MSFT Options History — November 2016

In November 2016, MSFT traded between $58.05 and $61.14. ATM implied volatility averaged 18.2%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 3.3% (HV 20d: 21.5%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.62.

Notable Days

2016-11-14: Highest Volume — 233,961 contracts
2016-11-14: Largest IV spike — 17.9% change
2016-11-14: Highest IV Rank — 29.0%
2016-11-02: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.95	$58.05	$61.14	$59.85	$60.43
Max Pain	$58.12	$57.50	$60.00	$57.50	$60.00
ATM IV	18.2%	16.7%	21.3%	18.7%	17.3%
Expected Move	5.3%	4.7%	6.2%	5.9%	5.0%
HV 20d	21.5%	18.7%	25.5%	20.7%	19.5%
HV 60d	17.0%	15.1%	18.2%	15.1%	18.2%
IV Rank	17.2%	11.3%	29.0%	19.3%	13.6%
IV Percentile	25.8%	16.7%	48.4%	30.2%	19.4%
Term Structure	0.1%	-0.9%	1.1%	-0.1%	0.1%
VWIV	18.8%	15.4%	22.3%	21.3%	17.7%
Skew 25d	3.7%	2.7%	5.0%	3.9%	2.8%
Skew 10d	7.8%	5.4%	10.1%	10.1%	5.6%
Call IV 25d	16.9%	15.6%	19.8%	17.0%	16.3%
Put IV 25d	20.5%	18.5%	23.9%	20.9%	19.1%
Bid-Ask Spread %	12.03	3.22	19.44	10.21	3.23
Gamma HHI	0.21	0.15	0.29	0.21	0.16
Net GEX	131.7M	51.2M	193.1M	137.0M	154.7M
Net DEX	-1.85B	-2.43B	-952.1M	-1.90B	-1.86B
Net VEX	-14.1M	-15.0M	-13.2M	-13.7M	-14.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.23	1.01	0.80	0.68
Total Volume	102,567.381	38,381	233,961	77,043	61,222
Total OI	1,870,575.714	1,759,712	1,952,372	1,811,743	1,889,141

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
2016-11-01	$59.85	$57.50	18.7%	5.9%	20.7%	19.3%	21.3%	3.9%	-0.1%	137.0M	-1.90B	-13.7M	0.80	10.21	N/A	N/A	42,866	34,177	961,347	850,396
2016-11-02	$59.56	$58.00	19.1%	6.2%	20.8%	20.5%	22.1%	4.4%	-0.2%	133.7M	-1.78B	-14.0M	1.01	9.29	N/A	N/A	24,105	24,304	984,466	862,542
2016-11-03	$59.15	$57.50	20.3%	5.5%	21.0%	25.2%	22.3%	4.5%	-0.5%	107.3M	-1.54B	-14.0M	0.90	17.11	N/A	N/A	39,291	35,527	991,016	872,402
2016-11-04	$58.79	$57.50	20.4%	5.6%	21.1%	25.7%	20.7%	5.0%	-0.3%	80.5M	-1.31B	-14.0M	0.65	15.62	N/A	N/A	45,198	29,173	991,216	890,164
2016-11-07	$60.37	$57.50	17.7%	5.3%	23.0%	15.5%	18.2%	4.7%	0.7%	135.5M	-2.12B	-13.6M	0.55	19.44	N/A	N/A	49,403	27,393	953,505	883,021
2016-11-08	$60.56	$57.50	17.7%	5.3%	21.9%	15.2%	18.0%	4.3%	0.6%	138.6M	-2.20B	-13.5M	0.95	19.28	N/A	N/A	24,490	23,223	956,085	888,976
2016-11-09	$60.01	$57.50	17.3%	5.0%	22.3%	13.6%	18.5%	4.2%	0.4%	128.2M	-1.89B	-13.2M	0.36	16.45	N/A	N/A	118,805	43,158	958,609	894,494
2016-11-10	$58.71	$57.50	19.4%	5.8%	23.9%	21.9%	19.4%	4.6%	1.1%	73.3M	-1.20B	-13.5M	0.61	15.77	N/A	N/A	100,798	61,693	988,901	908,193
2016-11-11	$59.05	$57.50	18.1%	5.0%	23.7%	16.7%	19.7%	3.8%	-0.9%	103.2M	-1.33B	-14.2M	0.40	16.80	N/A	N/A	102,376	41,035	1,002,361	924,916
2016-11-14	$58.05	$57.50	21.3%	6.1%	24.5%	29.0%	21.6%	4.1%	-0.9%	51.2M	-952.1M	-13.6M	0.23	15.08	N/A	N/A	190,297	43,664	988,950	905,528
2016-11-15	$59.11	$57.50	18.9%	5.4%	25.1%	19.7%	19.2%	3.4%	0.8%	122.9M	-1.43B	-13.8M	0.49	13.84	N/A	N/A	78,907	38,574	963,395	919,956
2016-11-16	$59.59	$57.50	18.1%	5.2%	25.3%	16.7%	19.0%	3.1%	1.0%	143.3M	-1.60B	-14.4M	0.77	16.13	N/A	N/A	42,839	33,031	966,296	920,251
2016-11-17	$60.71	$57.50	18.1%	5.2%	25.5%	16.8%	17.9%	3.6%	0.1%	163.6M	-2.30B	-14.3M	0.41	16.89	N/A	N/A	108,559	44,926	970,163	930,026
2016-11-18	$60.53	$57.50	18.1%	5.2%	19.7%	16.7%	17.9%	3.7%	-0.4%	116.3M	-2.38B	-13.9M	0.34	14.82	N/A	N/A	129,245	44,321	1,002,468	949,904
2016-11-21	$60.82	$57.50	16.7%	4.8%	18.7%	11.3%	16.0%	2.9%	-0.1%	145.7M	-2.24B	-14.1M	0.49	7.99	N/A	N/A	62,703	30,947	916,081	843,631
2016-11-22	$61.14	$57.50	16.8%	4.7%	18.8%	11.8%	15.4%	2.7%	0.0%	161.6M	-2.43B	-14.4M	0.74	4.17	N/A	N/A	76,230	56,528	950,792	861,311
2016-11-23	$60.37	$60.00	17.1%	4.8%	19.3%	13.0%	16.9%	2.9%	0.0%	142.4M	-2.00B	-14.9M	0.59	6.08	N/A	N/A	48,447	28,803	984,169	895,515
2016-11-25	$60.53	$60.00	17.1%	4.9%	19.0%	12.9%	16.8%	2.7%	-0.1%	193.1M	-2.07B	-14.9M	0.70	7.96	N/A	N/A	22,516	15,865	1,002,990	909,312
2016-11-28	$60.55	$60.00	17.3%	5.0%	18.9%	13.7%	18.9%	3.1%	0.1%	154.4M	-1.95B	-15.0M	0.80	3.32	N/A	N/A	37,221	29,859	986,641	885,163
2016-11-29	$61.07	$60.00	16.9%	4.9%	19.1%	12.3%	17.4%	3.0%	0.2%	179.6M	-2.37B	-14.6M	0.56	3.22	N/A	N/A	39,972	22,224	996,463	881,334
2016-11-30	$60.43	$60.00	17.3%	5.0%	19.5%	13.6%	17.7%	2.8%	0.1%	154.7M	-1.86B	-14.9M	0.68	3.23	N/A	N/A	36,355	24,867	1,000,819	888,322