MSFT Options History — January 2017

In January 2017, MSFT traded between $62.29 and $65.70. ATM implied volatility averaged 23.0%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 12.0% (HV 20d: 11.0%). Max pain ranged from $57.50 to $62.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.74.

Notable Days

2017-01-26: Highest Volume — 361,757 contracts
2017-01-27: Largest IV drop — 44.4% change
2017-01-26: Highest IV Rank — 49.7%
2017-01-26: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.16	$62.29	$65.70	$62.32	$64.63
Max Pain	$60.30	$57.50	$62.50	$57.50	$62.50
ATM IV	23.0%	13.5%	25.8%	25.8%	15.8%
Expected Move	6.4%	4.0%	7.9%	4.7%	4.8%
HV 20d	11.0%	7.6%	15.1%	15.1%	12.1%
HV 60d	17.5%	15.6%	19.0%	19.0%	16.5%
IV Rank	37.4%	0.0%	49.7%	46.2%	11.1%
IV Percentile	56.9%	0.0%	73.0%	73.0%	17.1%
Term Structure	-1.1%	-2.3%	0.4%	-1.3%	0.1%
VWIV	22.6%	14.9%	27.6%	16.9%	17.4%
Skew 25d	3.3%	2.6%	4.1%	3.3%	2.8%
Skew 10d	6.3%	5.2%	7.8%	6.7%	5.3%
Call IV 25d	21.5%	12.2%	24.3%	24.2%	14.6%
Put IV 25d	24.8%	14.8%	27.8%	27.5%	17.4%
Bid-Ask Spread %	2.65	1.76	4.24	2.08	3.02
Gamma HHI	0.29	0.16	0.83	0.24	0.19
Net GEX	200.9M	82.5M	908.7M	147.0M	133.3M
Net DEX	-2.39B	-3.01B	-1.35B	-2.50B	-1.92B
Net VEX	-14.6M	-15.9M	-13.5M	-14.5M	-15.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.47	1.24	0.96	0.78
Total Volume	119,547.45	60,385	361,757	60,471	102,084
Total OI	1,836,122.3	1,258,118	2,123,358	1,951,058	1,533,372

Daily Data (20 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
2017-01-03	$62.32	$57.50	25.8%	4.7%	15.1%	46.2%	16.9%	3.3%	-1.3%	147.0M	-2.50B	-14.5M	0.96	2.08	N/A	N/A	30,889	29,582	1,010,418	940,640
2017-01-04	$62.35	$57.50	25.6%	4.4%	14.5%	45.3%	15.7%	3.1%	-1.4%	155.3M	-2.52B	-14.5M	1.14	2.24	N/A	N/A	29,836	34,027	1,019,571	952,163
2017-01-05	$62.42	$60.00	25.1%	6.8%	14.4%	43.7%	23.8%	3.0%	-1.3%	164.2M	-2.49B	-14.6M	1.06	1.76	N/A	N/A	37,664	39,855	1,031,606	971,862
2017-01-06	$62.98	$60.00	25.0%	6.9%	12.7%	43.2%	24.0%	2.9%	-1.3%	206.4M	-2.92B	-14.6M	0.71	2.01	N/A	N/A	54,375	38,415	1,041,154	988,899
2017-01-09	$62.72	$60.00	25.4%	7.0%	12.6%	44.9%	24.5%	2.9%	-0.6%	164.0M	-2.72B	-14.4M	1.24	2.46	N/A	N/A	27,014	33,371	1,039,797	991,582
2017-01-10	$62.64	$60.00	25.3%	6.9%	11.3%	44.3%	24.9%	3.0%	-0.8%	167.8M	-2.69B	-14.4M	0.88	3.53	N/A	N/A	35,415	30,996	1,050,480	999,295
2017-01-11	$63.15	$60.00	24.7%	6.9%	11.6%	42.0%	23.9%	3.2%	-0.4%	173.7M	-3.01B	-14.4M	0.72	2.02	N/A	N/A	44,748	32,358	1,060,079	1,010,712
2017-01-12	$62.57	$60.00	24.7%	6.9%	10.2%	42.1%	24.3%	3.2%	-0.8%	173.8M	-2.60B	-14.4M	0.54	2.58	N/A	N/A	62,007	33,484	1,064,672	1,019,080
2017-01-13	$62.66	$60.00	24.9%	7.0%	10.1%	42.7%	24.7%	3.3%	-0.9%	193.3M	-2.72B	-14.3M	0.98	2.01	N/A	N/A	37,263	36,340	1,083,185	1,028,764
2017-01-17	$62.38	$60.00	25.5%	7.3%	10.1%	45.1%	25.7%	3.7%	-1.9%	221.5M	-2.45B	-14.2M	0.51	2.89	N/A	N/A	53,318	27,307	1,069,688	1,022,224
2017-01-18	$62.39	$60.00	24.5%	7.0%	9.9%	41.4%	25.1%	3.6%	-1.9%	260.9M	-2.46B	-14.1M	0.54	3.29	N/A	N/A	54,167	29,228	1,082,524	1,031,837
2017-01-19	$62.29	$60.00	23.9%	6.9%	7.6%	39.1%	23.9%	3.7%	-1.9%	257.5M	-2.38B	-13.9M	0.59	2.63	N/A	N/A	55,048	32,357	1,075,239	1,039,506
2017-01-20	$62.57	$60.00	23.5%	6.9%	7.8%	39.3%	24.4%	4.1%	-2.3%	908.7M	-2.70B	-13.5M	0.48	2.96	N/A	N/A	145,154	69,216	1,076,793	1,046,565
2017-01-23	$62.99	$60.00	22.4%	6.9%	8.2%	40.2%	24.3%	3.6%	-1.4%	82.5M	-1.35B	-14.2M	0.55	1.93	N/A	N/A	71,370	39,109	718,764	539,354
2017-01-24	$63.64	$60.00	22.3%	7.0%	9.0%	40.1%	24.1%	3.5%	-1.5%	94.6M	-1.63B	-14.7M	0.54	3.01	N/A	N/A	63,477	34,072	750,492	564,107
2017-01-25	$63.61	$61.00	22.2%	7.1%	8.8%	39.9%	24.9%	3.4%	-1.6%	98.6M	-1.65B	-14.9M	0.74	2.82	N/A	N/A	56,210	41,361	781,527	584,742
2017-01-26	$64.32	$62.50	24.3%	7.9%	9.6%	49.7%	27.6%	3.6%	-1.9%	100.5M	-1.95B	-15.4M	0.51	4.24	N/A	N/A	238,873	122,884	801,494	606,784
2017-01-27	$65.70	$62.50	13.5%	4.0%	11.8%	0.0%	14.9%	2.6%	0.0%	172.3M	-2.98B	-15.0M	0.47	2.71	N/A	N/A	232,745	109,938	922,091	672,286
2017-01-30	$64.93	$62.50	15.2%	4.6%	12.7%	8.1%	16.8%	3.0%	0.4%	142.1M	-2.15B	-15.7M	0.90	2.81	N/A	N/A	76,595	68,797	874,164	624,934
2017-01-31	$64.63	$62.50	15.8%	4.8%	12.1%	11.1%	17.4%	2.8%	0.1%	133.3M	-1.92B	-15.9M	0.78	3.02	N/A	N/A	57,232	44,852	885,884	647,488