MSFT Options History — November 2017 In November 2017, MSFT traded between $82.44 and $84.77. ATM implied volatility averaged 14.6%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 6.5% (HV 20d: 21.1%). Max pain ranged from $77.50 to $81.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.79.
Notable Days 2017-11-14 : Highest Volume — 666,518 contracts2017-11-29 : Largest IV spike — 16.6% change2017-11-29 : Highest IV Rank — 35.2%2017-11-29 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $83.71 $82.44 $84.77 $83.14 $84.20 Max Pain $79.55 $77.50 $81.00 $77.50 $81.00 ATM IV 14.6% 13.5% 16.3% 14.9% 15.5% Expected Move 4.3% 3.7% 5.0% 4.5% 4.8% HV 20d 21.1% 11.5% 24.5% 22.4% 13.5% HV 60d 16.5% 16.2% 17.1% 17.0% 16.7% IV Rank 24.1% 16.2% 35.2% 26.1% 29.8% IV Percentile 26.4% 7.9% 52.0% 30.6% 44.4% Term Structure 0.1% -0.8% 0.6% 0.4% 0.6% VWIV 15.5% 13.2% 18.1% 16.9% 16.9% Skew 25d 1.2% -0.3% 1.8% 0.7% 1.8% Skew 10d 3.0% 0.9% 5.2% 0.9% 3.2% Call IV 25d 14.4% 13.1% 15.8% 14.9% 14.9% Put IV 25d 15.7% 14.6% 17.5% 15.6% 16.7% Bid-Ask Spread % 3.62 2.18 9.16 2.59 9.16 Gamma HHI 0.13 0.11 0.20 0.11 0.11 Net GEX 144.9M 16.4M 251.3M 170.9M 100.4M Net DEX -3.91B -5.67B -2.25B -5.15B -3.06B Net VEX -17.6M -18.5M -16.8M -17.5M -18.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.06 1.25 0.76 1.10 Total Volume 119,614.429 54,327 666,518 78,417 73,806 Total OI 1,931,799.286 1,739,790 2,099,805 2,049,645 1,896,928
Daily Data (21 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 2017-11-01 $83.14 $77.50 14.9% 4.5% 22.4% 26.1% 16.9% 0.7% 0.4% 170.9M -5.15B -17.5M 0.76 2.59 N/A N/A 44,651 33,766 1,057,820 991,825 2017-11-02 $84.18 $77.50 14.7% 4.5% 22.2% 24.6% 16.0% 0.9% 0.2% 176.8M -5.67B -17.2M 0.68 3.07 N/A N/A 74,713 50,884 1,068,185 995,960 2017-11-03 $84.06 $77.50 14.5% 4.3% 22.2% 23.2% 15.6% 0.9% 0.4% 251.3M -5.62B -17.2M 0.85 2.72 N/A N/A 61,817 52,540 1,076,626 1,008,315 2017-11-06 $84.57 $77.50 14.5% 4.3% 22.2% 23.1% 15.7% 0.9% 0.3% 169.9M -5.35B -16.8M 0.78 2.22 N/A N/A 45,142 35,293 1,005,077 953,981 2017-11-07 $84.14 $77.50 14.7% 4.3% 22.4% 24.2% 15.4% -0.3% -0.8% 166.9M -5.16B -17.0M 1.10 4.38 N/A N/A 55,853 61,255 1,014,435 959,684 2017-11-08 $84.56 $80.00 14.2% 4.2% 22.4% 20.8% 15.1% 0.8% 0.6% 183.7M -5.33B -17.1M 0.97 2.97 N/A N/A 39,174 38,020 1,036,175 998,959 2017-11-09 $84.12 $80.00 15.0% 4.4% 22.6% 26.6% 15.9% 1.1% 0.2% 165.0M -5.07B -17.4M 0.86 3.79 N/A N/A 77,171 66,747 1,036,322 1,012,610 2017-11-10 $83.84 $80.00 15.3% 4.5% 22.8% 28.5% 16.2% 1.1% 0.6% 172.3M -4.89B -18.3M 0.67 2.62 N/A N/A 48,042 32,050 1,060,556 1,039,249 2017-11-13 $83.87 $80.00 15.3% 4.4% 22.8% 28.5% 16.6% 1.7% -0.0% 180.5M -4.77B -18.5M 0.55 2.74 N/A N/A 35,975 19,798 1,046,392 1,022,385 2017-11-14 $84.06 $80.00 14.7% 4.2% 22.8% 24.5% 17.6% 1.6% 0.6% 196.0M -4.96B -18.1M 0.06 2.18 N/A N/A 629,555 36,963 1,052,415 1,030,596 2017-11-15 $82.82 $80.00 15.9% 4.6% 23.7% 32.3% 16.5% 1.6% -0.2% 100.7M -2.34B -18.1M 0.61 3.14 N/A N/A 52,719 31,916 804,272 1,046,479 2017-11-16 $83.21 $80.00 15.0% 4.3% 23.7% 26.3% 14.9% 1.8% -0.3% 116.4M -2.61B -17.7M 0.59 3.13 N/A N/A 43,041 25,233 820,560 1,055,683 2017-11-17 $82.44 $80.00 14.4% 4.1% 24.0% 22.3% 14.5% 1.4% 0.4% 16.4M -2.25B -17.8M 0.59 3.59 N/A N/A 64,668 38,264 828,498 1,056,450 2017-11-20 $82.54 $80.00 14.1% 4.0% 24.0% 20.4% 14.1% 1.5% -0.2% 113.6M -2.45B -17.6M 0.63 3.15 N/A N/A 35,501 22,508 788,978 950,812 2017-11-21 $83.69 $80.00 13.6% 3.7% 24.3% 17.2% 13.4% 1.5% -0.1% 139.7M -2.98B -17.1M 0.63 3.04 N/A N/A 52,606 33,216 795,199 957,522 2017-11-22 $83.11 $80.00 13.9% 3.8% 24.5% 18.8% 13.2% 1.4% -0.3% 127.4M -2.63B -17.4M 0.95 4.21 N/A N/A 58,022 55,377 802,561 966,959 2017-11-24 $83.26 $80.00 13.6% 3.7% 24.5% 17.0% 13.7% 1.2% -0.0% 117.8M -2.78B -17.6M 1.03 5.72 N/A N/A 26,755 27,572 828,237 1,002,886 2017-11-27 $83.84 $80.00 13.5% 3.8% 11.5% 16.2% 14.4% 1.5% 0.3% 131.0M -2.98B -17.5M 1.25 2.74 N/A N/A 38,286 47,955 816,663 983,467 2017-11-28 $84.77 $81.00 14.0% 4.1% 12.1% 19.6% 14.9% 1.3% 0.2% 140.3M -3.38B -17.7M 0.61 3.50 N/A N/A 83,053 50,495 830,056 1,005,594 2017-11-29 $83.40 $81.00 16.3% 5.0% 13.1% 35.2% 18.1% 1.7% 0.1% 105.4M -2.69B -17.8M 1.25 5.44 N/A N/A 49,455 62,046 839,297 1,023,117 2017-11-30 $84.20 $81.00 15.5% 4.8% 13.5% 29.8% 16.9% 1.8% 0.6% 100.4M -3.06B -18.0M 1.10 9.16 N/A N/A 35,184 38,622 850,021 1,046,907
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