MSFT Options History — March 2020 In March 2020, MSFT traded between $134.85 and $169.13. ATM implied volatility averaged 58.6%, placing in the 77.4% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded above realized volatility by 1.9% (HV 20d: 56.6%). Max pain ranged from $160.00 to $172.50. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.64.
Notable Days 2020-03-12 : Highest Volume — 437,395 contracts2020-03-16 : Largest IV spike — 34.6% change2020-03-06 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 24.4%Monthly Statistics Metric Avg Min Max Open Close Price $152.41 $134.85 $169.13 $169.13 $159.27 Max Pain $168.07 $160.00 $172.50 $172.50 $160.00 ATM IV 58.6% 36.2% 85.2% 38.9% 50.7% Expected Move 16.6% 11.0% 24.4% 11.8% 14.2% HV 20d 56.6% 40.9% 74.3% 42.5% 70.3% HV 60d 37.7% 27.1% 48.1% 27.1% 48.1% IV Rank 77.4% 51.4% 100.0% 64.0% 51.4% IV Percentile 98.1% 92.9% 100.0% 99.2% 92.9% Term Structure -1.4% -10.0% 4.5% -1.0% -1.2% VWIV 57.3% 41.7% 86.0% 43.5% 50.1% Skew 25d 19.7% 11.5% 28.9% 12.6% 16.6% Skew 10d 36.0% 22.2% 59.9% 24.7% 31.9% Call IV 25d 49.4% 31.9% 71.3% 34.3% 44.3% Put IV 25d 69.1% 43.4% 100.0% 46.9% 60.9% Bid-Ask Spread % 9.71 3.21 16.38 9.45 4.47 Gamma HHI 0.05 0.04 0.11 0.06 0.05 Net GEX 33.6M -60.1M 145.4M 145.4M 95.7M Net DEX 798.6M -3.33B 4.67B -3.33B -2.43B Net VEX -54.6M -60.5M -44.3M -57.6M -56.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.42 0.84 0.69 0.52 Total Volume 351,705.591 276,885 437,395 363,890 436,609 Total OI 2,591,934.864 2,187,547 2,841,080 2,617,177 2,290,381
Daily Data (22 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 2020-03-02 $169.13 $172.50 38.9% 11.8% 42.5% 64.0% 43.5% 12.6% -1.0% 145.4M -3.33B -57.6M 0.69 9.45 N/A N/A 215,270 148,620 1,521,909 1,095,268 2020-03-03 $165.75 $172.50 45.0% 14.1% 42.1% 79.9% 48.2% 13.3% -2.1% 102.5M -1.85B -57.8M 0.76 13.24 N/A N/A 229,335 174,203 1,540,292 1,124,178 2020-03-04 $168.85 $172.50 36.2% 11.0% 40.9% 57.0% 41.7% 11.5% -0.9% 141.1M -2.97B -57.3M 0.69 10.46 N/A N/A 204,331 141,877 1,572,425 1,172,355 2020-03-05 $166.27 $170.00 47.3% 12.8% 41.1% 85.8% 42.8% 15.3% -1.9% 100.3M -2.09B -60.5M 0.57 8.72 N/A N/A 226,974 129,275 1,597,753 1,199,871 2020-03-06 $160.19 $170.00 55.2% 14.4% 41.9% 100.0% 48.5% 23.4% -0.8% -53.1M 578.0M -59.6M 0.67 10.73 N/A N/A 258,730 172,673 1,621,415 1,219,665 2020-03-09 $153.96 $170.00 58.6% 15.6% 43.2% 100.0% 53.0% 19.1% -4.1% 