MSFT Options History — March 2017 In March 2017, MSFT traded between $63.95 and $66.06. ATM implied volatility averaged 14.4%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 4.0% (HV 20d: 10.4%). Max pain ranged from $62.50 to $64.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.70.
Notable Days 2017-03-17 : Highest Volume — 136,875 contracts2017-03-27 : Largest IV spike — 22.5% change2017-03-30 : Highest IV Rank — 37.5%2017-03-02 : Largest Expected Move — 4.0%Monthly Statistics Metric Avg Min Max Open Close Price $64.86 $63.95 $66.06 $64.89 $66.06 Max Pain $62.76 $62.50 $64.50 $64.50 $62.50 ATM IV 14.4% 11.1% 19.7% 13.9% 19.2% Expected Move 3.6% 3.1% 4.0% 3.9% 3.1% HV 20d 10.4% 8.4% 11.6% 10.8% 8.5% HV 60d 11.6% 10.8% 13.1% 12.7% 11.0% IV Rank 10.2% 0.0% 37.5% 3.1% 35.6% IV Percentile 14.8% 0.0% 58.3% 4.0% 56.3% Term Structure 1.2% -1.3% 6.4% 0.3% -1.3% VWIV 12.9% 11.4% 14.7% 14.0% 11.4% Skew 25d 2.0% 1.5% 2.8% 1.5% 2.5% Skew 10d 4.3% 2.7% 10.2% 2.7% 5.4% Call IV 25d 13.6% 10.4% 18.8% 13.5% 18.5% Put IV 25d 15.6% 12.1% 21.3% 15.0% 21.0% Bid-Ask Spread % 2.51 1.09 8.16 1.62 2.55 Gamma HHI 0.28 0.17 0.80 0.24 0.20 Net GEX 175.1M 94.6M 779.0M 136.0M 259.8M Net DEX -1.57B -2.26B -1.14B -1.67B -2.26B Net VEX -15.5M -16.0M -14.8M -16.0M -15.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.42 1.39 0.46 0.54 Total Volume 81,310.478 50,082 136,875 96,299 88,577 Total OI 1,526,743.435 1,422,143 1,636,028 1,479,839 1,636,028
Daily Data (23 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 2017-03-01 $64.89 $64.50 13.9% 3.9% 10.8% 3.1% 14.0% 1.5% 0.3% 136.0M -1.67B -16.0M 0.46 1.62 N/A N/A 66,095 30,204 797,421 682,418 2017-03-02 $63.95 $64.50 14.4% 4.0% 10.6% 5.5% 14.1% 1.8% 0.4% 97.1M -1.14B -15.8M 0.57 2.16 N/A N/A 51,669 29,611 806,291 689,551 2017-03-03 $64.14 $64.50 13.6% 3.7% 10.3% 1.7% 12.5% 1.7% 0.4% 137.4M -1.29B -15.7M 0.53 1.72 N/A N/A 50,470 26,767 825,914 696,167 2017-03-06 $64.43 $62.50 13.4% 3.9% 10.1% 0.6% 14.1% 1.9% 0.1% 129.5M -1.40B -15.6M 0.63 1.09 N/A N/A 30,711 19,371 813,133 684,982 2017-03-07 $64.24 $62.50 13.5% 3.9% 10.2% 1.0% 13.8% 1.8% 0.1% 131.1M -1.34B -15.5M 0.72 1.33 N/A N/A 35,349 25,553 818,816 689,627 2017-03-08 $64.90 $62.50 13.1% 3.9% 10.5% 0.0% 13.6% 2.1% 0.1% 163.8M -1.71B -15.7M 0.57 1.28 N/A N/A 56,925 32,690 825,115 699,891 