MSFT Options History — February 2020 In February 2020, MSFT traded between $158.65 and $188.04. ATM implied volatility averaged 28.7%, placing in the 73.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 3.0% (HV 20d: 25.8%). Max pain ranged from $155.00 to $175.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.40.
Notable Days 2020-02-11 : Highest Volume — 942,666 contracts2020-02-28 : Largest IV spike — 25.8% change2020-02-24 : Highest IV Rank — 100.0%2020-02-28 : Largest Expected Move — 16.2%Monthly Statistics Metric Avg Min Max Open Close Price $178.59 $158.65 $188.04 $174.08 $158.65 Max Pain $165.13 $155.00 $175.00 $160.00 $172.50 ATM IV 28.7% 20.9% 52.7% 20.9% 52.7% Expected Move 8.3% 5.8% 16.2% 5.8% 16.2% HV 20d 25.8% 19.6% 37.1% 19.6% 35.3% HV 60d 17.5% 14.0% 23.9% 14.0% 23.9% IV Rank 73.0% 40.1% 100.0% 40.1% 100.0% IV Percentile 85.8% 42.5% 100.0% 42.5% 100.0% Term Structure -0.8% -3.1% 0.3% -0.1% -3.1% VWIV 29.6% 21.7% 57.4% 21.7% 57.4% Skew 25d 3.3% -1.1% 14.7% 3.5% 14.7% Skew 10d 6.1% -2.3% 24.5% 7.9% 24.5% Call IV 25d 28.0% 20.0% 46.7% 20.0% 46.7% Put IV 25d 31.3% 22.7% 61.4% 23.5% 61.4% Bid-Ask Spread % 4.54 2.03 12.78 2.03 9.65 Gamma HHI 0.12 0.05 0.22 0.17 0.05 Net GEX 341.9M 9.0M 723.3M 362.6M 9.0M Net DEX -8.75B -13.74B 1.10B -9.14B 953.5M Net VEX -44.7M -55.0M -32.3M -35.0M -55.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.40 0.18 0.67 0.27 0.67 Total Volume 569,515.474 254,584 942,666 254,584 713,552 Total OI 2,352,473.737 1,691,805 2,749,870 1,691,805 2,749,870
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 2020-02-03 $174.08 $160.00 20.9% 5.8% 19.6% 40.1% 21.7% 3.5% -0.1% 362.6M -9.14B -35.0M 0.27 2.03 N/A N/A 200,191 54,393 928,151 763,654 2020-02-04 $179.69 $160.00 21.1% 6.0% 21.6% 41.5% 21.7% 1.7% 0.0% 325.5M -11.39B -32.3M 0.30 3.74 N/A N/A 394,179 116,888 936,744 780,511 2020-02-05 $179.75 $165.00 24.0% 6.7% 21.4% 58.7% 24.5% 0.1% -0.5% 312.2M -11.09B -34.8M 0.29 2.66 N/A N/A 491,762 140,531 1,009,530 811,903 2020-02-06 $182.92 $155.00 24.1% 6.7% 21.5% 59.5% 24.4% -0.3% -0.4% 415.5M -12.70B -36.4M 0.29 3.28 N/A N/A 351,367 103,455 1,141,428 841,827 2020-02-07 $183.94 $155.00 24.8% 6.9% 21.5% 63.7% 24.7% 0.2% -0.4% 405.2M -12.93B -37.9M 0.35 3.45 N/A N/A 412,411 145,283 1,198,245 874,369 2020-02-10 $188.04 $155.00 26.4% 7.4% 22.0% 73.0% 26.4% -0.1% -0.5% 396.3M -13.65B -39.3M 0.28 2.36 N/A N/A 450,468 126,906 1,200,050 850,174 2020-02-11 $184.50 $155.00 29.3% 8.1% 23.9% 91.0% 29.3% -1.1% -1.2% 341.4M -12.00B -42.4M 0.33 3.24 N/A N/A 710,078 232,588 1,280,361 901,274 2020-02-12 $184.03 $160.00 26.9% 7.4% 23.9% 76.2% 27.4% -0.3% -1.0% 405.5M -11.94B -44.3M 0.31 2.43 N/A N/A 602,442 185,324 1,468,287 956,790 2020-02-13 $183.75 $160.00 25.9% 7.3% 24.0% 70.2% 26.2% 0.9% -0.7% 455.7M -12.07B -46.3M 0.42 2.73 N/A N/A 439,739 185,672 1,625,880 987,660 2020-02-14 $184.72 $160.00 23.9% 6.8% 23.7% 58.2% 24.7% 0.7% -0.0% 723.3M -12.63B -46.4M 0.43 3.35 N/A N/A 304,652 131,523 1,671,521 1,021,819 2020-02-18 $187.42 $160.00 23.7% 6.8% 24.0% 57.2% 24.3% 0.8% -0.3% 597.0M -13.74B -45.2M 0.18 3.33 N/A N/A 566,360 100,469 1,578,176 965,456 2020-02-19 $187.08 $170.00 22.5% 6.4% 24.0% 49.6% 22.8% 1.2% -0.2% 649.6M -11.18B -45.8M 0.42 2.09 N/A N/A 265,237 110,872 1,493,404 990,088 2020-02-20 $184.38 $175.00 25.0% 7.2% 24.8% 64.7% 25.7% 2.5% -0.3% 445.9M -9.37B -48.8M 0.40 2.73 N/A N/A 338,250 134,720 1,535,627 1,034,408 2020-02-21 $178.32 $175.00 28.7% 8.2% 28.3% 87.2% 29.3% 5.0% 0.3% 211.0M -5.82B -50.9M 0.60 8.33 N/A N/A 416,374 250,997 1,581,330 1,080,845 2020-02-24 $172.36 $175.00 33.7% 10.0% 31.0% 100.0% 34.8% 6.3% -1.2% 152.9M -3.58B -51.1M 0.49 3.57 N/A N/A 399,430 194,785 1,491,938 983,557 2020-02-25 $168.94 $175.00 35.7% 10.6% 31.5% 100.0% 38.3% 7.2% -1.6% 120.4M -2.26B -52.4M 0.50 6.14 N/A N/A 362,962 181,552 1,547,624 1,020,229 2020-02-26 $170.17 $175.00 34.8% 10.4% 30.9% 96.0% 35.5% 7.7% -1.5% 156.1M -2.81B -54.0M 0.39 12.78 N/A N/A 314,998 122,623 1,611,826 1,071,693 2020-02-27 $160.43 $175.00 41.9% 12.8% 37.1% 100.0% 43.1% 11.2% -2.7% 11.7M 1.10B -51.3M 0.64 8.44 N/A N/A 347,143 220,618 1,611,883 1,098,869 2020-02-28 $158.65 $172.50 52.7% 16.2% 35.3% 100.0% 57.4% 14.7% -3.1% 9.0M 953.5M -55.0M 0.67 9.65 N/A N/A 428,004 285,548 1,638,707 1,111,163
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