MSFT Options History — May 2017

In May 2017, MSFT traded between $67.60 and $70.23. ATM implied volatility averaged 14.3%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.0% (HV 20d: 12.3%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.65.

Notable Days

2017-05-15: Highest Volume — 239,656 contracts
2017-05-17: Largest IV spike — 23.4% change
2017-05-18: Highest IV Rank — 25.2%
2017-05-18: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$68.86	$67.60	$70.23	$69.43	$70.01
Max Pain	$66.27	$65.00	$67.50	$65.00	$67.50
ATM IV	14.3%	12.9%	16.9%	12.9%	14.5%
Expected Move	4.1%	3.7%	4.8%	3.7%	4.0%
HV 20d	12.3%	10.1%	15.0%	10.5%	13.7%
HV 60d	10.5%	9.5%	11.5%	9.7%	11.0%
IV Rank	14.2%	7.8%	25.2%	7.8%	15.2%
IV Percentile	19.5%	2.8%	42.1%	2.8%	25.8%
Term Structure	0.3%	-0.4%	0.8%	0.2%	-0.4%
VWIV	15.0%	13.3%	20.4%	14.1%	15.2%
Skew 25d	2.1%	1.2%	3.3%	2.2%	1.9%
Skew 10d	4.1%	2.1%	7.1%	3.7%	3.9%
Call IV 25d	13.7%	11.9%	15.8%	11.9%	13.9%
Put IV 25d	15.8%	14.2%	19.0%	14.2%	15.9%
Bid-Ask Spread %	2.14	1.48	4.64	2.41	2.00
Gamma HHI	0.22	0.15	0.45	0.22	0.22
Net GEX	174.7M	-125.4M	309.7M	192.7M	165.3M
Net DEX	-2.37B	-3.39B	-1.19B	-3.16B	-2.52B
Net VEX	-16.7M	-17.1M	-16.1M	-16.4M	-17.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.17	1.28	0.61	0.57
Total Volume	108,513.682	49,632	239,656	131,515	85,433
Total OI	1,735,062.955	1,546,044	1,921,644	1,706,644	1,677,429

