MSFT Options History — July 2017 In July 2017, MSFT traded between $68.17 and $74.25. ATM implied volatility averaged 20.5%, placing in the 57.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.8% (HV 20d: 17.7%). Max pain ranged from $67.50 to $72.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.68.
Notable Days 2017-07-20 : Highest Volume — 414,164 contracts2017-07-21 : Largest IV drop — 30.2% change2017-07-06 : Highest IV Rank — 80.6%2017-07-05 : Largest Expected Move — 7.9%Monthly Statistics Metric Avg Min Max Open Close Price $72.00 $68.17 $74.25 $68.17 $72.80 Max Pain $70.25 $67.50 $72.50 $67.50 $72.50 ATM IV 20.5% 14.9% 24.4% 24.1% 15.6% Expected Move 6.0% 4.3% 7.9% 7.8% 4.7% HV 20d 17.7% 16.6% 19.4% 17.4% 16.6% HV 60d 16.2% 15.3% 16.7% 15.3% 16.6% IV Rank 57.1% 23.3% 80.6% 76.9% 27.4% IV Percentile 66.0% 33.7% 89.3% 86.1% 39.7% Term Structure -0.6% -1.4% 0.0% -0.8% -0.0% VWIV 20.8% 15.2% 27.4% 26.6% 16.8% Skew 25d 2.7% 2.1% 3.6% 2.8% 2.5% Skew 10d 5.4% 3.2% 7.8% 6.0% 5.5% Call IV 25d 19.4% 14.1% 23.3% 22.5% 14.9% Put IV 25d 22.1% 16.4% 26.9% 25.3% 17.4% Bid-Ask Spread % 3.26 1.89 15.89 6.44 2.17 Gamma HHI 0.12 0.10 0.16 0.10 0.13 Net GEX 141.3M 47.5M 209.7M 60.6M 135.3M Net DEX -2.59B -4.18B -912.9M -912.9M -2.11B Net VEX -18.3M -19.1M -17.8M -19.1M -18.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.45 1.09 0.80 0.69 Total Volume 140,002.9 56,426 414,164 56,426 101,696 Total OI 1,904,483.35 1,751,672 2,312,395 1,836,196 1,771,984
Daily Data (20 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 2017-07-03 $68.17 $67.50 24.1% 7.8% 17.4% 76.9% 26.6% 2.8% -0.8% 60.6M -912.9M -19.1M 0.80 6.44 N/A N/A 31,303 25,123 979,332 856,864 2017-07-05 $69.18 $67.50 23.5% 7.9% 18.5% 73.4% 27.4% 3.2% -0.5% 87.1M -1.44B -18.8M 0.65 3.84 N/A N/A 40,174 26,286 989,811 865,327 2017-07-06 $68.52 $70.00 24.4% 6.9% 18.6% 80.6% 23.2% 3.6% -0.7% 63.5M -1.08B -18.9M 1.09 2.84 N/A N/A 32,952 35,828 998,160 871,671 2017-07-07 $69.49 $70.00 23.1% 6.3% 19.4% 72.6% 23.7% 3.5% -0.9% 112.0M -1.58B -19.0M 0.61 2.36 N/A N/A 87,477 53,131 1,006,582 883,214 2017-07-10 $70.20 $70.00 23.1% 6.4% 17.2% 72.9% 22.9% 3.1% -0.5% 110.5M -1.97B -18.5M 0.95 1.89 N/A N/A 30,592 29,045 995,786 875,806 2017-07-11 $70.10 $70.00 22.9% 6.4% 17.1% 71.6% 21.6% 2.9% -0.5% 108.4M -1.89B -18.7M 0.73 2.22 N/A N/A 34,770 25,466 1,002,525 878,867 2017-07-12 $71.23 $70.00 22.7% 6.4% 17.2% 70.5% 22.0% 2.6% -0.3% 144.0M -2.57B -18.2M 0.94 2.10 N/A N/A 49,498 46,681 1,016,890 886,703 2017-07-13 $71.72 $70.00 22.6% 6.2% 16.9% 70.4% 22.0% 2.9% -1.3% 143.0M -2.79B -18.6M 0.68 1.92 N/A N/A 64,034 43,676 1,014,970 904,780 2017-07-14 $73.17 $70.00 22.9% 6.4% 18.1% 71.9% 21.9% 2.4% -0.7% 161.3M -3.66B -17.8M 0.49 2.21 N/A N/A 158,060 77,535 1,026,145 916,956 2017-07-17 $73.36 $70.00 22.7% 6.5% 18.1% 71.0% 22.7% 2.5% -1.4% 176.7M -3.64B -17.8M 0.73 2.45 N/A N/A 63,651 46,327 1,055,180 906,870 2017-07-18 $73.07 $70.00 23.5% 6.7% 18.0% 75.4% 23.7% 2.4% -1.3% 173.0M -3.48B -17.9M 0.80 2.37 N/A N/A 73,977 59,238 1,065,141 921,959 2017-07-19 $73.89 $70.00 23.1% 6.6% 17.7% 72.9% 23.8% 2.3% -0.9% 180.0M -3.88B -18.7M 0.48 2.34 N/A N/A 135,370 65,021 1,089,404 945,569 2017-07-20 $74.19 $70.00 22.7% 6.5% 17.6% 70.9% 22.9% 2.1% -0.4% 198.9M -4.18B -18.3M 0.64 15.89 N/A N/A 251,848 162,316 1,132,397 966,574 2017-07-21 $73.30 $70.00 15.9% 4.6% 18.4% 29.1% 15.7% 2.5% -0.8% 178.6M -3.67B -17.9M 0.45 1.93 N/A N/A 266,200 120,600 1,259,431 1,052,964 2017-07-24 $73.66 $70.00 15.4% 4.5% 18.2% 26.1% 15.8% 2.3% 0.0% 191.8M -2.75B -17.9M 0.66 2.38 N/A N/A 58,995 38,811 965,884 785,788 2017-07-25 $74.25 $70.00 15.3% 4.5% 18.1% 25.7% 15.5% 2.4% 0.0% 209.7M -3.08B -17.9M 0.59 2.68 N/A N/A 61,018 36,139 973,914 802,390 2017-07-26 $73.86 $72.50 14.9% 4.3% 17.0% 23.3% 15.2% 2.3% 0.0% 201.7M -2.80B -18.0M 0.46 2.39 N/A N/A 55,913 25,472 975,393 813,904 2017-07-27 $72.82 $72.50 16.1% 4.8% 18.0% 30.6% 16.8% 2.6% -0.0% 142.9M -2.19B -18.3M 0.68 2.39 N/A N/A 77,119 52,406 977,634 820,789 2017-07-28 $73.03 $72.50 15.7% 4.6% 16.6% 28.2% 16.1% 2.8% -0.1% 47.5M -2.16B -18.1M 0.56 2.41 N/A N/A 100,435 55,875 990,550 845,559 2017-07-31 $72.80 $72.50 15.6% 4.7% 16.6% 27.4% 16.8% 2.5% -0.0% 135.3M -2.11B -18.2M 0.69 2.17 N/A N/A 60,172 41,524 958,670 813,314
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