MSFT Options History — September 2017 In September 2017, MSFT traded between $73.21 and $75.40. ATM implied volatility averaged 16.4%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.1% (HV 20d: 13.3%). Max pain ranged from $70.00 to $72.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.86.
Notable Days 2017-09-15 : Highest Volume — 165,314 contracts2017-09-25 : Largest IV spike — 26.0% change2017-09-28 : Highest IV Rank — 58.7%2017-09-05 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $74.35 $73.21 $75.40 $74.01 $74.50 Max Pain $71.00 $70.00 $72.50 $72.50 $72.50 ATM IV 16.4% 13.6% 20.7% 14.5% 20.2% Expected Move 4.3% 3.8% 5.1% 3.8% 4.0% HV 20d 13.3% 11.2% 15.2% 14.5% 12.5% HV 60d 14.6% 13.5% 16.1% 16.1% 13.5% IV Rank 32.3% 15.5% 58.7% 20.6% 55.7% IV Percentile 38.7% 9.9% 71.0% 20.6% 69.0% Term Structure 1.3% -1.2% 5.6% 0.5% -1.2% VWIV 15.6% 14.0% 18.0% 14.0% 14.4% Skew 25d 2.3% 1.7% 2.6% 2.3% 2.4% Skew 10d 4.6% 3.3% 5.5% 4.9% 4.4% Call IV 25d 15.5% 12.9% 20.3% 13.5% 19.4% Put IV 25d 17.8% 14.6% 22.7% 15.7% 21.8% Bid-Ask Spread % 2.78 2.03 4.38 3.81 2.40 Gamma HHI 0.16 0.10 0.29 0.17 0.11 Net GEX 160.7M 95.6M 306.6M 158.4M 161.4M Net DEX -2.41B -3.18B -1.57B -2.54B -2.34B Net VEX -17.2M -17.7M -16.5M -17.6M -17.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.51 1.45 0.66 0.67 Total Volume 87,616.7 53,751 165,314 109,092 74,927 Total OI 1,833,073.4 1,705,369 1,903,006 1,831,603 1,903,006
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 2017-09-01 $74.01 $72.50 14.5% 3.8% 14.5% 20.6% 14.0% 2.3% 0.5% 158.4M -2.54B -17.6M 0.66 3.81 N/A N/A 65,535 43,557 928,489 903,114 2017-09-05 $73.72 $70.00 16.1% 5.1% 14.6% 30.2% 18.0% 2.6% 0.4% 147.6M -2.31B -17.7M 0.94 2.92 N/A N/A 37,532 35,110 909,798 890,301 2017-09-06 $73.40 $70.00 15.2% 4.8% 14.7% 25.0% 15.7% 2.6% 0.5% 140.5M -2.12B -17.7M 0.52 2.16 N/A N/A 47,142 24,621 916,398 894,699 2017-09-07 $74.35 $70.00 15.0% 4.4% 15.2% 24.1% 16.7% 2.5% 0.3% 193.1M -2.65B -17.6M 0.58 2.83 N/A N/A 69,339 39,988 934,445 899,902 2017-09-08 $74.03 $70.00 15.7% 4.5% 14.5% 28.1% 18.0% 2.6% 0.2% 139.0M -2.39B -17.6M 1.45 2.24 N/A N/A 31,536 45,837 929,257 916,885 2017-09-11 $74.70 $70.00 15.5% 4.5% 14.0% 27.1% 15.6% 2.6% 0.1% 196.2M -2.76B -17.2M 0.99 2.11 N/A N/A 39,976 39,403 908,370 907,351 2017-09-12 $74.61 $70.00 15.3% 4.4% 13.3% 25.5% 16.3% 2.5% 0.2% 202.2M -2.65B -17.2M 1.06 2.29 N/A N/A 29,715 31,485 921,234 922,056 2017-09-13 $75.21 $70.00 14.6% 4.3% 13.5% 21.3% 15.8% 2.1% 0.4% 244.3M -3.04B -16.9M 0.69 2.07 N/A N/A 39,430 27,382 929,882 927,904 2017-09-14 $74.76 $70.00 14.6% 4.3% 13.7% 21.2% 15.8% 2.2% 0.5% 248.8M -2.76B -16.8M 0.78 2.04 N/A N/A 36,840 28,623 934,593 932,822 2017-09-15 $75.32 $70.00 13.6% 4.1% 12.8% 15.5% 14.4% 1.7% 1.0% 306.6M -3.18B -16.6M 0.57 3.13 N/A N/A 104,982 60,332 943,099 938,487 2017-09-18 $75.24 $70.00 14.0% 4.0% 12.8% 17.9% 14.2% 2.2% 4.8% 142.2M -2.69B -16.5M 0.84 2.65 N/A N/A 58,020 48,890 847,985 857,384 2017-09-19 $75.40 $70.00 14.3% 4.1% 12.0% 19.8% 14.4% 1.9% 4.3% 144.6M -2.74B -17.0M 0.88 4.07 N/A N/A 30,906 27,174 867,579 879,028 2017-09-20 $74.97 $70.00 14.9% 4.3% 11.2% 23.4% 15.0% 2.2% 5.3% 130.7M -2.52B -17.2M 0.69 3.37 N/A N/A 78,680 53,995 873,155 885,991 2017-09-21 $74.22 $72.50 15.8% 4.3% 11.7% 28.9% 15.5% 1.8% 5.1% 122.8M -2.14B -17.5M 0.51 2.05 N/A N/A 73,673 37,488 919,483 914,414 2017-09-22 $74.41 $72.50 16.1% 4.0% 11.6% 30.7% 14.7% 1.8% 5.6% 115.7M -2.21B -17.3M 0.96 4.38 N/A N/A 35,708 34,212 934,635 922,374 2017-09-25 $73.21 $72.50 20.3% 4.7% 13.1% 56.1% 16.5% 2.1% -0.8% 97.1M -1.57B -17.3M 1.28 3.78 N/A N/A 56,714 72,391 924,962 918,639 2017-09-26 $73.27 $72.50 20.6% 4.4% 13.0% 58.1% 15.9% 2.6% -0.7% 95.6M -1.62B -17.1M 1.07 2.75 N/A N/A 31,377 33,560 935,317 920,340 2017-09-27 $73.98 $72.50 20.7% 4.3% 13.4% 58.6% 15.2% 2.3% -0.8% 120.8M -2.01B -17.0M 0.84 2.52 N/A N/A 39,407 33,096 944,387 933,558 2017-09-28 $73.77 $72.50 20.7% 4.2% 12.9% 58.7% 15.2% 2.1% -0.6% 107.1M -1.89B -17.1M 1.15 2.03 N/A N/A 24,970 28,781 951,641 938,504 2017-09-29 $74.50 $72.50 20.2% 4.0% 12.5% 55.7% 14.4% 2.4% -1.2% 161.4M -2.34B -17.0M 0.67 2.40 N/A N/A 44,875 30,052 958,090 944,916
« Aug 2017 | All History | Oct 2017 » Home MSFT History September 2017