MSFT Options History — October 2016

In October 2016, MSFT traded between $57.03 and $61.00. ATM implied volatility averaged 22.0%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 6.1% (HV 20d: 15.9%). 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 4 of 21 days. Put/call ratio averaged 0.61.

Notable Days

2016-10-21: Highest Volume — 462,510 contracts
2016-10-21: Largest IV drop — 40.7% change
2016-10-20: Highest IV Rank — 52.8%
2016-10-04: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.45	$57.03	$61.00	$57.45	$60.12
Max Pain	$57.14	$55.00	$57.50	$55.00	$57.50
ATM IV	22.0%	15.0%	27.5%	23.6%	17.3%
Expected Move	6.5%	4.5%	8.2%	7.9%	5.4%
HV 20d	15.9%	11.9%	21.1%	14.5%	20.7%
HV 60d	14.6%	11.2%	16.9%	16.6%	15.1%
IV Rank	31.8%	5.1%	52.8%	37.9%	13.9%
IV Percentile	49.3%	10.3%	82.1%	58.7%	17.5%
Term Structure	-0.7%	-2.0%	0.3%	-0.4%	-0.1%
VWIV	22.7%	16.2%	28.6%	26.8%	17.1%
Skew 25d	4.1%	3.3%	5.3%	4.5%	3.9%
Skew 10d	8.1%	5.2%	10.7%	10.1%	8.1%
Call IV 25d	20.0%	13.5%	25.9%	21.2%	15.6%
Put IV 25d	24.1%	16.9%	29.3%	25.7%	19.5%
Bid-Ask Spread %	5.25	-1.95	11.13	3.41	8.08
Gamma HHI	0.24	0.18	0.71	0.22	0.22
Net GEX	143.2M	77.6M	626.0M	95.5M	136.4M
Net DEX	-1.80B	-3.28B	-1.14B	-1.40B	-2.01B
Net VEX	-13.0M	-14.2M	-12.0M	-13.1M	-14.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.32	1.27	0.63	0.36
Total Volume	123,825.667	48,346	462,510	48,699	109,411
Total OI	1,878,272.286	1,668,403	2,212,253	1,795,486	1,780,886

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
2016-10-03	$57.45	$55.00	23.6%	7.9%	14.5%	37.9%	26.8%	4.5%	-0.4%	95.5M	-1.40B	-13.1M	0.63	3.41	N/A	N/A	29,903	18,796	931,551	863,935
2016-10-04	$57.20	$55.00	24.0%	8.2%	14.6%	39.6%	28.6%	4.3%	-0.4%	89.7M	-1.29B	-13.1M	0.68	2.78	N/A	N/A	34,179	23,155	943,623	870,785
2016-10-05	$57.64	$55.00	23.5%	8.1%	14.9%	37.6%	27.5%	4.3%	-0.6%	106.7M	-1.54B	-13.4M	0.51	3.20	N/A	N/A	50,552	25,767	957,211	876,389
2016-10-06	$57.80	$57.50	23.4%	6.6%	14.9%	37.2%	25.4%	4.6%	-0.3%	113.2M	-1.64B	-13.1M	0.75	4.16	N/A	N/A	27,676	20,670	976,538	886,953
2016-10-07	$57.76	$57.50	23.7%	6.6%	13.4%	38.4%	23.6%	4.3%	0.3%	121.2M	-1.63B	-13.1M	1.27	4.04	N/A	N/A	28,155	35,884	983,985	892,940
2016-10-10	$58.10	$57.50	24.3%	6.8%	13.2%	40.5%	23.8%	4.7%	-0.2%	114.8M	-1.75B	-12.9M	0.87	4.56	N/A	N/A	27,451	23,814	961,724	893,555
2016-10-11	$57.15	$57.50	25.5%	7.0%	13.7%	45.2%	24.7%	5.3%	-1.5%	77.6M	-1.19B	-12.8M	0.78	4.32	N/A	N/A	35,557	27,699	965,127	905,113
2016-10-12	$57.18	$57.50	25.4%	6.9%	13.7%	44.7%	24.3%	4.6%	-1.7%	81.5M	-1.18B	-13.0M	0.52	4.57	N/A	N/A	53,855	27,847	978,684	914,544
2016-10-13	$57.03	$57.50	26.0%	7.1%	12.2%	47.1%	22.9%	4.4%	-1.9%	81.1M	-1.14B	-13.0M	0.42	4.58	N/A	N/A	81,077	33,996	995,676	918,114
2016-10-14	$57.61	$57.50	25.1%	7.0%	12.8%	43.5%	25.1%	4.8%	-0.9%	120.9M	-1.53B	-13.2M	0.53	4.12	N/A	N/A	50,149	26,336	1,028,706	928,219
2016-10-17	$57.25	$57.50	25.1%	7.1%	12.9%	43.6%	24.9%	4.5%	-1.3%	93.0M	-1.31B	-12.4M	1.06	4.24	N/A	N/A	33,600	35,609	1,014,182	918,627
2016-10-18	$57.71	$57.50	26.1%	7.4%	13.1%	47.3%	24.7%	3.9%	-2.0%	105.6M	-1.58B	-12.7M	0.39	4.20	N/A	N/A	79,467	31,261	1,023,380	929,184
2016-10-19	$57.68	$57.50	25.8%	7.4%	11.9%	46.3%	25.2%	3.9%	-1.7%	113.8M	-1.60B	-12.7M	0.79	4.96	N/A	N/A	58,915	46,367	1,063,444	944,093
2016-10-20	$57.09	$57.50	27.5%	8.0%	12.4%	52.8%	27.4%	3.4%	-1.8%	95.6M	-1.32B	-13.1M	0.71	6.95	N/A	N/A	205,476	145,875	1,091,214	961,557
2016-10-21	$59.81	$57.50	16.3%	4.8%	20.6%	10.0%	17.0%	3.3%	-0.4%	626.0M	-3.28B	-12.0M	0.32	5.54	N/A	N/A	349,834	112,676	1,192,055	1,020,198
2016-10-24	$60.92	$57.50	15.0%	4.5%	21.1%	5.1%	16.2%	3.3%	0.1%	172.8M	-2.81B	-12.2M	0.33	-1.95	N/A	N/A	196,038	65,512	885,499	782,904
2016-10-25	$61.00	$57.50	15.1%	4.5%	20.5%	5.4%	16.8%	3.4%	0.0%	166.4M	-2.76B	-12.6M	0.45	11.13	N/A	N/A	95,692	43,238	906,914	810,601
2016-10-26	$60.73	$57.50	15.8%	4.8%	20.6%	8.1%	17.2%	3.6%	0.1%	172.4M	-2.56B	-12.9M	0.40	9.98	N/A	N/A	96,510	38,532	935,539	832,540
2016-10-27	$60.22	$57.50	16.2%	4.9%	20.7%	9.5%	17.8%	3.4%	-0.1%	177.5M	-2.26B	-13.3M	0.58	8.38	N/A	N/A	43,325	25,079	978,019	849,692
2016-10-28	$59.92	$57.50	17.3%	5.3%	20.8%	13.6%	18.7%	3.6%	-0.1%	144.8M	-1.99B	-14.1M	0.41	9.08	N/A	N/A	74,984	30,420	988,288	861,530
2016-10-31	$60.12	$57.50	17.3%	5.4%	20.7%	13.9%	17.1%	3.9%	-0.1%	136.4M	-2.01B	-14.2M	0.36	8.08	N/A	N/A	80,440	28,971	939,152	841,734