MSFT Options History — June 2017

In June 2017, MSFT traded between $68.61 and $72.47. ATM implied volatility averaged 18.8%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.3% (HV 20d: 17.5%). Max pain ranged from $67.50 to $67.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.85.

Notable Days

2017-06-02: Highest Volume — 236,095 contracts
2017-06-09: Largest IV spike — 19.3% change
2017-06-29: Highest IV Rank — 71.7%
2017-06-29: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$70.48	$68.61	$72.47	$69.96	$69.24
Max Pain	$67.50	$67.50	$67.50	$67.50	$67.50
ATM IV	18.8%	13.9%	23.8%	13.9%	22.8%
Expected Move	6.0%	3.9%	7.3%	3.9%	7.0%
HV 20d	17.5%	13.5%	19.6%	13.5%	17.2%
HV 60d	13.4%	11.0%	14.9%	11.0%	14.9%
IV Rank	35.5%	12.4%	71.7%	12.4%	69.3%
IV Percentile	55.4%	14.3%	83.7%	14.3%	77.0%
Term Structure	0.7%	-1.1%	4.8%	-0.0%	-0.4%
VWIV	21.4%	13.9%	26.0%	13.9%	24.1%
Skew 25d	2.6%	1.6%	3.6%	1.6%	3.2%
Skew 10d	5.5%	3.0%	7.6%	3.7%	6.5%
Call IV 25d	17.8%	13.6%	22.5%	13.6%	21.5%
Put IV 25d	20.5%	15.2%	26.1%	15.2%	24.7%
Bid-Ask Spread %	4.02	1.71	7.20	1.98	5.30
Gamma HHI	0.19	0.11	0.64	0.22	0.12
Net GEX	138.1M	62.8M	477.8M	170.5M	84.0M
Net DEX	-2.27B	-3.63B	-1.05B	-2.52B	-1.40B
Net VEX	-18.5M	-19.4M	-16.7M	-17.0M	-19.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.46	1.49	1.21	0.74
Total Volume	106,378.182	53,903	236,095	85,457	80,856
Total OI	1,825,282.955	1,666,187	2,024,667	1,698,967	1,880,882

