MSFT Options History — December 2017

In December 2017, MSFT traded between $81.02 and $86.67. ATM implied volatility averaged 15.8%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 4.4% (HV 20d: 20.3%). Max pain ranged from $77.50 to $82.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.80.

Notable Days

2017-12-04: Highest Volume — 204,294 contracts
2017-12-04: Largest IV spike — 31.0% change
2017-12-04: Highest IV Rank — 60.7%
2017-12-04: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$84.76	$81.02	$86.67	$84.26	$85.63
Max Pain	$80.42	$77.50	$82.50	$81.00	$82.50
ATM IV	15.8%	14.1%	20.1%	15.3%	16.8%
Expected Move	4.5%	3.9%	5.8%	4.7%	4.0%
HV 20d	20.3%	12.8%	21.9%	12.8%	19.6%
HV 60d	18.8%	16.6%	19.3%	16.6%	18.9%
IV Rank	32.1%	20.7%	60.7%	28.6%	38.6%
IV Percentile	45.8%	19.4%	72.6%	43.3%	59.5%
Term Structure	1.6%	-0.6%	7.8%	0.3%	7.8%
VWIV	16.3%	13.8%	19.4%	17.0%	15.0%
Skew 25d	1.6%	1.3%	2.2%	1.6%	1.7%
Skew 10d	3.3%	1.7%	4.4%	3.3%	3.8%
Call IV 25d	15.1%	13.3%	19.6%	14.6%	13.3%
Put IV 25d	16.7%	15.0%	21.8%	16.2%	15.0%
Bid-Ask Spread %	5.76	2.27	15.64	3.27	15.64
Gamma HHI	0.14	0.10	0.19	0.12	0.14
Net GEX	146.3M	53.8M	184.3M	107.4M	179.6M
Net DEX	-3.36B	-4.83B	-1.41B	-3.11B	-3.56B
Net VEX	-19.1M	-19.9M	-18.2M	-18.2M	-19.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.48	1.21	1.09	0.72
Total Volume	118,132.6	66,278	204,294	120,920	104,573
Total OI	2,030,147.3	1,868,089	2,148,605	1,912,403	2,098,983

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
2017-12-01	$84.26	$81.00	15.3%	4.7%	12.8%	28.6%	17.0%	1.6%	0.3%	107.4M	-3.11B	-18.2M	1.09	3.27	N/A	N/A	57,813	63,107	855,266	1,057,137
2017-12-04	$81.02	$77.50	20.1%	5.8%	18.9%	60.7%	19.4%	2.2%	0.0%	53.8M	-1.41B	-19.1M	0.48	5.12	N/A	N/A	137,730	66,564	849,293	1,053,093
2017-12-05	$81.72	$77.50	18.8%	5.4%	19.1%	51.9%	19.3%	2.1%	0.6%	80.1M	-1.84B	-19.3M	0.73	4.51	N/A	N/A	68,640	49,847	898,815	1,072,600
2017-12-06	$82.69	$77.50	16.0%	4.9%	19.6%	33.0%	16.9%	1.6%	0.4%	101.8M	-2.41B	-18.9M	0.68	3.41	N/A	N/A	98,382	66,511	910,009	1,091,347
2017-12-07	$82.52	$80.00	16.8%	4.8%	19.5%	38.8%	17.7%	1.7%	0.3%	93.0M	-2.31B	-19.5M	1.21	3.17	N/A	N/A	37,850	45,620	941,079	1,126,703
2017-12-08	$84.11	$80.00	15.4%	4.6%	20.7%	29.2%	17.0%	2.1%	1.2%	102.3M	-3.34B	-19.5M	0.65	6.58	N/A	N/A	83,653	54,409	946,093	1,132,906
2017-12-11	$85.21	$80.00	16.0%	4.7%	21.2%	33.4%	16.8%	1.4%	0.1%	176.0M	-3.91B	-19.0M	0.82	3.72	N/A	N/A	84,892	69,880	936,193	1,112,198
2017-12-12	$85.59	$80.00	15.6%	4.7%	21.2%	30.3%	17.2%	1.5%	0.8%	184.3M	-4.13B	-19.1M	0.90	8.26	N/A	N/A	62,622	56,511	952,469	1,132,868
2017-12-13	$85.32	$80.00	15.6%	4.5%	21.3%	30.6%	16.0%	1.4%	-0.1%	182.6M	-3.96B	-19.3M	1.05	3.90	N/A	N/A	45,102	47,549	964,286	1,151,527
2017-12-14	$84.78	$80.00	15.4%	4.5%	20.6%	29.2%	16.1%	1.4%	0.3%	179.6M	-3.60B	-19.4M	0.71	6.28	N/A	N/A	48,336	34,497	973,783	1,157,104
2017-12-15	$86.67	$80.00	14.9%	4.1%	21.9%	25.6%	15.5%	1.3%	-0.6%	176.5M	-4.83B	-18.6M	0.52	2.27	N/A	N/A	133,051	69,714	986,005	1,162,600
2017-12-18	$86.40	$80.00	15.0%	4.3%	21.6%	26.7%	16.0%	1.4%	-0.1%	157.5M	-3.93B	-18.7M	0.60	8.10	N/A	N/A	69,560	41,607	872,367	995,722
2017-12-19	$85.88	$80.00	15.0%	4.3%	21.8%	26.8%	14.9%	1.6%	0.6%	151.1M	-3.74B	-19.0M	0.70	3.81	N/A	N/A	70,186	48,957	894,157	1,015,798
2017-12-20	$85.60	$80.00	15.1%	4.3%	21.4%	27.3%	14.9%	1.4%	0.3%	162.8M	-3.59B	-19.1M	0.79	5.16	N/A	N/A	89,573	70,636	928,920	1,041,260
2017-12-21	$85.53	$82.50	14.8%	4.2%	21.2%	25.2%	15.1%	1.5%	0.4%	181.9M	-3.50B	-19.9M	0.74	5.49	N/A	N/A	47,420	35,145	976,532	1,086,256
2017-12-22	$85.53	$82.50	14.1%	4.1%	21.2%	20.7%	15.7%	1.4%	-0.0%	146.2M	-3.50B	-19.8M	1.05	6.42	N/A	N/A	38,277	40,252	984,651	1,094,690
2017-12-26	$85.35	$82.50	15.3%	4.3%	21.1%	28.4%	16.0%	1.4%	6.4%	159.8M	-3.36B	-19.4M	1.01	7.03	N/A	N/A	34,143	34,465	956,448	1,073,153
2017-12-27	$85.69	$82.50	15.0%	4.1%	20.8%	26.3%	15.0%	1.5%	6.7%	168.1M	-3.62B	-19.2M	0.86	10.06	N/A	N/A	35,611	30,667	965,259	1,083,184
2017-12-28	$85.72	$82.50	15.6%	3.9%	19.9%	30.5%	13.8%	1.8%	6.9%	180.9M	-3.62B	-19.1M	0.71	2.98	N/A	N/A	52,360	36,940	979,017	1,093,175
2017-12-29	$85.63	$82.50	16.8%	4.0%	19.6%	38.6%	15.0%	1.7%	7.8%	179.6M	-3.56B	-19.1M	0.72	15.64	N/A	N/A	60,706	43,867	986,638	1,112,345