MSFT Options History — January 2020 In January 2020, MSFT traded between $158.00 and $173.04. ATM implied volatility averaged 22.4%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 10.0% (HV 20d: 12.4%). Max pain ranged from $145.00 to $160.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.47.
Notable Days 2020-01-30 : Highest Volume — 650,064 contracts2020-01-31 : Largest IV spike — 17.1% change2020-01-27 : Highest IV Rank — 70.1%2020-01-27 : Largest Expected Move — 7.8%Monthly Statistics Metric Avg Min Max Open Close Price $163.99 $158.00 $173.04 $160.14 $170.13 Max Pain $154.88 $145.00 $160.00 $145.00 $160.00 ATM IV 22.4% 19.5% 26.1% 21.5% 22.8% Expected Move 6.2% 4.4% 7.8% 4.4% 6.6% HV 20d 12.4% 9.9% 18.7% 9.9% 18.7% HV 60d 12.1% 10.8% 13.3% 12.6% 13.3% IV Rank 44.7% 27.4% 70.1% 27.4% 51.4% IV Percentile 62.5% 32.5% 91.7% 48.0% 71.0% Term Structure -0.6% -1.2% 0.7% -0.7% 0.3% VWIV 22.1% 16.7% 27.2% 16.9% 23.2% Skew 25d 2.7% 1.8% 3.9% 2.8% 3.9% Skew 10d 5.5% 3.5% 8.2% 5.7% 8.2% Call IV 25d 21.2% 18.3% 24.3% 20.5% 21.0% Put IV 25d 24.0% 21.0% 27.6% 23.3% 24.9% Bid-Ask Spread % 2.23 1.62 4.79 2.33 4.79 Gamma HHI 0.19 0.13 0.37 0.22 0.22 Net GEX 359.2M 210.8M 527.6M 420.3M 419.3M Net DEX -9.15B -13.28B -5.05B -10.15B -8.00B Net VEX -31.1M -35.9M -28.5M -28.9M -35.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.47 0.28 0.74 0.48 0.48 Total Volume 238,669.762 106,668 650,064 244,815 329,491 Total OI 1,982,863.048 1,444,852 2,404,690 2,179,193 1,797,147
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 2020-01-02 $160.14 $145.00 21.5% 4.4% 9.9% 27.4% 16.9% 2.8% -0.7% 420.3M -10.15B -28.9M 0.48 2.33 N/A N/A 165,925 78,890 1,048,147 1,131,046 2020-01-03 $159.15 $145.00 21.7% 4.5% 10.5% 28.2% 16.7% 3.0% -0.6% 317.7M -9.20B -29.6M 0.58 2.88 N/A N/A 123,855 71,485 1,043,952 1,153,096 2020-01-06 $158.60 $150.00 22.5% 5.9% 10.7% 37.6% 21.5% 3.0% -0.8% 280.5M -8.70B -30.1M 0.74 3.14 N/A N/A 66,654 49,426 1,031,659 1,135,840 2020-01-07 $158.00 $150.00 22.3% 5.9% 10.4% 36.7% 21.5% 3.5% -0.7% 286.4M -8.76B -29.4M 0.53 2.01 N/A N/A 69,804 36,864 1,043,368 1,161,295 2020-01-08 $160.50 $150.00 21.7% 5.9% 11.3% 37.1% 21.0% 3.6% -0.8% 363.9M -10.02B -29.7M 0.40 3.13 N/A N/A 156,675 62,851 1,063,342 1,178,300 2020-01-09 $161.72 $150.00 20.9% 5.9% 11.2% 35.2% 20.8% 3.2% -0.8% 400.0M -10.94B -28.5M 0.34 1.94 N/A N/A 181,762 61,361 1,073,756 1,192,520 2020-01-10 $161.50 $155.00 21.6% 6.0% 11.3% 40.0% 21.4% 2.9% -0.7% 370.8M -10.73B -29.6M 0.48 1.96 N/A N/A 146,633 70,650 1,098,247 1,206,515 2020-01-13 $162.89 $155.00 21.7% 5.8% 11.3% 40.5% 21.2% 2.8% -1.2% 372.0M -11.23B -29.3M 0.53 1.62 N/A N/A 100,109 53,049 1,097,373 1,181,268 2020-01-14 $162.33 $155.00 21.9% 6.2% 11.2% 41.9% 21.6% 2.7% -0.1% 367.1M -10.96B -29.9M 0.53 1.73 N/A N/A 141,062 74,323 1,114,871 1,191,795 2020-01-15 $163.21 $155.00 21.7% 5.9% 11.1% 44.3% 21.0% 2.8% -1.1% 440.1M -11.33B -30.4M 0.53 1.80 N/A N/A 96,250 50,638 1,143,757 1,215,478 2020-01-16 $165.75 $155.00 21.8% 6.0% 11.7% 44.6% 21.3% 2.0% -0.8% 527.6M -12.95B -29.8M 0.39 1.67 N/A N/A 168,814 65,436 1,152,662 1,229,927 2020-01-17 $166.75 $155.00 22.1% 6.2% 11.6% 46.3% 22.2% 1.8% -0.5% 310.2M -13.28B -29.5M 0.35 1.93 N/A N/A 246,112 85,865 1,159,559 1,245,131 2020-01-21 $166.72 $155.00 22.8% 6.5% 11.6% 50.9% 23.2% 2.5% -1.0% 341.7M -6.98B -30.5M 0.28 1.66 N/A N/A 192,818 54,313 812,521 632,331 2020-01-22 $165.78 $157.50 23.1% 6.6% 11.8% 52.5% 23.3% 1.9% -1.0% 306.2M -6.57B -32.1M 0.28 1.97 N/A N/A 132,544 37,207 842,591 649,558 2020-01-23 $166.50 $160.00 23.0% 6.7% 11.8% 52.1% 23.6% 1.9% -1.1% 359.9M -6.97B -32.2M 0.66 1.85 N/A N/A 87,865 58,075 873,450 663,204 2020-01-24 $164.89 $160.00 24.0% 7.0% 12.6% 57.5% 24.4% 2.4% -1.2% 361.2M -6.11B -33.1M 0.52 2.05 N/A N/A 149,050 77,002 881,170 688,085 2020-01-27 $162.49 $160.00 26.1% 7.8% 13.9% 70.1% 27.2% 3.3% -0.4% 210.8M -5.05B -33.9M 0.53 1.92 N/A N/A 138,752 74,169 839,066 680,081 2020-01-28 $165.53 $160.00 24.3% 7.4% 15.2% 59.7% 25.7% 2.9% -0.5% 274.8M -6.39B -34.1M 0.47 1.95 N/A N/A 114,438 54,203 878,066 712,495 2020-01-29 $168.22 $160.00 23.3% 7.1% 15.6% 53.5% 24.7% 2.2% -0.2% 322.8M -7.59B -34.0M 0.52 1.99 N/A N/A 287,986 149,595 904,034 730,313 2020-01-30 $173.04 $160.00 19.5% 5.6% 17.8% 31.4% 20.7% 2.7% 0.7% 490.6M -10.30B -32.4M 0.36 2.55 N/A N/A 478,191 171,873 978,597 784,511 2020-01-31 $170.13 $160.00 22.8% 6.6% 18.7% 51.4% 23.2% 3.9% 0.3% 419.3M -8.00B -35.9M 0.48 4.79 N/A N/A 222,371 107,120 982,742 814,405
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