2017-03-09 $64.74 $62.50 13.8% 3.9% 10.6% 3.5% 14.7% 2.0% 0.3% 155.9M -1.61B -15.6M 0.83 1.31 N/A N/A 38,958 32,448 833,610 709,320 2017-03-10 $64.88 $62.50 13.0% 3.6% 10.1% 0.0% 12.9% 2.0% 0.3% 197.2M -1.68B -15.5M 0.64 1.72 N/A N/A 45,109 28,930 837,093 716,790 2017-03-13 $64.80 $62.50 12.7% 3.6% 10.1% 0.0% 13.4% 2.0% -0.2% 152.8M -1.56B -15.4M 0.77 1.67 N/A N/A 28,954 22,203 824,063 706,288 2017-03-14 $64.39 $62.50 13.0% 3.7% 9.8% 1.1% 13.1% 2.0% 0.1% 134.1M -1.29B -15.5M 0.66 2.14 N/A N/A 37,117 24,333 829,560 711,681 2017-03-15 $64.83 $62.50 12.5% 3.6% 10.0% 0.0% 12.7% 1.6% -0.1% 205.7M -1.60B -15.4M 0.42 2.10 N/A N/A 40,258 17,069 839,481 715,527 2017-03-16 $64.57 $62.50 12.1% 3.4% 10.1% 0.0% 12.1% 1.9% -0.6% 165.3M -1.38B -15.2M 0.58 2.21 N/A N/A 45,577 26,462 845,040 719,654 2017-03-17 $64.99 $62.50 11.5% 3.3% 10.4% 0.0% 11.8% 1.7% 0.1% 779.0M -1.75B -14.8M 0.56 1.89 N/A N/A 87,748 49,127 858,406 726,518 2017-03-20 $64.92 $62.50 11.1% 3.2% 10.4% 0.0% 11.4% 1.7% 6.4% 122.6M -1.49B -15.0M 1.39 3.13 N/A N/A 38,296 53,321 777,002 645,141 2017-03-21 $64.30 $62.50 12.6% 3.6% 11.0% 6.7% 12.5% 1.9% 6.0% 94.6M -1.17B -15.3M 0.71 2.61 N/A N/A 62,957 44,541 787,696 658,687 2017-03-22 $65.06 $62.50 12.7% 3.6% 11.6% 7.2% 12.4% 1.9% 6.2% 123.1M -1.54B -15.4M 0.58 2.51 N/A N/A 57,592 33,617 799,458 674,385 2017-03-23 $64.94 $62.50 13.9% 3.7% 11.6% 12.5% 12.9% 2.1% 6.1% 117.1M -1.46B -15.3M 1.07 2.30 N/A N/A 30,299 32,475 812,819 683,101 2017-03-24 $65.14 $62.50 15.3% 3.7% 11.6% 18.5% 13.1% 2.1% 6.4% 142.6M -1.60B -15.4M 1.25 8.16 N/A N/A 38,145 47,854 821,290 690,374 2017-03-27 $65.19 $62.50 18.8% 3.8% 11.5% 33.5% 13.3% 2.5% -0.8% 113.7M -1.56B -15.3M 0.44 7.34 N/A N/A 68,220 29,965 812,121 685,911 2017-03-28 $65.38 $62.50 18.5% 3.4% 11.3% 32.4% 12.3% 2.6% -0.8% 141.5M -1.75B -15.7M 0.87 2.45 N/A N/A 44,329 38,784 852,357 693,817 2017-03-29 $65.46 $62.50 19.0% 3.1% 10.1% 34.8% 11.7% 2.6% -0.9% 154.4M -1.81B -15.7M 0.76 2.43 N/A N/A 41,333 31,281 866,490 710,093 2017-03-30 $65.64 $62.50 19.7% 3.3% 8.4% 37.5% 12.0% 2.8% -1.1% 173.0M -1.97B -15.9M 0.62 2.09 N/A N/A 67,212 41,635 882,545 723,427 2017-03-31 $66.06 $62.50 19.2% 3.1% 8.5% 35.6% 11.4% 2.5% -1.3% 259.8M -2.26B -15.8M 0.54 2.55 N/A N/A 57,628 30,949 896,932 739,096
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