Daily Data (22 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
2017-05-01	$69.43	$65.00	12.9%	3.7%	10.5%	7.8%	14.1%	2.2%	0.2%	192.7M	-3.16B	-16.4M	0.61	2.41	N/A	N/A	81,488	50,027	909,765	796,879
2017-05-02	$69.20	$65.00	13.4%	4.1%	10.1%	10.1%	14.4%	2.1%	0.5%	186.2M	-3.05B	-16.6M	0.39	2.11	N/A	N/A	96,907	38,099	924,193	815,393
2017-05-03	$68.75	$65.50	13.3%	4.1%	10.6%	9.5%	14.7%	2.2%	0.4%	193.8M	-2.72B	-17.0M	0.67	4.64	N/A	N/A	45,825	30,516	952,424	827,653
2017-05-04	$68.81	$65.00	13.2%	3.7%	10.5%	9.1%	13.5%	2.1%	0.5%	202.4M	-2.76B	-17.1M	0.78	2.32	N/A	N/A	42,332	32,827	960,135	837,779
2017-05-05	$68.84	$65.00	13.2%	3.7%	10.5%	9.1%	14.1%	2.2%	0.5%	222.3M	-2.83B	-17.1M	0.81	1.67	N/A	N/A	54,857	44,343	975,582	854,354
2017-05-08	$68.71	$65.00	13.8%	4.2%	10.6%	11.9%	14.0%	2.0%	0.8%	218.7M	-2.67B	-16.9M	0.32	1.88	N/A	N/A	90,267	28,784	955,814	829,567
2017-05-09	$68.94	$65.00	14.7%	4.2%	10.4%	15.7%	14.9%	1.4%	0.1%	279.5M	-3.10B	-16.6M	0.47	2.50	N/A	N/A	66,750	31,678	1,010,599	839,031
2017-05-10	$69.32	$65.00	14.5%	4.2%	10.2%	15.0%	15.0%	1.2%	0.0%	309.7M	-3.39B	-16.7M	0.34	2.19	N/A	N/A	111,918	37,534	1,028,206	845,303
2017-05-11	$68.36	$65.00	14.6%	4.3%	11.7%	15.6%	15.0%	1.9%	0.5%	262.6M	-2.40B	-16.8M	0.50	2.05	N/A	N/A	95,760	48,304	1,062,378	857,170
2017-05-12	$68.28	$65.00	14.5%	4.3%	11.8%	15.0%	15.6%	1.7%	0.7%	182.3M	-2.25B	-16.8M	0.86	1.57	N/A	N/A	43,250	37,232	1,050,742	870,902
2017-05-15	$68.34	$65.00	14.7%	4.3%	11.8%	15.7%	20.4%	2.3%	-0.1%	191.8M	-2.30B	-16.5M	0.17	1.48	N/A	N/A	204,789	34,867	947,129	850,189
2017-05-16	$69.24	$67.50	13.6%	3.9%	12.4%	11.1%	14.4%	1.9%	0.4%	213.7M	-2.17B	-16.3M	0.41	1.52	N/A	N/A	103,756	42,424	808,913	861,920
2017-05-17	$67.67	$67.50	16.8%	4.8%	15.0%	25.0%	17.2%	3.1%	-0.1%	71.6M	-1.22B	-16.9M	1.11	2.43	N/A	N/A	53,285	58,935	831,028	870,802
2017-05-18	$67.73	$67.50	16.9%	4.8%	14.6%	25.2%	17.0%	3.3%	-0.1%	37.8M	-1.19B	-16.8M	0.61	1.72	N/A	N/A	69,041	41,822	842,296	882,355
2017-05-19	$67.60	$67.50	15.4%	4.4%	14.1%	19.0%	15.4%	2.5%	0.6%	-125.4M	-1.20B	-16.8M	0.98	2.05	N/A	N/A	33,816	33,078	869,062	893,896
2017-05-22	$68.38	$67.50	14.6%	4.1%	13.4%	15.5%	14.9%	2.1%	0.4%	111.8M	-1.69B	-16.5M	0.67	1.87	N/A	N/A	46,209	30,763	770,976	775,068
2017-05-23	$68.58	$67.50	14.6%	4.1%	13.4%	15.6%	14.1%	2.0%	0.4%	134.8M	-1.85B	-16.7M	0.82	2.76	N/A	N/A	32,542	26,727	793,702	783,863
2017-05-24	$68.69	$67.50	14.4%	4.0%	13.3%	14.6%	14.1%	1.9%	0.5%	142.5M	-1.89B	-16.7M	1.28	1.93	N/A	N/A	21,781	27,851	803,255	791,234
2017-05-25	$69.82	$67.50	13.9%	3.8%	14.3%	12.2%	13.9%	1.8%	0.2%	185.3M	-2.52B	-16.1M	0.47	2.08	N/A	N/A	92,503	43,186	811,493	798,180
2017-05-26	$69.97	$67.50	13.5%	3.7%	14.2%	10.6%	13.3%	1.8%	0.4%	294.7M	-2.63B	-16.9M	0.65	1.95	N/A	N/A	73,606	47,949	844,190	813,527
2017-05-30	$70.23	$67.50	14.5%	4.0%	13.7%	15.0%	14.3%	1.8%	-0.2%	168.1M	-2.67B	-16.2M	0.89	1.86	N/A	N/A	39,258	34,982	838,939	808,070
2017-05-31	$70.01	$67.50	14.5%	4.0%	13.7%	15.2%	15.2%	1.9%	-0.4%	165.3M	-2.52B	-17.0M	0.57	2.00	N/A	N/A	54,328	31,105	851,817	825,612