MSFT Options History — September 2018

In September 2018, MSFT traded between $108.15 and $114.73. ATM implied volatility averaged 20.2%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.7% (HV 20d: 17.5%). Max pain ranged from $103.00 to $105.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.61.

Notable Days

2018-09-05: Highest Volume — 191,415 contracts
2018-09-24: Largest IV spike — 17.2% change
2018-09-27: Highest IV Rank — 41.8%
2018-09-12: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$112.23	$108.15	$114.73	$111.75	$114.35
Max Pain	$104.89	$103.00	$105.00	$103.00	$105.00
ATM IV	20.2%	18.1%	23.1%	18.1%	22.8%
Expected Move	5.5%	4.8%	6.2%	5.0%	5.1%
HV 20d	17.5%	13.2%	18.7%	13.2%	17.9%
HV 60d	17.7%	16.3%	18.0%	16.3%	17.6%
IV Rank	29.3%	20.0%	41.8%	20.0%	40.6%
IV Percentile	53.6%	37.7%	77.8%	40.5%	76.2%
Term Structure	1.1%	-1.0%	4.9%	0.1%	-0.7%
VWIV	19.3%	17.0%	21.4%	18.1%	18.1%
Skew 25d	2.2%	1.7%	3.0%	1.8%	2.2%
Skew 10d	4.9%	3.6%	6.9%	3.6%	4.5%
Call IV 25d	19.5%	16.5%	22.4%	17.7%	22.0%
Put IV 25d	21.7%	19.0%	24.2%	19.5%	24.2%
Bid-Ask Spread %	6.07	4.14	9.95	4.14	4.76
Gamma HHI	0.16	0.13	0.21	0.15	0.16
Net GEX	211.6M	136.8M	318.1M	240.9M	136.8M
Net DEX	-5.89B	-7.11B	-4.35B	-6.13B	-5.77B
Net VEX	-22.2M	-24.2M	-20.3M	-22.0M	-21.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.39	0.84	0.70	0.59
Total Volume	127,924.684	75,617	191,415	115,958	96,685
Total OI	1,817,223.947	1,568,358	1,939,110	1,781,901	1,678,084

Daily Data (19 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
2018-09-04	$111.75	$103.00	18.1%	5.0%	13.2%	20.0%	18.1%	1.8%	0.1%	240.9M	-6.13B	-22.0M	0.70	4.14	N/A	N/A	68,039	47,919	967,164	814,737
2018-09-05	$108.44	$105.00	20.1%	5.8%	17.1%	28.8%	20.3%	1.8%	-0.0%	161.3M	-4.49B	-23.3M	0.79	4.27	N/A	N/A	106,866	84,549	985,244	841,222
2018-09-06	$108.89	$105.00	20.3%	5.9%	17.0%	29.8%	21.4%	2.3%	-0.0%	175.2M	-4.65B	-24.2M	0.84	4.31	N/A	N/A	70,795	59,566	1,016,244	866,642
2018-09-07	$108.15	$105.00	20.4%	5.9%	17.1%	30.1%	21.1%	2.2%	0.1%	148.6M	-4.35B	-23.8M	0.66	4.19	N/A	N/A	63,598	42,012	1,030,217	878,588
2018-09-10	$109.40	$105.00	20.1%	6.0%	17.5%	29.0%	21.2%	2.2%	0.6%	196.0M	-5.00B	-23.5M	0.72	5.40	N/A	N/A	56,058	40,257	1,002,515	850,839
2018-09-11	$111.38	$105.00	20.2%	6.2%	18.4%	29.4%	21.1%	2.4%	1.3%	260.9M	-6.09B	-23.1M	0.49	7.44	N/A	N/A	106,356	52,326	1,013,243	853,476
2018-09-12	$111.72	$105.00	20.4%	6.2%	18.0%	30.1%	21.3%	2.1%	1.2%	258.2M	-6.21B	-23.3M	0.42	5.19	N/A	N/A	83,918	34,990	1,021,884	873,984
2018-09-13	$112.52	$105.00	19.3%	5.6%	16.4%	25.1%	20.3%	2.2%	0.5%	300.0M	-6.67B	-22.8M	0.39	6.37	N/A	N/A	105,771	40,726	1,043,743	880,269
2018-09-14	$113.23	$105.00	18.2%	5.3%	16.4%	20.6%	19.3%	2.3%	0.6%	318.1M	-7.11B	-21.7M	0.65	5.62	N/A	N/A	101,291	65,513	1,049,524	887,161
2018-09-17	$111.93	$105.00	20.3%	5.9%	17.1%	29.5%	19.9%	3.0%	2.3%	243.9M	-6.01B	-22.0M	0.57	6.12	N/A	N/A	74,896	43,035	998,120	862,206
2018-09-18	$113.46	$105.00	18.3%	5.3%	17.4%	21.1%	19.0%	2.3%	4.0%	279.5M	-6.79B	-21.8M	0.56	5.05	N/A	N/A	65,245	36,860	1,008,804	875,731
2018-09-19	$111.83	$105.00	19.5%	5.6%	18.0%	26.1%	18.9%	2.3%	3.3%	217.4M	-5.86B	-21.7M	0.51	7.94	N/A	N/A	88,488	44,876	1,009,167	888,190
2018-09-20	$113.73	$105.00	18.3%	5.0%	18.5%	20.8%	17.8%	2.0%	4.6%	255.2M	-6.92B	-20.9M	0.58	5.39	N/A	N/A	106,615	62,181	1,017,191	891,076
2018-09-21	$113.69	$105.00	18.4%	4.8%	18.6%	21.4%	17.5%	2.5%	4.9%	191.4M	-6.77B	-21.1M	0.55	9.95	N/A	N/A	116,096	64,015	1,021,591	917,519
2018-09-24	$114.73	$105.00	21.6%	5.1%	18.7%	35.2%	18.2%	1.8%	-0.8%	156.9M	-5.85B	-20.3M	0.66	9.03	N/A	N/A	81,008	53,185	850,322	718,036
2018-09-25	$114.36	$105.00	22.2%	4.9%	18.5%	38.0%	17.0%	1.7%	-0.5%	158.5M	-5.62B	-21.7M	0.76	6.90	N/A	N/A	64,567	49,287	870,714	731,325
2018-09-26	$114.44	$105.00	22.3%	5.2%	18.4%	38.6%	18.3%	2.1%	-0.0%	161.5M	-5.79B	-21.7M	0.63	8.43	N/A	N/A	47,414	29,949	892,683	753,032
2018-09-27	$114.43	$105.00	23.1%	5.2%	17.9%	41.8%	18.2%	1.9%	-1.0%	160.4M	-5.78B	-21.7M	0.53	4.91	N/A	N/A	49,429	26,188	903,572	763,196
2018-09-28	$114.35	$105.00	22.8%	5.1%	17.9%	40.6%	18.1%	2.2%	-0.7%	136.8M	-5.77B	-21.8M	0.59	4.76	N/A	N/A	60,885	35,800	911,443	766,641