MSFT Options History — January 2018

In January 2018, MSFT traded between $85.98 and $94.95. ATM implied volatility averaged 24.8%, placing in the 85.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 12.3% (HV 20d: 12.5%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.51.

Notable Days

2018-01-31: Highest Volume — 464,046 contracts
2018-01-29: Largest IV spike — 28.4% change
2018-01-24: Highest IV Rank — 100.0%
2018-01-29: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.09	$85.98	$94.95	$85.98	$94.95
Max Pain	$81.79	$80.00	$85.00	$82.50	$85.00
ATM IV	24.8%	21.1%	35.5%	21.1%	32.4%
Expected Move	7.2%	3.7%	11.7%	3.9%	11.4%
HV 20d	12.5%	10.7%	19.7%	19.7%	15.4%
HV 60d	18.3%	15.4%	19.7%	18.7%	16.3%
IV Rank	85.4%	67.2%	100.0%	67.2%	87.1%
IV Percentile	91.9%	79.0%	100.0%	79.0%	99.6%
Term Structure	-1.3%	-2.7%	-0.4%	-0.4%	-2.7%
VWIV	25.5%	13.9%	41.4%	14.1%	39.8%
Skew 25d	0.8%	-3.2%	2.9%	2.3%	0.3%
Skew 10d	1.8%	-4.1%	6.1%	4.1%	-0.2%
Call IV 25d	24.7%	20.9%	37.5%	20.9%	31.8%
Put IV 25d	25.5%	22.7%	34.3%	23.2%	32.1%
Bid-Ask Spread %	4.91	1.98	14.79	3.94	14.79
Gamma HHI	0.16	0.10	0.67	0.15	0.10
Net GEX	214.2M	141.5M	689.4M	167.8M	170.8M
Net DEX	-5.06B	-6.31B	-3.67B	-3.67B	-5.59B
Net VEX	-20.1M	-24.0M	-18.4M	-18.6M	-24.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.33	0.89	0.68	0.37
Total Volume	180,034.429	77,626	464,046	140,965	464,046
Total OI	2,015,171.952	1,487,467	2,402,979	2,061,526	1,906,663

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
2018-01-02	$85.98	$82.50	21.1%	3.9%	19.7%	67.2%	14.1%	2.3%	-0.4%	167.8M	-3.67B	-18.6M	0.68	3.94	N/A	N/A	84,083	56,882	965,823	1,095,703
2018-01-03	$86.33	$82.50	22.3%	3.7%	12.7%	76.1%	13.9%	1.7%	-0.7%	196.6M	-4.02B	-19.0M	0.64	4.98	N/A	N/A	48,125	30,891	994,752	1,110,816
2018-01-04	$87.13	$80.00	22.8%	6.0%	12.7%	80.8%	21.1%	2.9%	-1.0%	207.3M	-4.57B	-18.8M	0.38	1.98	N/A	N/A	109,161	41,093	1,003,052	1,124,524
2018-01-05	$88.17	$80.00	21.3%	5.9%	12.7%	71.2%	20.5%	1.5%	-1.0%	218.1M	-5.32B	-18.4M	0.60	3.28	N/A	N/A	118,532	71,320	1,027,251	1,133,497
2018-01-08	$88.25	$80.00	22.1%	6.1%	12.6%	76.6%	21.9%	1.5%	-0.4%	205.4M	-5.19B	-18.6M	0.55	3.86	N/A	N/A	65,338	35,742	1,024,696	1,135,098
2018-01-09	$88.18	$80.00	22.1%	6.1%	11.2%	76.6%	21.3%	1.6%	-0.5%	212.8M	-5.15B	-19.1M	0.89	2.07	N/A	N/A	52,321	46,629	1,043,052	1,153,295
2018-01-10	$87.80	$80.00	22.3%	6.2%	10.7%	77.8%	21.6%	1.4%	-1.0%	202.3M	-4.86B	-19.3M	0.75	2.37	N/A	N/A	46,238	34,519	1,051,332	1,176,956
2018-01-11	$88.04	$80.00	22.1%	6.2%	10.7%	76.2%	21.7%	1.7%	-0.8%	217.1M	-5.09B	-19.1M	0.60	6.00	N/A	N/A	48,377	29,249	1,064,398	1,187,478
2018-01-12	$89.55	$80.00	22.3%	6.1%	11.9%	77.5%	21.5%	0.9%	-2.0%	227.9M	-6.13B	-18.8M	0.41	7.56	N/A	N/A	138,605	57,354	1,075,140	1,194,614
2018-01-16	$88.58	$80.00	23.9%	6.8%	12.4%	89.0%	23.5%	2.0%	-1.8%	209.9M	-5.37B	-19.2M	0.33	5.83	N/A	N/A	152,640	51,064	1,076,537	1,195,791
2018-01-17	$90.10	$80.00	23.9%	6.9%	11.4%	88.9%	24.4%	2.1%	-1.5%	204.8M	-6.22B	-19.4M	0.38	2.30	N/A	N/A	101,883	39,081	1,102,848	1,214,762
2018-01-18	$90.13	$80.00	23.4%	6.8%	11.3%	91.3%	23.9%	2.0%	-1.3%	219.1M	-6.20B	-19.7M	0.34	4.24	N/A	N/A	154,230	52,887	1,114,774	1,227,459
2018-01-19	$90.00	$80.00	22.9%	6.7%	11.0%	88.3%	23.8%	1.5%	-1.8%	689.4M	-6.31B	-19.8M	0.48	2.45	N/A	N/A	102,440	48,976	1,155,815	1,247,164
2018-01-22	$91.61	$82.50	23.2%	7.1%	12.0%	90.8%	24.9%	1.1%	-1.0%	168.8M	-4.24B	-19.8M	0.41	3.39	N/A	N/A	80,892	33,317	848,071	639,396
2018-01-23	$91.93	$82.50	23.5%	7.3%	11.9%	93.3%	26.0%	1.0%	-1.3%	172.9M	-4.47B	-19.7M	0.61	5.16	N/A	N/A	108,132	65,622	868,295	652,335
2018-01-24	$91.95	$82.50	26.5%	8.3%	11.9%	100.0%	29.6%	-0.8%	-1.7%	166.0M	-4.42B	-20.5M	0.52	4.84	N/A	N/A	193,440	99,878	890,179	674,287
2018-01-25	$92.42	$85.00	27.7%	8.8%	11.7%	100.0%	31.0%	-1.4%	-1.6%	160.0M	-4.57B	-21.8M	0.65	2.69	N/A	N/A	106,660	69,527	953,065	717,779
2018-01-26	$93.92	$85.00	27.7%	8.9%	12.5%	99.7%	31.3%	-1.3%	-1.3%	182.2M	-5.25B	-21.4M	0.39	4.77	N/A	N/A	162,617	63,451	977,101	734,240
2018-01-29	$94.05	$85.00	35.5%	11.7%	12.5%	100.0%	41.4%	-3.2%	-2.1%	141.5M	-4.98B	-22.6M	0.36	9.16	N/A	N/A	237,013	86,418	991,343	722,839
2018-01-30	$92.82	$85.00	31.8%	11.0%	13.9%	84.6%	38.7%	-1.2%	-1.4%	158.0M	-4.62B	-23.8M	0.42	7.40	N/A	N/A	135,118	56,932	1,075,951	770,440
2018-01-31	$94.95	$85.00	32.4%	11.4%	15.4%	87.1%	39.8%	0.3%	-2.7%	170.8M	-5.59B	-24.0M	0.37	14.79	N/A	N/A	337,511	126,535	1,114,158	792,505