MSFT Options History — April 2017

In April 2017, MSFT traded between $64.93 and $68.63. ATM implied volatility averaged 21.0%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 12.5% (HV 20d: 8.4%). 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 1 of 19 days. Put/call ratio averaged 0.73.

Notable Days

2017-04-28: Highest Volume — 300,364 contracts
2017-04-28: Largest IV drop — 39.9% change
2017-04-18: Highest IV Rank — 55.8%
2017-04-27: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$66.20	$64.93	$68.63	$65.56	$68.63
Max Pain	$64.63	$62.50	$65.00	$62.50	$65.00
ATM IV	21.0%	13.0%	23.8%	20.0%	13.0%
Expected Move	5.7%	3.1%	7.0%	3.3%	3.8%
HV 20d	8.4%	6.9%	10.1%	9.0%	10.1%
HV 60d	10.7%	9.6%	11.3%	11.1%	9.6%
IV Rank	43.2%	8.5%	55.8%	38.8%	8.5%
IV Percentile	64.1%	3.6%	79.8%	60.3%	3.6%
Term Structure	-0.9%	-1.9%	0.2%	-0.7%	-0.6%
VWIV	20.0%	11.3%	24.8%	11.8%	13.1%
Skew 25d	3.3%	2.3%	4.7%	2.7%	2.4%
Skew 10d	6.4%	4.1%	8.8%	5.1%	5.3%
Call IV 25d	19.4%	12.0%	21.7%	18.2%	12.0%
Put IV 25d	22.6%	14.3%	25.7%	21.0%	14.3%
Bid-Ask Spread %	3.13	1.66	8.44	2.35	2.96
Gamma HHI	0.17	0.15	0.19	0.18	0.18
Net GEX	164.4M	129.1M	210.0M	165.9M	209.6M
Net DEX	-2.02B	-3.10B	-1.38B	-1.87B	-3.10B
Net VEX	-16.1M	-16.7M	-15.7M	-15.7M	-15.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.43	1.08	0.74	0.61
Total Volume	118,788.368	26,649	300,364	95,070	300,364
Total OI	1,720,663.684	1,527,877	1,877,257	1,603,421	1,877,257

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
2017-04-03	$65.56	$62.50	20.0%	3.3%	9.0%	38.8%	11.8%	2.7%	-0.7%	165.9M	-1.87B	-15.7M	0.74	2.35	N/A	N/A	54,632	40,438	888,506	714,915
2017-04-04	$65.79	$62.50	19.7%	3.1%	9.0%	37.7%	11.3%	2.6%	-0.7%	181.7M	-2.04B	-15.7M	1.08	2.78	N/A	N/A	27,848	29,995	907,932	735,980
2017-04-05	$65.70	$63.00	19.5%	3.2%	8.3%	36.7%	11.3%	2.5%	-0.6%	185.7M	-1.97B	-15.8M	0.83	4.83	N/A	N/A	59,054	48,786	918,803	747,736
2017-04-06	$65.68	$65.00	19.4%	5.4%	8.3%	36.3%	18.4%	2.7%	-0.8%	173.0M	-1.92B	-15.9M	0.68	1.90	N/A	N/A	39,419	26,922	930,745	767,619
2017-04-07	$65.76	$65.00	19.7%	5.6%	8.3%	37.7%	18.9%	2.9%	-0.7%	166.9M	-1.97B	-16.0M	0.62	1.82	N/A	N/A	43,467	26,994	938,030	775,302
2017-04-10	$65.59	$65.00	21.3%	6.0%	8.3%	44.6%	19.9%	3.2%	-0.2%	162.1M	-1.84B	-15.8M	0.73	1.66	N/A	N/A	92,380	67,066	930,597	765,510
2017-04-11	$65.32	$65.00	22.3%	6.3%	8.1%	48.9%	21.8%	3.2%	-0.3%	151.3M	-1.63B	-16.4M	0.58	3.85	N/A	N/A	52,678	30,764	951,088	799,386
2017-04-12	$65.22	$65.00	22.4%	6.3%	7.8%	49.5%	22.5%	3.8%	-0.5%	152.1M	-1.55B	-16.4M	0.94	2.84	N/A	N/A	28,616	26,778	963,548	807,306
2017-04-13	$65.21	$65.00	22.1%	6.3%	7.6%	48.3%	21.4%	3.5%	0.2%	155.7M	-1.56B	-16.3M	0.80	3.34	N/A	N/A	46,835	37,361	966,062	809,404
2017-04-17	$65.29	$65.00	23.0%	6.5%	7.3%	52.2%	22.8%	4.4%	-1.5%	164.1M	-1.62B	-16.0M	1.05	2.55	N/A	N/A	12,988	13,661	954,735	802,386
2017-04-18	$65.40	$65.00	23.8%	6.8%	7.3%	55.8%	22.9%	4.3%	-1.7%	173.5M	-1.72B	-15.9M	0.75	1.98	N/A	N/A	33,358	24,930	963,935	811,374
2017-04-19	$64.93	$65.00	23.6%	6.8%	6.9%	54.9%	24.3%	4.0%	-1.3%	162.5M	-1.38B	-15.8M	0.88	2.29	N/A	N/A	42,094	37,208	973,835	815,957
2017-04-20	$65.70	$65.00	23.0%	6.7%	6.9%	52.3%	23.2%	3.7%	-1.9%	210.0M	-1.97B	-16.0M	0.49	4.06	N/A	N/A	67,564	33,385	982,873	833,343
2017-04-21	$66.50	$65.00	21.5%	6.3%	8.0%	45.8%	23.1%	4.7%	-1.2%	171.7M	-2.46B	-16.3M	0.70	8.44	N/A	N/A	86,573	60,844	994,199	843,993
2017-04-24	$67.63	$65.00	20.1%	6.1%	9.7%	39.2%	21.6%	3.0%	-1.1%	129.1M	-2.27B	-15.8M	0.58	2.00	N/A	N/A	136,394	79,395	815,370	712,507
2017-04-25	$67.90	$65.00	20.8%	6.4%	9.7%	42.3%	23.2%	3.1%	-1.3%	132.1M	-2.44B	-16.3M	0.43	1.98	N/A	N/A	91,826	39,629	866,253	749,475
2017-04-26	$67.79	$65.00	21.5%	6.7%	9.8%	45.4%	23.7%	3.0%	-1.3%	136.0M	-2.40B	-16.7M	0.51	2.23	N/A	N/A	85,492	43,581	897,480	765,090
2017-04-27	$68.26	$65.00	21.7%	7.0%	10.0%	46.3%	24.8%	2.3%	-1.6%	141.3M	-2.65B	-16.5M	0.82	5.59	N/A	N/A	157,722	129,938	931,675	782,404
2017-04-28	$68.63	$65.00	13.0%	3.8%	10.1%	8.5%	13.1%	2.4%	-0.6%	209.6M	-3.10B	-15.7M	0.61	2.96	N/A	N/A	186,304	114,060	1,018,410	858,847