MSFT Options History — March 2018

In March 2018, MSFT traded between $87.51 and $96.98. ATM implied volatility averaged 23.7%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 1.8% (HV 20d: 25.5%). Max pain ranged from $87.50 to $90.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.55.

Notable Days

2018-03-26: Highest Volume — 280,245 contracts
2018-03-22: Largest IV spike — 15.7% change
2018-03-28: Highest IV Rank — 90.0%
2018-03-28: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92.95	$87.51	$96.98	$92.90	$91.43
Max Pain	$88.93	$87.50	$90.00	$90.00	$90.00
ATM IV	23.7%	18.4%	33.3%	23.4%	32.3%
Expected Move	6.6%	5.4%	8.4%	7.2%	7.8%
HV 20d	25.5%	16.3%	38.2%	31.3%	38.2%
HV 60d	23.4%	21.2%	29.7%	23.1%	29.7%
IV Rank	51.1%	29.8%	90.0%	50.4%	85.7%
IV Percentile	79.7%	52.0%	99.6%	90.5%	98.4%
Term Structure	0.8%	-1.7%	5.7%	-0.2%	-0.7%
VWIV	23.1%	19.4%	28.5%	26.1%	27.5%
Skew 25d	3.1%	2.3%	4.0%	2.7%	3.8%
Skew 10d	6.2%	3.1%	8.9%	6.3%	7.8%
Call IV 25d	22.5%	17.4%	31.4%	22.6%	30.7%
Put IV 25d	25.6%	20.2%	35.3%	25.3%	34.5%
Bid-Ask Spread %	7.37	3.87	13.26	11.15	8.72
Gamma HHI	0.13	0.10	0.19	0.11	0.10
Net GEX	186.5M	45.3M	313.5M	180.8M	124.1M
Net DEX	-3.39B	-5.76B	-621.2M	-3.46B	-2.46B
Net VEX	-24.7M	-27.0M	-22.9M	-24.9M	-27.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.32	0.98	0.82	0.55
Total Volume	171,326.571	69,028	280,245	217,457	248,229
Total OI	1,938,280.19	1,701,686	2,178,470	1,933,183	1,999,693

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
2018-03-01	$92.90	$90.00	23.4%	7.2%	31.3%	50.4%	26.1%	2.7%	-0.2%	180.8M	-3.46B	-24.9M	0.82	11.15	N/A	N/A	119,630	97,827	1,101,463	831,720
2018-03-02	$93.03	$90.00	22.6%	6.6%	31.3%	47.0%	23.4%	3.4%	-0.1%	224.0M	-3.56B	-25.2M	0.61	11.47	N/A	N/A	106,992	65,754	1,124,683	869,647
2018-03-05	$93.76	$87.50	21.7%	6.1%	30.0%	43.6%	21.6%	3.3%	-0.3%	222.4M	-4.00B	-24.3M	0.46	5.58	N/A	N/A	59,910	27,816	1,095,920	831,137
2018-03-06	$93.14	$87.50	21.6%	6.3%	27.7%	43.1%	21.8%	3.2%	-0.1%	210.9M	-3.65B	-23.9M	0.98	6.81	N/A	N/A	44,361	43,589	1,100,473	835,114
2018-03-07	$93.85	$87.50	21.7%	6.2%	26.7%	43.5%	22.7%	3.0%	0.0%	234.3M	-4.03B	-24.3M	0.65	4.95	N/A	N/A	59,598	38,861	1,109,488	860,059
2018-03-08	$94.18	$87.50	20.9%	6.0%	26.2%	40.2%	21.4%	3.0%	-1.1%	254.2M	-4.22B	-24.5M	0.39	6.52	N/A	N/A	108,187	42,313	1,124,304	874,255
2018-03-09	$96.32	$87.50	18.4%	5.4%	18.6%	29.8%	19.7%	2.8%	0.2%	313.5M	-5.63B	-23.4M	0.39	5.74	N/A	N/A	147,950	57,520	1,129,099	882,922
2018-03-12	$96.98	$87.50	19.8%	5.7%	16.3%	35.8%	20.5%	2.4%	-0.4%	301.3M	-5.76B	-22.9M	0.32	6.63	N/A	N/A	160,588	51,300	1,103,128	865,368
2018-03-13	$94.34	$87.50	21.7%	6.1%	19.8%	43.6%	21.9%	2.8%	-0.1%	247.1M	-4.24B	-24.0M	0.36	7.93	N/A	N/A	200,143	71,841	1,135,814	891,110
2018-03-14	$93.83	$87.50	22.2%	6.1%	19.9%	45.5%	21.4%	2.3%	-0.9%	258.0M	-4.01B	-25.2M	0.50	6.32	N/A	N/A	102,096	50,618	1,215,814	921,689
2018-03-15	$94.28	$87.50	21.1%	6.0%	19.7%	41.0%	21.2%	2.4%	-0.3%	256.2M	-4.26B	-24.7M	0.49	7.38	N/A	N/A	77,869	38,223	1,222,084	936,565
2018-03-16	$94.59	$90.00	19.2%	5.5%	18.8%	33.2%	19.4%	2.9%	-0.2%	211.5M	-4.36B	-24.5M	0.58	8.85	N/A	N/A	92,975	54,105	1,230,927	947,543
2018-03-19	$92.99	$90.00	21.7%	6.2%	19.8%	43.5%	22.2%	2.8%	5.1%	149.0M	-2.95B	-24.9M	0.70	4.83	N/A	N/A	82,400	58,000	953,980	747,706
2018-03-20	$93.18	$90.00	21.2%	6.1%	19.7%	41.3%	20.9%	2.8%	5.6%	151.2M	-3.07B	-24.7M	0.56	3.87	N/A	N/A	44,290	24,738	978,897	780,313
2018-03-21	$92.45	$90.00	21.3%	6.1%	19.4%	37.8%	21.9%	2.7%	5.7%	133.9M	-2.69B	-24.9M	0.60	4.31	N/A	N/A	70,058	41,798	986,810	787,178
2018-03-22	$90.00	$90.00	24.6%	6.9%	21.7%	52.2%	24.6%	3.1%	3.7%	91.3M	-1.63B	-24.6M	0.66	8.53	N/A	N/A	110,825	73,464	1,008,747	800,353
2018-03-23	$87.51	$90.00	28.1%	7.7%	21.8%	67.4%	26.2%	3.5%	3.7%	45.3M	-621.2M	-24.5M	0.60	5.51	N/A	N/A	95,581	57,518	1,014,978	820,795
2018-03-26	$93.92	$90.00	28.6%	7.2%	33.9%	69.2%	24.7%	4.0%	-1.5%	161.8M	-3.46B	-25.0M	0.49	13.26	N/A	N/A	187,599	92,646	984,608	805,842
2018-03-27	$89.64	$90.00	33.0%	8.3%	37.6%	89.0%	28.4%	3.8%	-1.7%	76.7M	-1.55B	-25.8M	0.52	6.30	N/A	N/A	149,385	78,261	1,034,957	834,374
2018-03-28	$89.54	$90.00	33.3%	8.4%	37.6%	90.0%	28.5%	3.9%	-0.6%	68.2M	-1.48B	-26.0M	0.34	10.20	N/A	N/A	196,679	66,321	1,068,636	855,691
2018-03-29	$91.43	$90.00	32.3%	7.8%	38.2%	85.7%	27.5%	3.8%	-0.7%	124.1M	-2.46B	-27.0M	0.55	8.72	N/A	N/A	160,069	88,160	1,127,405	872,288