MSFT Options History — August 2017 In August 2017, MSFT traded between $71.51 and $74.81. ATM implied volatility averaged 15.6%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.2% (HV 20d: 13.4%). Max pain ranged from $70.00 to $72.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.96.
Notable Days 2017-08-14 : Highest Volume — 120,896 contracts2017-08-10 : Largest IV spike — 15.4% change2017-08-10 : Highest IV Rank — 42.3%2017-08-11 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $72.82 $71.51 $74.81 $72.55 $74.81 Max Pain $71.63 $70.00 $72.50 $72.50 $72.50 ATM IV 15.6% 14.0% 18.0% 15.2% 14.0% Expected Move 4.5% 3.8% 5.1% 4.5% 3.8% HV 20d 13.4% 12.2% 15.3% 15.3% 13.9% HV 60d 16.3% 15.6% 16.7% 16.6% 16.0% IV Rank 27.7% 17.8% 42.3% 25.0% 17.8% IV Percentile 36.1% 14.7% 56.7% 36.1% 14.7% Term Structure 0.2% -0.7% 0.7% 0.1% 0.3% VWIV 16.3% 14.1% 19.2% 16.1% 14.1% Skew 25d 2.9% 2.3% 3.5% 2.6% 2.8% Skew 10d 5.9% 4.4% 8.1% 5.2% 5.6% Call IV 25d 14.6% 13.1% 17.1% 14.4% 13.1% Put IV 25d 17.5% 15.9% 20.5% 17.0% 15.9% Bid-Ask Spread % 2.67 1.60 9.39 2.63 2.84 Gamma HHI 0.14 0.11 0.17 0.14 0.17 Net GEX 127.5M 75.5M 208.7M 123.9M 208.7M Net DEX -2.00B -3.13B -1.35B -1.99B -3.13B Net VEX -18.2M -18.8M -17.4M -18.2M -17.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.96 0.29 1.46 1.37 0.81 Total Volume 82,618.783 43,951 120,896 76,469 99,206 Total OI 1,804,670.87 1,693,313 1,886,039 1,795,594 1,816,109
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 2017-08-01 $72.55 $72.50 15.2% 4.5% 15.3% 25.0% 16.1% 2.6% 0.1% 123.9M -1.99B -18.2M 1.37 2.63 N/A N/A 32,240 44,229 969,439 826,155 2017-08-02 $72.06 $72.50 15.6% 4.6% 15.1% 27.2% 16.5% 2.5% -0.0% 104.8M -1.73B -18.3M 0.92 2.05 N/A N/A 46,551 42,773 979,082 833,863 2017-08-03 $72.10 $70.00 15.3% 4.5% 14.5% 25.6% 16.2% 2.5% 0.1% 106.5M -1.76B -18.3M 0.96 9.39 N/A N/A 34,786 33,250 987,907 839,286 2017-08-04 $72.52 $70.00 14.4% 4.3% 13.9% 20.3% 16.3% 2.3% 0.2% 107.5M -1.93B -18.5M 0.68 2.31 N/A N/A 71,791 48,631 995,767 847,643 2017-08-07 $72.45 $70.00 14.7% 4.4% 13.6% 21.8% 16.2% 2.3% 0.7% 115.4M -1.88B -18.2M 1.13 1.63 N/A N/A 29,920 33,932 965,536 830,760 2017-08-08 $72.70 $70.00 15.6% 4.6% 13.6% 27.6% 16.4% 2.4% 0.5% 127.4M -2.03B -18.3M 0.72 1.85 N/A N/A 45,318 32,573 975,360 837,679 2017-08-09 $72.34 $70.00 15.6% 4.7% 12.7% 27.7% 17.1% 2.6% 0.6% 109.2M -1.81B -18.3M 0.74 1.81 N/A N/A 38,961 28,977 977,016 847,756 2017-08-10 $71.51 $70.00 18.0% 5.1% 13.2% 42.3% 19.2% 3.4% -0.3% 75.5M -1.35B -18.8M 1.46 3.68 N/A N/A 38,510 56,065 987,902 853,235 2017-08-11 $72.59 $70.00 17.6% 5.1% 12.2% 39.6% 18.7% 3.4% 0.4% 122.7M -1.93B -18.7M 1.08 1.69 N/A N/A 50,507 54,783 992,529 871,146 2017-08-14 $73.52 $70.00 15.8% 4.6% 13.1% 28.7% 17.3% 3.4% -0.7% 155.3M -2.37B -17.9M 0.29 1.60 N/A N/A 93,389 27,507 977,124 870,934 2017-08-15 $73.38 $72.50 16.4% 4.8% 13.0% 32.6% 16.7% 2.9% -0.3% 132.0M -2.15B -18.0M 0.84 1.66 N/A N/A 40,972 34,516 938,866 875,811 2017-08-16 $73.62 $72.50 16.1% 4.6% 12.4% 30.4% 16.0% 3.3% -0.4% 150.1M -2.26B -17.8M 0.66 1.95 N/A N/A 49,408 32,554 945,256 882,013 2017-08-17 $72.60 $72.50 17.5% 5.0% 13.2% 39.1% 19.1% 3.5% 0.2% 89.5M -1.72B -18.4M 1.36 3.10 N/A N/A 44,344 60,287 953,950 892,172 2017-08-18 $72.76 $72.50 16.6% 4.8% 12.6% 33.7% 17.4% 3.4% -0.2% 99.2M -1.81B -18.3M 0.84 2.59 N/A N/A 46,584 38,906 969,082 916,957 2017-08-21 $72.03 $72.50 16.8% 4.7% 12.9% 35.0% 16.6% 3.1% 0.2% 87.0M -1.59B -18.2M 1.05 2.70 N/A N/A 47,975 50,487 861,895 831,418 2017-08-22 $73.20 $72.50 15.2% 4.2% 13.9% 24.8% 14.5% 2.7% 0.4% 137.9M -2.18B -18.1M 0.75 2.38 N/A N/A 35,349 26,664 883,420 864,857 2017-08-23 $72.89 $72.50 15.8% 4.4% 13.9% 28.4% 16.2% 3.0% 0.4% 132.0M -2.02B -18.4M 1.13 3.17 N/A N/A 29,308 33,200 898,517 844,738 2017-08-24 $72.68 $72.50 15.3% 4.2% 13.0% 25.5% 14.7% 2.8% 0.4% 124.9M -1.89B -18.3M 1.07 2.30 N/A N/A 32,182 34,479 907,070 856,453 2017-08-25 $72.99 $72.50 14.4% 3.9% 13.0% 20.2% 14.4% 2.8% 0.5% 185.3M -2.06B -18.3M 0.99 2.39 N/A N/A 37,940 37,496 918,746 869,215 2017-08-28 $72.74 $72.50 14.9% 4.0% 13.0% 23.1% 14.8% 2.8% 0.4% 123.0M -1.91B -17.8M 1.22 2.97 N/A N/A 19,806 24,145 896,829 863,162 2017-08-29 $73.06 $72.50 14.6% 4.0% 13.1% 21.2% 15.2% 2.7% 0.3% 142.8M -2.09B -17.8M 1.27 2.14 N/A N/A 25,426 32,367 901,715 867,395 2017-08-30 $73.85 $72.50 14.2% 3.9% 13.3% 19.2% 14.3% 2.7% 0.5% 171.0M -2.48B -17.8M 0.82 2.57 N/A N/A 56,014 45,924 908,780 876,885 2017-08-31 $74.81 $72.50 14.0% 3.8% 13.9% 17.8% 14.1% 2.8% 0.3% 208.7M -3.13B -17.4M 0.81 2.84 N/A N/A 54,809 44,397 924,278 891,831
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