022.5%6.9%11.6%33.5%24.3%4.5%-1.0%78.8M-1.20B-13.0M0.962.77N/AN/A33,43332,065840,939783,748
2016-09-20$56.93$55.0023.4%6.9%11.7%37.1%22.9%4.6%-1.2%78.2M-1.13B-13.0M0.682.92N/AN/A33,28022,695852,906800,666
2016-09-21$57.82$55.0023.1%6.6%12.9%35.8%23.8%4.5%-1.2%113.1M-1.62B-13.1M0.993.17N/AN/A49,72149,030874,750808,366
2016-09-22$57.86$55.0022.6%6.5%12.9%34.0%23.2%4.3%-1.2%128.5M-1.64B-13.1M0.653.45N/AN/A44,64228,840894,183836,198
2016-09-23$57.47$55.0022.7%6.6%12.9%34.5%23.2%4.3%-1.2%133.0M-1.46B-13.2M0.903.15N/AN/A37,09933,546905,146843,898
2016-09-26$57.01$55.0024.4%7.4%13.1%41.1%26.4%4.8%-1.2%74.5M-1.15B-13.4M0.672.64N/AN/A43,11228,984892,082832,473
2016-09-27$57.97$55.0023.2%7.1%14.5%36.3%24.1%4.2%-0.9%113.4M-1.69B-13.4M0.463.02N/AN/A42,15219,395917,044843,462
2016-09-28$58.01$55.0023.7%7.3%14.5%38.1%28.5%4.8%-1.3%114.6M-1.72B-13.4M1.703.10N/AN/A21,96837,292926,936846,689
2016-09-29$57.57$55.0024.3%7.6%14.5%40.7%27.6%4.8%-1.3%99.2M-1.48B-13.5M1.082.91N/AN/A31,05033,614931,622859,495
2016-09-30$57.65$55.0023.2%7.4%14.5%36.4%25.4%4.3%-1.3%99.3M-1.51B-13.3M0.722.77N/AN/A33,17623,784940,142871,921