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
2017-06-01	$69.96	$67.50	13.9%	3.9%	13.5%	12.4%	13.9%	1.6%	-0.0%	170.5M	-2.52B	-17.0M	1.21	1.98	N/A	N/A	38,599	46,858	863,024	835,943
2017-06-02	$71.74	$67.50	14.1%	4.1%	16.0%	13.3%	14.7%	1.6%	-0.2%	148.7M	-3.41B	-16.7M	0.68	2.22	N/A	N/A	140,445	95,650	873,929	855,093
2017-06-05	$72.36	$67.50	14.6%	5.3%	16.1%	15.4%	18.3%	1.6%	0.2%	146.3M	-3.63B	-16.8M	0.73	1.71	N/A	N/A	108,022	79,397	913,219	872,299
2017-06-06	$72.47	$67.50	14.7%	5.4%	16.1%	15.8%	19.0%	1.8%	0.2%	130.1M	-3.56B	-17.9M	0.60	2.69	N/A	N/A	75,940	45,451	929,806	912,610
2017-06-07	$72.42	$67.50	14.8%	5.4%	16.1%	16.0%	19.1%	2.0%	0.2%	115.5M	-3.49B	-17.5M	0.87	2.60	N/A	N/A	40,092	34,765	935,680	932,376
2017-06-08	$71.85	$67.50	14.7%	5.4%	16.5%	16.0%	19.2%	1.9%	0.2%	118.2M	-3.15B	-18.3M	0.89	2.35	N/A	N/A	47,352	41,960	943,770	938,902
2017-06-09	$69.87	$67.50	17.6%	6.1%	18.8%	28.4%	20.7%	2.4%	-0.4%	126.7M	-2.01B	-19.0M	0.76	4.98	N/A	N/A	112,941	86,293	962,052	945,520
2017-06-12	$69.59	$67.50	18.6%	6.3%	18.9%	32.8%	23.0%	2.7%	3.5%	133.7M	-1.90B	-18.8M	0.69	3.90	N/A	N/A	112,480	78,134	957,470	942,622
2017-06-13	$70.67	$67.50	16.3%	5.9%	19.6%	22.8%	20.6%	2.7%	4.5%	156.6M	-2.62B	-19.0M	1.13	4.65	N/A	N/A	45,028	50,746	996,752	969,209
2017-06-14	$69.99	$67.50	17.6%	6.2%	19.5%	28.6%	23.2%	2.5%	4.1%	155.5M	-2.23B	-18.9M	1.19	3.59	N/A	N/A	37,195	44,327	1,004,339	978,893
2017-06-15	$69.91	$67.50	18.5%	6.2%	17.4%	32.3%	23.2%	2.5%	4.1%	172.0M	-2.14B	-18.9M	1.49	3.68	N/A	N/A	36,504	54,277	1,006,641	997,678
2017-06-16	$69.94	$67.50	18.4%	6.2%	17.4%	32.2%	22.8%	2.4%	4.8%	477.8M	-2.10B	-18.7M	0.82	2.74	N/A	N/A	49,666	40,492	1,011,116	1,013,551
2017-06-19	$70.69	$67.50	20.2%	6.1%	17.7%	39.6%	22.0%	3.2%	-0.4%	97.3M	-2.01B	-18.8M	0.94	5.16	N/A	N/A	35,515	33,207	873,387	792,800
2017-06-20	$69.93	$67.50	21.1%	6.2%	17.9%	43.6%	21.8%	3.3%	-0.5%	84.9M	-1.67B	-18.6M	0.79	4.43	N/A	N/A	34,296	27,168	888,544	811,898
2017-06-21	$70.35	$67.50	21.4%	6.1%	18.0%	45.1%	21.7%	3.3%	-0.4%	95.5M	-1.86B	-18.9M	0.69	4.96	N/A	N/A	31,896	22,007	900,529	819,138
2017-06-22	$70.37	$67.50	21.8%	6.3%	18.0%	47.0%	22.6%	3.3%	-0.5%	96.3M	-1.89B	-18.9M	0.55	4.63	N/A	N/A	42,974	23,739	913,532	826,546
2017-06-23	$70.97	$67.50	20.9%	6.1%	17.3%	43.1%	22.5%	2.9%	-0.6%	199.0M	-2.29B	-18.6M	0.72	4.29	N/A	N/A	39,089	28,000	928,739	832,579
2017-06-26	$70.58	$67.50	21.6%	6.4%	17.4%	45.8%	22.3%	2.8%	-0.9%	103.9M	-2.00B	-18.7M	0.92	5.24	N/A	N/A	31,519	29,143	909,706	812,450
2017-06-27	$69.41	$67.50	23.4%	7.1%	18.4%	54.1%	24.7%	3.3%	-0.9%	76.3M	-1.43B	-18.6M	0.46	4.93	N/A	N/A	99,144	45,128	907,685	805,005
2017-06-28	$69.75	$67.50	22.3%	6.8%	18.5%	56.7%	24.2%	3.1%	-0.6%	86.6M	-1.64B	-19.3M	0.69	5.12	N/A	N/A	46,203	31,742	974,041	844,459
2017-06-29	$68.61	$67.50	23.8%	7.3%	19.4%	71.7%	26.0%	3.6%	-1.1%	62.8M	-1.05B	-19.4M	1.07	7.20	N/A	N/A	56,209	59,871	985,978	855,833
2017-06-30	$69.24	$67.50	22.8%	7.0%	17.2%	69.3%	24.1%	3.2%	-0.4%	84.0M	-1.40B	-19.4M	0.74	5.30	N/A	N/A	46,562	34,294	1,003,531	877,351