MSFT Options History — November 2019 In November 2019, MSFT traded between $143.47 and $152.39. ATM implied volatility averaged 15.5%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.5% (HV 20d: 14.0%). Max pain ranged from $139.00 to $145.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.63.
Notable Days 2019-11-19 : Highest Volume — 429,492 contracts2019-11-20 : Largest IV spike — 10.3% change2019-11-20 : Highest IV Rank — 10.3%2019-11-20 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $147.99 $143.47 $152.39 $143.47 $151.36 Max Pain $141.70 $139.00 $145.00 $139.00 $145.00 ATM IV 15.5% 14.3% 17.2% 16.2% 15.3% Expected Move 4.6% 4.2% 4.9% 4.5% 4.4% HV 20d 14.0% 8.4% 17.3% 17.3% 8.4% HV 60d 17.6% 15.8% 20.2% 20.2% 15.8% IV Rank 2.6% 0.0% 10.3% 2.0% 3.6% IV Percentile 2.4% 0.0% 12.7% 2.0% 3.2% Term Structure 0.3% -0.4% 1.2% 0.5% 0.1% VWIV 16.4% 15.3% 18.0% 15.9% 16.6% Skew 25d 2.7% 1.9% 3.3% 2.7% 2.9% Skew 10d 5.6% 3.9% 6.6% 5.0% 6.6% Call IV 25d 14.5% 13.6% 15.8% 14.9% 14.4% Put IV 25d 17.2% 15.7% 18.9% 17.6% 17.4% Bid-Ask Spread % 1.57 0.90 3.94 1.84 1.67 Gamma HHI 0.17 0.11 0.26 0.11 0.18 Net GEX 361.4M 227.4M 487.4M 347.0M 332.6M Net DEX -7.32B -9.70B -5.94B -6.53B -7.06B Net VEX -29.9M -32.0M -27.5M -30.4M -31.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.23 1.00 0.49 0.77 Total Volume 174,687.4 65,027 429,492 172,404 65,027 Total OI 2,094,866.9 1,904,293 2,268,391 2,183,426 2,055,314
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 2019-11-01 $143.47 $139.00 16.2% 4.5% 17.3% 2.0% 15.9% 2.7% 0.5% 347.0M -6.53B -30.4M 0.49 1.84 N/A N/A 115,687 56,717 1,107,315 1,076,111 2019-11-04 $144.38 $140.00 16.0% 4.8% 17.1% 1.4% 18.0% 2.7% 0.7% 366.5M -6.80B -29.5M 0.77 1.35 N/A N/A 89,618 69,298 1,045,443 1,044,314 2019-11-05 $144.72 $140.00 15.7% 4.8% 16.6% 0.1% 16.7% 2.8% 0.5% 366.5M -6.85B -30.3M 1.00 1.24 N/A N/A 60,279 60,135 1,058,043 1,074,072 2019-11-06 $143.93 $140.00 15.5% 4.6% 16.2% 0.0% 17.0% 2.8% 0.5% 332.7M -6.34B -30.4M 0.80 1.32 N/A N/A 59,512 47,900 1,076,177 1,097,729 2019-11-07 $143.97 $140.00 15.6% 4.6% 16.2% 0.5% 16.6% 2.9% 0.6% 341.6M -6.37B -30.3M 0.53 1.41 N/A N/A 92,692 49,145 1,082,436 1,111,425 2019-11-08 $145.68 $140.00 15.1% 4.6% 16.4% 0.0% 17.0% 2.7% 0.7% 453.1M -7.69B -29.8M 0.65 0.90 N/A N/A 125,900 82,114 1,096,271 1,125,004 2019-11-11 $145.92 $140.00 15.5% 4.6% 16.3% 1.7% 16.5% 2.8% 0.4% 356.3M -7.45B -29.0M 0.66 0.94 N/A N/A 93,465 61,289 1,052,703 1,100,920 2019-11-12 $146.92 $140.00 15.0% 4.6% 15.9% 0.0% 16.2% 2.4% 1.0% 416.0M -8.18B -28.6M 0.44 0.98 N/A N/A 134,964 59,642 1,070,675 1,109,701 2019-11-13 $147.22 $140.00 15.0% 4.6% 15.5% 0.2% 16.7% 2.5% 1.2% 408.6M -8.17B -29.1M 0.66 3.94 N/A N/A 79,761 52,368 1,088,783 1,124,122 2019-11-14 $148.17 $140.00 14.8% 4.2% 15.4% 0.0% 16.0% 2.5% -0.1% 443.2M -8.94B -28.9M 0.61 1.22 N/A N/A 101,575 61,488 1,100,355 1,137,168 2019-11-15 $149.54 $140.00 14.3% 4.2% 14.3% 0.0% 15.5% 1.9% 0.3% 487.4M -9.70B -28.2M 0.49 1.07 N/A N/A 194,615 95,131 1,109,323 1,159,068 2019-11-18 $150.11 $140.00 15.1% 4.3% 14.2% 3.0% 15.3% 2.3% -0.1% 346.3M -8.04B -27.5M 0.46 1.93 N/A N/A 161,862 74,288 925,279 979,014 2019-11-19 $150.44 $140.00 15.6% 4.5% 13.1% 4.6% 16.0% 2.3% -0.1% 370.7M -8.11B -28.8M 0.23 1.54 N/A N/A 350,200 79,292 959,821 999,376 2019-11-20 $149.50 $145.00 17.2% 4.9% 13.7% 10.3% 17.0% 3.0% -0.4% 273.2M -6.03B -30.2M 0.58 1.68 N/A N/A 143,816 83,638 884,565 1,032,944 2019-11-21 $149.42 $145.00 17.0% 4.9% 12.6% 9.5% 17.3% 3.3% -0.4% 248.1M -5.97B -31.0M 0.80 1.40 N/A N/A 82,062 65,800 909,368 1,067,253 2019-11-22 $149.39 $145.00 16.4% 4.7% 12.7% 7.4% 16.3% 3.3% -0.3% 227.4M -5.94B -32.0M 0.82 1.44 N/A N/A 72,607 59,470 934,557 1,102,605 2019-11-25 $151.04 $145.00 15.3% 4.5% 10.0% 3.7% 16.0% 2.9% 0.3% 350.7M -6.94B -31.3M 0.63 1.66 N/A N/A 76,780 48,671 917,953 1,050,132 2019-11-26 $152.39 $145.00 14.7% 4.2% 9.5% 1.6% 15.8% 2.8% 0.2% 379.0M -7.71B -30.7M 0.57 1.98 N/A N/A 107,231 61,208 931,319 1,067,941 2019-11-27 $152.15 $145.00 14.9% 4.3% 9.0% 2.1% 15.7% 2.7% 0.3% 380.5M -7.64B -30.6M 0.73 1.92 N/A N/A 68,658 49,843 949,736 1,083,003 2019-11-29 $151.36 $145.00 15.3% 4.4% 8.4% 3.6% 16.6% 2.9% 0.1% 332.6M -7.06B -31.7M 0.77 1.67 N/A N/A 36,777 28,250 962,610 1,092,704
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