MSFT Options History — September 2019 In September 2019, MSFT traded between $135.58 and $140.92. ATM implied volatility averaged 22.9%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.6% (HV 20d: 21.3%). Max pain ranged from $130.00 to $135.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.55.
Notable Days 2019-09-19 : Highest Volume — 502,858 contracts2019-09-24 : Largest IV spike — 11.6% change2019-09-27 : Highest IV Rank — 46.4%2019-09-03 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $138.07 $135.58 $140.92 $136.26 $138.86 Max Pain $132.50 $130.00 $135.00 $135.00 $135.00 ATM IV 22.9% 19.7% 28.1% 25.0% 26.4% Expected Move 6.2% 5.6% 7.3% 7.3% 6.1% HV 20d 21.3% 16.9% 25.6% 25.3% 18.6% HV 60d 20.7% 20.2% 21.1% 20.4% 20.8% IV Rank 27.1% 15.2% 46.4% 34.8% 40.0% IV Percentile 45.3% 17.9% 79.0% 66.3% 69.8% Term Structure 1.1% -0.8% 5.1% -0.0% -0.6% VWIV 21.5% 19.4% 25.0% 25.0% 21.2% Skew 25d 4.9% 4.0% 6.3% 6.3% 5.9% Skew 10d 9.8% 7.5% 12.7% 12.7% 11.4% Call IV 25d 20.7% 17.5% 25.4% 22.1% 23.7% Put IV 25d 25.6% 21.4% 31.3% 28.4% 29.7% Bid-Ask Spread % 3.22 1.71 4.60 2.99 3.86 Gamma HHI 0.12 0.09 0.17 0.12 0.13 Net GEX 214.1M 85.9M 453.2M 128.0M 169.2M Net DEX -4.44B -6.96B -3.21B -3.66B -4.10B Net VEX -33.7M -35.7M -32.2M -35.7M -33.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.28 0.72 0.58 0.49 Total Volume 201,988.25 103,887 502,858 108,790 132,207 Total OI 2,119,961.25 1,907,216 2,336,212 2,025,725 1,986,416
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 2019-09-03 $136.26 $135.00 25.0% 7.3% 25.3% 34.8% 25.0% 6.3% -0.0% 128.0M -3.66B -35.7M 0.58 2.99 N/A N/A 68,660 40,130 991,932 1,033,793 2019-09-04 $137.49 $135.00 23.1% 6.6% 25.1% 27.9% 22.8% 5.5% 0.2% 186.9M -4.34B -35.3M 0.52 1.71 N/A N/A 68,467 35,420 1,012,250 1,049,061 2019-09-05 $139.83 $130.00 20.6% 6.1% 25.6% 18.6% 22.5% 5.0% 0.1% 268.3M -5.69B -34.3M 0.72 1.85 N/A N/A 131,657 94,379 1,018,826 1,061,233 2019-09-06 $139.36 $130.00 20.2% 5.9% 24.1% 17.1% 21.0% 4.8% 0.4% 221.5M -5.39B -33.9M 0.60 2.78 N/A N/A 116,889 69,867 1,028,977 1,078,183 2019-09-09 $137.25 $130.00 22.0% 6.6% 24.7% 23.8% 22.2% 4.9% 1.1% 141.9M -4.07B -33.7M 0.60 3.36 N/A N/A 116,362 70,237 1,008,825 1,052,373 2019-09-10 $135.58 $130.00 22.7% 6.7% 24.2% 26.4% 23.1% 4.7% 0.5% 85.9M -3.21B -34.1M 0.55 2.62 N/A N/A 150,407 83,011 1,048,329 1,081,743 2019-09-11 $135.69 $130.00 21.7% 6.3% 23.1% 22.4% 21.9% 4.3% 0.4% 125.7M -3.41B -33.8M 0.48 3.08 N/A N/A 132,055 64,026 1,078,633 1,100,498 2019-09-12 $137.97 $130.00 21.3% 6.0% 21.0% 21.2% 21.3% 4.2% -0.8% 284.5M -5.10B -34.1M 0.28 4.60 N/A N/A 226,058 62,675 1,114,387 1,120,063 2019-09-13 $137.19 $130.00 21.3% 6.2% 21.2% 21.2% 21.1% 4.0% 0.5% 182.8M -4.42B -33.6M 0.40 2.48 N/A N/A 135,165 54,592 1,138,667 1,135,229 2019-09-16 $136.33 $130.00 22.3% 6.4% 20.7% 24.9% 21.4% 4.4% 3.8% 168.5M -3.73B -33.1M 0.62 3.02 N/A N/A 83,119 51,322 1,104,776 1,086,330 2019-09-17 $137.47 $130.00 21.6% 6.2% 19.8% 22.2% 20.4% 4.3% 3.8% 209.4M -4.36B -33.0M 0.45 2.83 N/A N/A 72,047 32,364 1,104,419 1,106,613 2019-09-18 $138.58 $130.00 19.7% 5.7% 20.0% 15.2% 20.9% 4.4% 5.1% 296.8M -5.04B -32.6M 0.58 3.71 N/A N/A 128,976 74,785 1,108,340 1,114,156 2019-09-19 $140.92 $135.00 20.2% 5.6% 20.7% 16.9% 19.4% 4.0% 4.3% 453.2M -6.96B -32.2M 0.46 3.99 N/A N/A 343,917 158,941 1,130,466 1,137,567 2019-09-20 $139.21 $135.00 21.3% 5.6% 21.1% 21.2% 19.9% 4.3% 4.8% 244.6M -4.86B -32.3M 0.54 3.85 N/A N/A 189,966 103,118 1,153,207 1,183,005 2019-09-23 $139.49 $135.00 23.6% 5.7% 16.9% 29.6% 19.5% 5.0% 0.4% 225.2M -4.48B -32.9M 0.63 2.15 N/A N/A 91,684 57,384 930,961 976,255 2019-09-24 $137.25 $135.00 26.3% 6.6% 17.8% 39.9% 22.6% 5.8% 0.1% 153.8M -3.31B -33.8M 0.57 3.99 N/A N/A 157,995 90,663 961,119 1,000,799 2019-09-25 $139.60 $135.00 25.5% 5.8% 18.6% 36.8% 20.6% 5.2% -0.2% 266.7M -4.67B -34.0M 0.60 3.14 N/A N/A 119,758 72,169 989,891 1,027,215 2019-09-26 $139.61 $135.00 25.4% 5.8% 18.6% 36.4% 20.3% 5.3% -0.4% 289.2M -4.71B -34.0M 0.69 4.31 N/A N/A 94,956 65,528 1,011,548 1,047,009 2019-09-27 $137.47 $135.00 28.1% 6.8% 18.4% 46.4% 23.1% 5.9% -0.7% 180.2M -3.38B -34.6M 0.58 4.15 N/A N/A 125,465 73,344 1,021,788 1,064,343 2019-09-30 $138.86 $135.00 26.4% 6.1% 18.6% 40.0% 21.2% 5.9% -0.6% 169.2M -4.10B -33.8M 0.49 3.86 N/A N/A 88,523 43,684 962,461 1,023,955
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