MSFT Options History — October 2017 In October 2017, MSFT traded between $74.28 and $83.92. ATM implied volatility averaged 19.5%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 6.9% (HV 20d: 12.5%). Max pain ranged from $72.50 to $77.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.71.
Notable Days 2017-10-27 : Highest Volume — 569,471 contracts2017-10-27 : Largest IV drop — 35.9% change2017-10-23 : Highest IV Rank — 73.1%2017-10-25 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $77.93 $74.28 $83.92 $74.59 $83.18 Max Pain $74.59 $72.50 $77.50 $72.50 $77.50 ATM IV 19.5% 13.7% 21.9% 20.2% 15.4% Expected Move 5.5% 4.1% 6.8% 4.1% 4.7% HV 20d 12.5% 8.0% 22.3% 11.9% 22.3% HV 60d 13.1% 11.7% 17.0% 13.3% 17.0% IV Rank 52.6% 17.5% 73.1% 55.4% 29.1% IV Percentile 65.0% 10.3% 82.1% 69.0% 36.5% Term Structure -0.6% -2.3% 0.7% -0.4% 0.2% VWIV 19.4% 14.7% 24.5% 14.7% 16.4% Skew 25d 2.2% 0.0% 2.9% 2.2% 1.0% Skew 10d 4.5% -0.0% 6.8% 4.6% 1.5% Call IV 25d 18.6% 14.0% 20.4% 19.1% 15.3% Put IV 25d 20.8% 14.1% 23.0% 21.3% 16.3% Bid-Ask Spread % 3.27 1.73 7.07 2.14 6.34 Gamma HHI 0.15 0.12 0.21 0.13 0.12 Net GEX 213.0M 142.7M 336.3M 150.6M 161.1M Net DEX -3.78B -6.30B -2.20B -2.31B -5.16B Net VEX -17.3M -18.0M -15.0M -16.5M -16.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.41 1.35 0.70 0.46 Total Volume 145,023.545 61,435 569,471 82,160 142,232 Total OI 2,007,523.409 1,791,546 2,196,830 1,869,341 2,003,458
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 2017-10-02 $74.59 $72.50 20.2% 4.1% 11.9% 55.4% 14.7% 2.2% -0.4% 150.6M -2.31B -16.5M 0.70 2.14 N/A N/A 48,343 33,817 943,913 925,428 2017-10-03 $74.28 $72.50 21.0% 4.2% 11.9% 60.4% 14.9% 2.4% -0.6% 142.7M -2.20B -17.3M 1.04 2.01 N/A N/A 32,585 34,027 967,640 940,165 2017-10-04 $74.68 $72.50 21.0% 4.2% 11.9% 60.6% 15.0% 2.1% -0.8% 162.6M -2.43B -17.5M 1.20 4.37 N/A N/A 31,709 37,986 981,320 955,401 2017-10-05 $75.97 $72.50 19.9% 5.7% 12.5% 53.6% 19.8% 2.3% -0.8% 201.1M -3.22B -17.3M 0.59 1.73 N/A N/A 97,422 57,567 981,307 972,779 2017-10-06 $75.96 $72.50 19.7% 5.7% 12.4% 52.3% 19.7% 2.1% -0.9% 249.4M -3.24B -17.6M 0.60 5.25 N/A N/A 53,965 32,125 1,006,897 991,695 2017-10-09 $76.32 $75.00 19.3% 5.4% 12.1% 50.3% 19.5% 2.1% -0.3% 206.2M -3.24B -18.0M 0.78 3.06 N/A N/A 48,315 37,618 996,946 976,492 2017-10-10 $76.22 $75.00 19.9% 5.8% 12.1% 53.7% 19.9% 2.4% 0.7% 207.5M -3.28B -17.2M 0.65 2.94 N/A N/A 58,101 37,724 1,009,536 988,751 2017-10-11 $76.43 $75.00 19.5% 5.4% 11.9% 51.4% 20.1% 2.2% -0.8% 219.1M -3.39B -17.4M 0.49 3.63 N/A N/A 97,660 48,023 1,026,490 1,003,119 2017-10-12 $77.11 $75.00 19.3% 5.5% 11.9% 50.1% 19.6% 2.3% -0.4% 262.1M -4.01B -17.6M 0.72 3.86 N/A N/A 76,137 54,644 1,085,586 1,024,496 2017-10-13 $77.44 $75.00 19.1% 5.5% 11.7% 48.9% 19.6% 2.5% -0.1% 272.5M -4.19B -17.6M 0.41 2.18 N/A N/A 105,743 43,201 1,082,881 1,039,984 2017-10-16 $77.61 $75.00 19.8% 5.7% 11.7% 52.8% 20.1% 2.9% -1.4% 259.7M -4.03B -17.8M 0.62 1.77 N/A N/A 37,873 23,562 1,079,558 1,030,364 2017-10-17 $77.57 $75.00 20.1% 5.7% 11.7% 54.6% 20.5% 2.6% -0.5% 284.4M -4.13B -16.9M 0.76 2.64 N/A N/A 76,080 57,635 1,080,810 1,039,215 2017-10-18 $77.60 $75.00 19.4% 5.6% 11.4% 50.8% 19.7% 2.7% -1.4% 329.7M -3.99B -18.0M 0.47 1.96 N/A N/A 58,663 27,513 1,117,631 1,070,792 2017-10-19 $77.86 $75.00 20.2% 5.8% 10.6% 55.2% 20.9% 2.9% -1.6% 336.3M -4.28B -17.3M 0.73 1.90 N/A N/A 53,694 39,460 1,118,944 1,073,536 2017-10-20 $78.69 $75.00 19.8% 5.9% 11.0% 53.1% 20.1% 2.7% -2.3% 197.8M -4.89B -17.1M 0.46 2.30 N/A N/A 132,752 60,945 1,123,244 1,073,586 2017-10-23 $78.79 $75.00 21.9% 6.7% 8.4% 73.1% 23.8% 2.7% -1.1% 156.8M -3.32B -18.0M 0.65 2.49 N/A N/A 85,291 55,661 917,952 873,594 2017-10-24 $78.78 $75.00 21.0% 6.4% 8.4% 67.0% 22.8% 2.0% -0.7% 165.9M -3.35B -18.0M 0.73 3.06 N/A N/A 63,575 46,126 943,512 893,313 2017-10-25 $78.68 $75.00 21.5% 6.8% 8.3% 70.3% 24.5% 2.3% -0.6% 164.7M -3.34B -17.6M 1.35 2.25 N/A N/A 62,914 85,185 964,601 913,808 2017-10-26 $78.91 $75.00 21.3% 6.7% 8.0% 69.2% 22.9% 2.4% -0.9% 161.3M -3.45B -17.7M 0.66 7.07 N/A N/A 162,949 106,998 983,623 961,453 2017-10-27 $83.88 $75.00 13.7% 4.3% 22.0% 17.5% 15.6% 0.0% 0.1% 226.2M -6.30B -15.0M 0.47 4.42 N/A N/A 386,621 182,850 1,032,295 1,010,530 2017-10-30 $83.92 $76.00 15.2% 4.6% 22.0% 27.9% 17.3% 0.5% 0.6% 168.0M -5.49B -15.9M 1.04 4.47 N/A N/A 85,815 89,412 999,220 959,650 2017-10-31 $83.18 $77.50 15.4% 4.7% 22.3% 29.1% 16.4% 1.0% 0.2% 161.1M -5.16B -16.4M 0.46 6.34 N/A N/A 97,469 44,763 1,013,867 989,591
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