10.2M 1.76B -56.5M 0.62 10.34 N/A N/A 192,862 118,689 1,547,297 1,128,527 2020-03-10 $158.68 $170.00 53.5% 14.1% 44.1% 88.4% 48.0% 17.1% -3.9% 40.9M 386.2M -58.0M 0.52 11.17 N/A N/A 226,062 117,866 1,562,150 1,142,398 2020-03-11 $154.26 $170.00 56.2% 15.5% 44.5% 94.7% 53.4% 18.6% -1.7% 9.0M 1.67B -57.0M 0.65 14.84 N/A N/A 172,741 112,459 1,580,464 1,158,656 2020-03-12 $143.38 $170.00 70.0% 18.8% 49.9% 100.0% 63.0% 22.7% -6.2% -48.5M 4.45B -52.3M 0.62 6.65 N/A N/A 269,954 167,441 1,603,871 1,182,093 2020-03-13 $149.31 $170.00 60.9% 16.3% 53.2% 83.8% 57.7% 28.9% -10.0% -25.7M 3.07B -53.8M 0.71 16.38 N/A N/A 236,164 167,943 1,622,794 1,168,882 2020-03-16 $140.06 $170.00 82.0% 23.1% 56.1% 100.0% 76.3% 27.4% -1.9% -24.2M 4.03B -51.7M 0.66 11.40 N/A N/A 194,574 128,002 1,545,341 1,141,401 2020-03-17 $144.75 $170.00 74.3% 21.2% 57.7% 88.6% 73.1% 25.7% 3.3% -6.0M 3.11B -54.0M 0.83 9.81 N/A N/A 195,583 163,192 1,593,355 1,145,639 2020-03-18 $137.75 $170.00 85.2% 24.4% 59.0% 100.0% 86.0% 28.7% 4.5% -28.0M 4.23B -52.4M 0.84 8.03 N/A N/A 157,118 132,107 1,603,266 1,176,022 2020-03-19 $146.14 $170.00 71.1% 20.5% 64.6% 80.1% 68.6% 24.9% -4.0% -17.3M 2.49B -54.5M 0.63 11.70 N/A N/A 217,592 136,277 1,609,169 1,164,850 2020-03-20 $138.95 $170.00 65.3% 18.4% 65.7% 71.9% 61.6% 22.5% 2.3% -60.1M 4.67B -48.5M 0.53 9.01 N/A N/A 223,842 119,518 1,611,911 1,172,214 2020-03-23 $134.85 $165.00 61.1% 17.4% 65.5% 66.0% 57.7% 19.8% 0.7% -13.9M 3.34B -44.3M 0.54 10.69 N/A N/A 190,447 102,838 1,263,326 924,221 2020-03-24 $146.88 $165.00 54.1% 16.1% 74.0% 56.1% 55.7% 16.3% 2.9% 40.2M 843.8M -49.8M 0.44 6.20 N/A N/A 266,701 118,596 1,301,983 942,123 2020-03-25 $149.33 $165.00 60.4% 17.9% 74.3% 65.0% 58.9% 18.1% -1.4% 62.4M -113.4M -53.7M 0.42 16.09 N/A N/A 211,346 89,199 1,326,083 966,215 2020-03-26 $153.13 $165.00 55.3% 16.3% 72.4% 57.8% 57.0% 16.9% -0.1% 85.3M -924.9M -54.4M 0.71 5.63 N/A N/A 161,584 115,301 1,332,416 980,463 2020-03-27 $152.35 $160.00 55.9% 16.7% 72.3% 58.7% 59.8% 16.2% -2.9% 83.0M -700.4M -54.2M 0.77 5.46 N/A N/A 158,489 121,492 1,351,979 1,003,008 2020-03-30 $159.86 $160.00 52.0% 15.2% 70.6% 53.2% 57.0% 18.7% -1.3% 100.7M -2.66B -56.2M 0.76 3.21 N/A N/A 235,095 178,552 1,270,700 944,238 2020-03-31 $159.27 $160.00 50.7% 14.2% 70.3% 51.4% 50.1% 16.6% -1.2% 95.7M -2.43B -56.3M 0.52 4.47 N/A N/A 287,334 149,275 1,298,253 992,128
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