MSFT Options History — February 2017

In February 2017, MSFT traded between $63.21 and $64.66. ATM implied volatility averaged 14.3%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.1% (HV 20d: 13.2%). Max pain ranged from $62.50 to $65.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.56.

Notable Days

2017-02-13: Highest Volume — 310,502 contracts
2017-02-03: Largest IV drop — 10.2% change
2017-02-02: Highest IV Rank — 15.3%
2017-02-02: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.07	$63.21	$64.66	$63.64	$63.92
Max Pain	$64.18	$62.50	$65.00	$62.50	$64.50
ATM IV	14.3%	13.2%	16.6%	15.9%	14.4%
Expected Move	4.2%	3.7%	5.0%	4.9%	4.0%
HV 20d	13.2%	9.3%	14.1%	13.6%	9.3%
HV 60d	14.7%	13.4%	16.8%	16.7%	13.4%
IV Rank	4.6%	0.0%	15.3%	11.8%	5.9%
IV Percentile	7.1%	0.0%	21.0%	17.9%	12.3%
Term Structure	0.4%	0.0%	0.8%	0.0%	0.3%
VWIV	14.8%	13.7%	17.3%	17.3%	14.2%
Skew 25d	1.9%	1.3%	2.7%	2.6%	1.9%
Skew 10d	4.0%	3.1%	4.9%	4.5%	3.8%
Call IV 25d	13.8%	12.9%	15.6%	14.8%	13.9%
Put IV 25d	15.7%	14.7%	18.3%	17.4%	15.9%
Bid-Ask Spread %	1.80	0.96	3.58	2.08	1.69
Gamma HHI	0.21	0.14	0.33	0.19	0.22
Net GEX	145.7M	97.5M	207.1M	105.8M	97.5M
Net DEX	-1.45B	-2.04B	-1.16B	-1.38B	-1.19B
Net VEX	-15.9M	-16.2M	-15.6M	-15.9M	-15.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.26	0.81	0.73	0.26
Total Volume	105,053.526	57,043	310,502	113,508	112,891
Total OI	1,558,317.632	1,401,160	1,677,134	1,560,677	1,462,195

Daily Data (19 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
2017-02-01	$63.64	$62.50	15.9%	4.9%	13.6%	11.8%	17.3%	2.6%	0.0%	105.8M	-1.38B	-15.9M	0.73	2.08	N/A	N/A	65,500	48,008	896,724	663,953
2017-02-02	$63.21	$65.00	16.6%	5.0%	13.9%	15.3%	17.0%	2.7%	0.1%	108.4M	-1.16B	-16.1M	0.63	1.75	N/A	N/A	83,604	52,789	918,284	680,829
2017-02-03	$63.65	$62.50	14.9%	4.5%	14.1%	7.0%	15.6%	2.4%	0.4%	157.4M	-1.47B	-16.2M	0.52	1.87	N/A	N/A	68,809	35,440	949,470	695,718
2017-02-06	$63.57	$62.50	14.9%	4.5%	13.8%	7.2%	16.5%	2.3%	0.8%	121.0M	-1.42B	-16.1M	0.81	1.69	N/A	N/A	48,963	39,699	913,045	675,613
2017-02-07	$63.26	$62.50	14.6%	4.4%	13.8%	5.6%	15.3%	2.3%	0.7%	128.4M	-1.25B	-16.0M	0.66	1.43	N/A	N/A	57,759	38,119	934,623	694,899
2017-02-08	$63.44	$62.50	14.1%	4.3%	13.8%	3.0%	14.6%	2.1%	0.8%	137.5M	-1.34B	-15.9M	0.73	1.42	N/A	N/A	38,397	28,126	946,894	706,277
2017-02-09	$64.07	$62.50	14.5%	4.3%	14.0%	4.9%	15.1%	2.0%	0.7%	164.8M	-1.80B	-16.2M	0.43	0.96	N/A	N/A	85,895	37,163	953,578	707,954
2017-02-10	$64.05	$65.00	13.8%	4.1%	13.5%	1.8%	14.5%	1.7%	0.6%	192.1M	-1.77B	-16.0M	0.38	1.52	N/A	N/A	67,294	25,897	964,326	712,808
2017-02-13	$64.66	$65.00	14.1%	4.1%	13.8%	2.8%	14.9%	1.3%	0.2%	177.2M	-2.04B	-15.7M	0.26	1.43	N/A	N/A	246,621	63,881	932,528	699,488
2017-02-14	$64.43	$65.00	13.8%	4.0%	13.7%	1.4%	14.0%	1.6%	0.5%	167.8M	-1.47B	-15.7M	0.45	1.99	N/A	N/A	66,879	29,904	857,458	713,255
2017-02-15	$64.50	$65.00	13.6%	3.9%	13.7%	0.6%	14.1%	1.6%	0.4%	190.9M	-1.51B	-15.7M	0.70	1.65	N/A	N/A	43,120	30,044	862,869	719,113
2017-02-16	$64.52	$65.00	13.5%	3.8%	13.7%	0.1%	13.8%	1.7%	0.4%	207.1M	-1.47B	-15.7M	0.35	2.15	N/A	N/A	86,805	30,819	865,709	729,065
2017-02-17	$64.44	$65.00	13.2%	3.7%	13.7%	0.0%	13.7%	1.8%	0.5%	186.5M	-1.37B	-15.7M	0.63	1.29	N/A	N/A	43,181	27,218	861,882	734,503
2017-02-21	$64.49	$65.00	14.1%	4.0%	13.5%	4.0%	14.1%	1.8%	0.3%	117.1M	-1.45B	-15.6M	0.73	1.60	N/A	N/A	38,708	28,412	770,232	630,928
2017-02-22	$64.23	$65.00	14.3%	4.0%	13.2%	5.2%	14.0%	1.6%	0.3%	110.6M	-1.31B	-15.7M	0.63	1.73	N/A	N/A	35,796	22,582	782,031	641,605
2017-02-23	$64.54	$65.00	14.0%	4.0%	13.3%	3.4%	14.1%	1.7%	0.4%	129.8M	-1.47B	-15.7M	0.40	3.58	N/A	N/A	75,929	30,202	789,795	646,702
2017-02-24	$64.44	$65.00	13.8%	3.8%	12.7%	2.5%	14.3%	2.0%	0.5%	166.0M	-1.44B	-15.7M	0.72	2.01	N/A	N/A	60,791	43,729	796,702	655,081
2017-02-27	$64.24	$65.00	14.4%	4.1%	10.0%	5.6%	14.2%	1.8%	0.2%	102.0M	-1.31B	-15.7M	0.62	2.37	N/A	N/A	35,258	21,785	780,312	661,587
2017-02-28	$63.92	$64.50	14.4%	4.0%	9.3%	5.9%	14.2%	1.9%	0.3%	97.5M	-1.19B	-15.8M	0.26	1.69	N/A	N/A	89,273	23,618	791,790	670,405