MSFT Options History — December 2019 In December 2019, MSFT traded between $148.83 and $158.78. ATM implied volatility averaged 16.3%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 6.2% (HV 20d: 10.1%). Max pain ranged from $135.00 to $145.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.63.
Notable Days 2019-12-13 : Highest Volume — 237,984 contracts2019-12-30 : Largest IV spike — 16.9% change2019-12-31 : Highest IV Rank — 25.0%2019-12-03 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $154.11 $148.83 $158.78 $150.00 $157.36 Max Pain $139.52 $135.00 $145.00 $145.00 $145.00 ATM IV 16.3% 14.3% 20.9% 17.4% 20.9% Expected Move 4.6% 4.1% 5.5% 5.2% 4.4% HV 20d 10.1% 9.3% 10.6% 9.4% 9.3% HV 60d 14.4% 12.4% 15.9% 15.9% 12.4% IV Rank 7.5% 0.1% 25.0% 11.1% 25.0% IV Percentile 11.4% 0.4% 40.9% 16.3% 40.9% Term Structure 1.4% -0.6% 5.0% 0.5% -0.6% VWIV 16.8% 14.5% 20.3% 18.5% 16.0% Skew 25d 3.1% 2.1% 4.0% 3.5% 3.2% Skew 10d 6.7% 5.0% 8.5% 7.3% 7.2% Call IV 25d 15.2% 13.0% 20.3% 16.0% 20.3% Put IV 25d 18.3% 16.0% 23.9% 19.5% 23.5% Bid-Ask Spread % 2.15 1.37 3.13 1.90 2.50 Gamma HHI 0.20 0.16 0.30 0.17 0.18 Net GEX 350.3M 262.0M 477.2M 290.3M 343.5M Net DEX -7.96B -10.21B -5.37B -6.07B -8.68B Net VEX -30.4M -32.8M -28.4M -32.0M -29.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.42 0.97 0.79 0.75 Total Volume 143,200.81 43,099 237,984 179,325 104,064 Total OI 2,120,385.381 1,985,176 2,308,074 1,985,176 2,151,693
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 2019-12-02 $150.00 $145.00 17.4% 5.2% 9.4% 11.1% 18.5% 3.5% 0.5% 290.3M -6.07B -32.0M 0.79 1.90 N/A N/A 100,113 79,212 935,332 1,049,844 2019-12-03 $148.83 $145.00 18.3% 5.5% 9.9% 14.2% 20.3% 3.9% 0.4% 262.0M -5.37B -32.8M 0.92 1.79 N/A N/A 75,029 69,034 954,642 1,078,400 2019-12-04 $149.81 $145.00 17.1% 5.0% 10.1% 9.9% 18.3% 3.4% 0.6% 317.1M -6.06B -32.1M 0.56 1.98 N/A N/A 57,438 32,165 964,054 1,099,840 2019-12-05 $150.03 $135.00 16.7% 5.1% 9.7% 8.7% 18.7% 3.3% 0.6% 343.3M -6.19B -31.8M 0.78 2.28 N/A N/A 49,326 38,603 973,140 1,108,799 2019-12-06 $151.78 $135.00 15.3% 4.9% 10.2% 3.5% 17.1% 3.0% 1.0% 339.3M -7.36B -30.8M 0.54 1.93 N/A N/A 101,419 54,840 974,360 1,118,096 2019-12-09 $151.43 $135.00 16.4% 5.1% 9.8% 7.7% 18.8% 3.7% 1.2% 332.8M -6.85B -30.8M 0.79 2.69 N/A N/A 71,656 56,350 949,591 1,081,305 2019-12-10 $150.89 $135.00 17.2% 5.1% 10.0% 10.4% 18.6% 4.0% 0.6% 297.8M -6.31B -31.3M 0.97 1.97 N/A N/A 39,954 38,774 955,007 1,103,037 2019-12-11 $151.56 $135.00 16.1% 5.1% 9.8% 6.5% 18.1% 3.8% 1.5% 328.1M -6.73B -31.1M 0.79 1.56 N/A N/A 55,096 43,333 962,622 1,118,067 2019-12-12 $152.97 $135.00 16.1% 4.5% 10.2% 6.3% 18.0% 3.5% -0.2% 362.5M -7.56B -30.6M 0.68 1.45 N/A N/A 107,782 73,366 971,702 1,127,830 2019-12-13 $154.51 $135.00 14.3% 4.2% 10.5% 0.1% 16.2% 3.1% 0.8% 365.1M -8.45B -29.9M 0.49 1.93 N/A N/A 159,783 78,201 979,028 1,148,343 2019-12-16 $155.53 $140.00 14.6% 4.3% 10.3% 1.3% 15.3% 2.5% 0.7% 360.2M -8.88B -28.4M 0.50 1.38 N/A N/A 158,526 79,328 959,601 1,127,152 2019-12-17 $154.72 $140.00 14.8% 4.3% 10.6% 1.9% 15.9% 2.1% 0.5% 379.9M -8.47B -29.5M 0.59 1.37 N/A N/A 100,707 59,658 1,027,689 1,167,142 2019-12-18 $154.62 $140.00 14.3% 4.1% 10.6% 0.1% 15.4% 2.4% 0.6% 418.9M -8.47B -30.6M 0.54 2.17 N/A N/A 69,282 37,366 1,069,186 1,182,497 2019-12-19 $155.54 $140.00 14.7% 4.2% 10.3% 1.5% 16.0% 2.5% 0.6% 477.2M -9.23B -30.2M 0.53 2.43 N/A N/A 112,478 59,335 1,081,134 1,201,073 2019-12-20 $157.08 $140.00 14.5% 4.2% 10.6% 1.0% 14.8% 2.5% -0.0% 370.8M -10.21B -29.6M 0.49 2.59 N/A N/A 154,365 76,223 1,096,833 1,211,241 2019-12-23 $157.42 $140.00 14.6% 4.1% 10.6% 1.3% 14.5% 2.8% 4.9% 337.1M -8.98B -29.3M 0.42 2.87 N/A N/A 104,371 43,820 993,564 1,086,521 2019-12-24 $157.38 $140.00 14.9% 4.1% 10.2% 2.1% 15.3% 2.8% 5.0% 371.8M -9.01B -29.9M 0.68 2.18 N/A N/A 25,652 17,447 1,023,336 1,105,468 2019-12-26 $158.39 $140.00 16.5% 4.3% 10.0% 8.5% 15.4% 2.6% 5.0% 377.5M -9.61B -29.1M 0.49 3.13 N/A N/A 66,638 32,596 1,022,784 1,110,960 2019-12-27 $158.78 $140.00 17.6% 4.3% 9.9% 12.5% 16.6% 2.9% 4.9% 350.9M -9.84B -29.0M 0.49 2.18 N/A N/A 105,172 51,898 1,032,149 1,120,045 2019-12-30 $157.76 $145.00 20.5% 4.5% 10.0% 23.8% 16.2% 3.8% -0.3% 330.7M -8.78B -29.4M 0.49 2.83 N/A N/A 111,696 55,121 1,011,811 1,093,175 2019-12-31 $157.36 $145.00 20.9% 4.4% 9.3% 25.0% 16.0% 3.2% -0.6% 343.5M -8.68B -29.4M 0.75 2.50 N/A N/A 59,614 44,450 1,034,972 1,116,721
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