MSFT Options History — December 2016

In December 2016, MSFT traded between $59.01 and $63.53. ATM implied volatility averaged 18.5%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.4% (HV 20d: 18.9%). Max pain ranged from $55.00 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 0.60.

Notable Days

2016-12-13: Highest Volume — 303,147 contracts
2016-12-27: Largest IV spike — 27.3% change
2016-12-30: Highest IV Rank — 46.7%
2016-12-01: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.12	$59.01	$63.53	$59.01	$62.23
Max Pain	$55.60	$55.00	$60.00	$60.00	$57.50
ATM IV	18.5%	15.0%	25.9%	20.0%	25.9%
Expected Move	4.8%	4.3%	6.1%	6.1%	4.8%
HV 20d	18.9%	15.2%	21.6%	21.2%	15.2%
HV 60d	19.0%	18.7%	19.3%	18.9%	19.0%
IV Rank	18.4%	5.2%	46.7%	24.2%	46.7%
IV Percentile	29.4%	10.7%	74.2%	40.5%	74.2%
Term Structure	1.7%	-1.2%	8.5%	-0.3%	-1.2%
VWIV	17.3%	15.3%	21.3%	21.3%	17.5%
Skew 25d	2.6%	2.0%	3.6%	3.2%	3.5%
Skew 10d	5.5%	4.1%	7.2%	6.6%	6.6%
Call IV 25d	17.4%	14.2%	24.4%	18.9%	24.4%
Put IV 25d	19.9%	16.3%	28.0%	22.2%	28.0%
Bid-Ask Spread %	2.86	1.11	7.57	7.57	1.63
Gamma HHI	0.20	0.15	0.40	0.15	0.22
Net GEX	179.8M	95.2M	277.5M	95.2M	136.2M
Net DEX	-2.72B	-3.59B	-1.21B	-1.21B	-2.45B
Net VEX	-14.9M	-15.9M	-14.4M	-14.7M	-14.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.32	1.11	0.43	0.84
Total Volume	98,483.667	47,080	303,147	115,922	90,673
Total OI	1,970,587.619	1,898,983	2,107,449	1,909,903	1,971,556

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
2016-12-01	$59.01	$60.00	20.0%	6.1%	21.2%	24.2%	21.3%	3.2%	-0.3%	95.2M	-1.21B	-14.7M	0.43	7.57	N/A	N/A	81,069	34,853	1,010,477	899,426
2016-12-02	$59.28	$60.00	18.5%	5.4%	21.2%	18.2%	19.1%	2.8%	-0.1%	106.3M	-1.26B	-15.1M	0.62	4.15	N/A	N/A	35,996	22,257	1,041,429	908,158
2016-12-05	$60.15	$55.00	17.7%	5.2%	21.6%	15.4%	18.4%	2.8%	-0.1%	145.6M	-1.81B	-14.5M	0.56	2.76	N/A	N/A	35,995	20,200	1,012,705	896,682
2016-12-06	$60.00	$55.00	17.6%	5.2%	19.4%	15.1%	18.8%	2.5%	0.3%	141.5M	-1.74B	-14.5M	0.66	1.50	N/A	N/A	28,332	18,748	1,020,305	903,558
2016-12-07	$61.30	$55.00	17.2%	4.9%	20.9%	13.4%	19.3%	2.3%	0.2%	182.6M	-2.41B	-15.0M	0.39	4.75	N/A	N/A	68,884	27,124	1,029,608	908,564
2016-12-08	$60.92	$55.00	17.1%	5.2%	20.8%	13.0%	17.8%	2.4%	0.2%	191.6M	-2.23B	-15.0M	0.54	6.12	N/A	N/A	45,412	24,362	1,050,900	915,749
2016-12-09	$61.92	$55.00	16.4%	4.8%	19.6%	10.4%	17.5%	2.4%	0.4%	236.5M	-3.00B	-14.4M	0.45	4.40	N/A	N/A	66,040	30,027	1,057,671	923,956
2016-12-12	$62.10	$55.00	17.4%	5.0%	19.6%	14.1%	19.1%	2.3%	-0.2%	211.3M	-2.88B	-14.7M	1.09	2.46	N/A	N/A	29,276	31,918	1,041,879	919,731
2016-12-13	$63.23	$55.00	17.1%	5.0%	18.9%	13.1%	17.5%	2.1%	0.1%	204.8M	-3.59B	-14.5M	0.34	3.52	N/A	N/A	225,694	77,453	1,047,134	932,436
2016-12-14	$62.94	$55.00	16.5%	4.8%	18.4%	10.8%	16.6%	2.6%	0.2%	226.9M	-3.46B	-15.9M	0.39	1.78	N/A	N/A	69,529	26,854	1,129,720	966,143
2016-12-15	$62.72	$55.00	16.5%	4.7%	18.4%	10.8%	17.2%	2.4%	-0.1%	253.6M	-3.22B	-15.7M	0.49	1.11	N/A	N/A	97,999	47,558	1,127,674	979,775
2016-12-16	$62.36	$55.00	15.6%	4.5%	17.6%	7.3%	16.7%	2.4%	0.1%	277.5M	-2.80B	-15.3M	0.88	1.88	N/A	N/A	45,193	39,717	1,121,199	984,433
2016-12-19	$63.45	$55.00	15.2%	4.4%	18.4%	5.9%	15.7%	2.3%	7.5%	173.1M	-3.28B	-14.7M	0.32	3.50	N/A	N/A	148,619	48,079	1,004,856	894,127
2016-12-20	$63.51	$55.00	15.3%	4.4%	18.4%	6.1%	17.4%	2.0%	7.9%	169.8M	-3.30B	-14.8M	0.33	2.38	N/A	N/A	81,933	27,018	1,021,748	914,955
2016-12-21	$63.53	$55.00	15.0%	4.3%	18.4%	5.2%	15.3%	2.1%	8.0%	179.4M	-3.28B	-14.9M	0.58	2.05	N/A	N/A	43,719	25,575	1,025,497	921,372
2016-12-22	$63.48	$55.00	17.1%	4.4%	17.6%	13.0%	15.5%	2.2%	8.0%	182.2M	-3.23B	-15.0M	0.61	1.98	N/A	N/A	56,164	34,084	1,030,774	927,579
2016-12-23	$63.17	$55.00	18.4%	4.3%	17.8%	17.9%	15.3%	2.2%	8.5%	159.4M	-3.03B	-15.0M	0.85	1.80	N/A	N/A	40,464	34,505	1,037,933	938,591
2016-12-27	$63.31	$55.00	23.4%	4.3%	17.8%	37.0%	15.4%	3.1%	-1.0%	180.7M	-3.12B	-14.6M	0.72	1.71	N/A	N/A	45,473	32,680	1,023,587	924,066
2016-12-28	$62.97	$55.00	25.2%	4.4%	17.8%	44.0%	15.7%	3.3%	-1.1%	168.2M	-2.90B	-14.8M	0.34	1.61	N/A	N/A	53,980	18,504	1,028,264	932,841
2016-12-29	$62.88	$55.00	25.2%	4.5%	17.3%	43.9%	16.1%	3.6%	-1.0%	153.8M	-2.81B	-14.9M	1.11	1.48	N/A	N/A	26,586	29,611	1,018,475	936,807
2016-12-30	$62.23	$57.50	25.9%	4.8%	15.2%	46.7%	17.5%	3.5%	-1.2%	136.2M	-2.45B	-14.9M	0.84	1.63	N/A	N/A	49,231	41,442	1,022,782	948,774