MSFT Options History — May 2020 In May 2020, MSFT traded between $175.18 and $187.25. ATM implied volatility averaged 29.4%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 0.5% (HV 20d: 29.9%). Max pain ranged from $155.00 to $170.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.52.
Notable Days 2020-05-27 : Highest Volume — 409,540 contracts2020-05-13 : Largest IV spike — 19.5% change2020-05-01 : Highest IV Rank — 28.6%2020-05-01 : Largest Expected Move — 10.1%Monthly Statistics Metric Avg Min Max Open Close Price $182.36 $175.18 $187.25 $175.18 $184.17 Max Pain $163.75 $155.00 $170.00 $170.00 $170.00 ATM IV 29.4% 25.2% 34.6% 34.6% 25.2% Expected Move 8.5% 7.0% 10.1% 10.1% 7.0% HV 20d 29.9% 21.0% 39.8% 39.8% 21.2% HV 60d 51.9% 48.7% 53.1% 52.8% 48.7% IV Rank 21.3% 15.4% 28.6% 28.6% 15.4% IV Percentile 75.8% 60.7% 81.7% 81.7% 60.7% Term Structure 0.3% -0.8% 1.3% 0.2% 0.4% VWIV 30.0% 25.2% 35.1% 34.9% 25.2% Skew 25d 7.2% 6.1% 8.9% 7.6% 6.3% Skew 10d 13.1% 11.1% 16.7% 13.1% 12.4% Call IV 25d 26.3% 22.8% 31.0% 31.0% 22.8% Put IV 25d 33.4% 29.1% 39.0% 38.6% 29.1% Bid-Ask Spread % 2.57 1.82 4.20 2.29 2.24 Gamma HHI 0.11 0.07 0.26 0.08 0.22 Net GEX 270.6M 133.2M 571.5M 168.1M 380.0M Net DEX -7.91B -11.24B -5.67B -6.74B -6.93B Net VEX -56.8M -59.1M -54.6M -59.1M -57.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.52 0.23 0.66 0.54 0.66 Total Volume 287,012.4 186,491 409,540 341,170 249,841 Total OI 2,243,837.15 2,009,750 2,485,978 2,485,978 2,200,234
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 2020-05-01 $175.18 $170.00 34.6% 10.1% 39.8% 28.6% 34.9% 7.6% 0.2% 168.1M -6.74B -59.1M 0.54 2.29 N/A N/A 221,424 119,746 1,420,726 1,065,252 2020-05-04 $178.59 $155.00 34.5% 9.8% 39.7% 28.5% 35.1% 7.5% 0.3% 238.6M -8.00B -58.4M 0.46 3.29 N/A N/A 190,032 88,020 1,280,407 983,553 2020-05-05 $180.65 $155.00 31.3% 9.3% 33.3% 24.0% 32.2% 7.4% 0.3% 316.0M -9.06B -57.5M 0.42 3.41 N/A N/A 284,752 119,392 1,302,960 998,971 2020-05-06 $182.45 $160.00 30.9% 9.4% 33.2% 23.4% 32.7% 7.8% 0.5% 346.9M -9.61B -57.7M 0.58 2.02 N/A N/A 180,280 105,267 1,312,528 1,018,562 2020-05-07 $183.24 $160.00 30.0% 8.6% 32.8% 22.2% 31.5% 7.2% 0.5% 388.3M -9.89B -57.0M 0.54 1.97 N/A N/A 175,373 94,426 1,316,868 1,039,218 2020-05-08 $184.43 $160.00 27.0% 8.1% 32.8% 17.9% 28.9% 6.3% 0.9% 571.5M -10.67B -55.5M 0.49 2.74 N/A N/A 176,709 87,462 1,330,728 1,054,852 2020-05-11 $187.25 $160.00 26.7% 8.0% 32.8% 17.5% 28.9% 6.1% 1.2% 363.9M -11.24B -54.6M 0.48 1.86 N/A N/A 190,698 92,128 1,270,690 1,009,313 2020-05-12 $183.57 $160.00 28.8% 8.1% 29.5% 20.4% 29.1% 6.5% -0.5% 276.5M -9.33B -55.3M 0.65 2.28 N/A N/A 147,659 95,761 1,285,384 1,030,127 2020-05-13 $178.42 $160.00 34.4% 9.6% 31.4% 28.4% 34.4% 8.9% -0.8% 133.2M -6.73B -57.0M 0.63 4.20 N/A N/A 223,449 141,001 1,304,056 1,045,487 2020-05-14 $179.39 $160.00 32.9% 9.5% 30.6% 26.3% 33.6% 8.8% 0.3% 157.6M -7.23B -57.4M 0.64 4.09 N/A N/A 203,418 129,803 1,328,410 1,072,280 2020-05-15 $181.36 $160.00 30.6% 9.0% 30.8% 23.0% 31.3% 8.4% 1.3% 241.2M -8.32B -57.6M 0.59 2.12 N/A N/A 182,984 108,260 1,346,560 1,083,424 2020-05-18 $185.71 $160.00 27.3% 7.9% 31.6% 18.4% 27.9% 7.5% 0.5% 264.3M -8.22B -55.2M 0.47 2.01 N/A N/A 168,480 78,715 1,110,069 899,681 2020-05-19 $185.06 $165.00 27.4% 7.9% 27.4% 18.5% 27.1% 7.0% 0.4% 272.9M -8.03B -55.8M 0.23 2.83 N/A N/A 246,691 55,659 1,145,196 921,794 2020-05-20 $185.42 $170.00 27.6% 7.9% 26.2% 18.8% 28.0% 6.8% 0.4% 290.9M -7.51B -56.9M 0.57 1.95 N/A N/A 150,619 85,576 1,132,824 940,672 2020-05-21 $184.04 $170.00 28.0% 8.0% 26.1% 19.4% 28.4% 6.9% 0.3% 249.1M -6.86B -57.6M 0.49 1.82 N/A N/A 143,177 70,878 1,155,387 967,788 2020-05-22 $183.38 $170.00 28.2% 8.0% 26.0% 19.6% 28.6% 6.9% 0.8% 195.4M -6.50B -57.6M 0.53 2.37 N/A N/A 121,987 64,504 1,172,697 973,165 2020-05-26 $181.38 $170.00 27.6% 7.9% 26.5% 18.8% 27.6% 6.6% -0.5% 172.0M -5.69B -55.7M 0.50 2.40 N/A N/A 169,752 84,493 1,114,604 934,761 2020-05-27 $181.56 $170.00 27.4% 7.7% 24.9% 18.5% 27.1% 6.2% 0.3% 164.7M -5.67B -56.5M 0.43 2.70 N/A N/A 286,584 122,956 1,155,425 967,182 2020-05-28 $182.03 $170.00 27.3% 7.8% 21.0% 18.4% 27.5% 6.8% -0.1% 221.6M -6.07B -57.4M 0.52 2.74 N/A N/A 185,903 96,389 1,191,991 992,917 2020-05-29 $184.17 $170.00 25.2% 7.0% 21.2% 15.4% 25.2% 6.3% 0.4% 380.0M -6.93B -57.2M 0.66 2.24 N/A N/A 150,560 99,281 1,199,003 1,001,231
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