MSFT Options History — June 2020 In June 2020, MSFT traded between $182.14 and $202.58. ATM implied volatility averaged 31.1%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 5.1% (HV 20d: 25.9%). Max pain ranged from $172.50 to $185.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.47.
Notable Days 2020-06-10 : Highest Volume — 812,135 contracts2020-06-11 : Largest IV spike — 27.7% change2020-06-29 : Highest IV Rank — 31.6%2020-06-12 : Largest Expected Move — 10.6%Monthly Statistics Metric Avg Min Max Open Close Price $192.64 $182.14 $202.58 $182.14 $202.58 Max Pain $179.20 $172.50 $185.00 $172.50 $185.00 ATM IV 31.1% 23.9% 36.7% 26.6% 32.9% Expected Move 8.7% 6.9% 10.6% 7.6% 8.0% HV 20d 25.9% 19.6% 29.8% 20.6% 29.8% HV 60d 38.9% 30.5% 48.7% 48.7% 30.6% IV Rank 23.7% 13.6% 31.6% 17.4% 26.3% IV Percentile 73.7% 52.4% 82.9% 67.1% 76.2% Term Structure 1.0% -1.0% 3.2% -0.1% 0.1% VWIV 30.5% 24.3% 35.9% 27.6% 29.1% Skew 25d 5.5% 3.1% 7.8% 6.8% 5.7% Skew 10d 10.3% 5.1% 14.7% 12.9% 10.5% Call IV 25d 28.8% 22.0% 33.5% 24.0% 30.3% Put IV 25d 34.3% 27.3% 40.0% 30.9% 35.9% Bid-Ask Spread % 4.38 1.92 13.63 1.93 3.08 Gamma HHI 0.12 0.09 0.16 0.10 0.11 Net GEX 334.5M 196.8M 483.8M 196.8M 384.4M Net DEX -9.14B -13.67B -5.96B -5.96B -10.73B Net VEX -58.9M -61.8M -55.1M -56.4M -59.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.47 0.25 0.66 0.55 0.54 Total Volume 353,456.591 162,920 812,135 162,920 287,676 Total OI 2,219,308.409 1,941,840 2,446,018 2,100,497 2,068,366
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 2020-06-01 $182.14 $172.50 26.6% 7.6% 20.6% 17.4% 27.6% 6.8% -0.1% 196.8M -5.96B -56.4M 0.55 1.93 N/A N/A 104,879 58,041 1,141,169 959,328 2020-06-02 $183.86 $175.00 25.1% 7.1% 19.8% 15.3% 25.4% 6.0% 0.3% 268.0M -6.76B -57.0M 0.41 1.92 N/A N/A 139,054 57,279 1,173,662 986,306 2020-06-03 $185.38 $175.00 24.4% 6.9% 19.6% 14.2% 24.3% 5.6% 0.2% 322.4M -7.46B -56.1M 0.45 1.95 N/A N/A 124,845 56,057 1,185,585 1,000,705 2020-06-04 $182.68 $175.00 25.9% 7.6% 20.1% 16.3% 27.1% 5.6% -0.3% 218.2M -6.18B -56.3M 0.47 2.46 N/A N/A 147,186 68,823 1,201,752 1,007,892 2020-06-05 $186.58 $175.00 23.9% 7.4% 21.4% 13.6% 25.4% 4.8% -0.3% 429.1M -8.39B -55.1M 0.37 3.13 N/A N/A 290,583 108,799 1,222,111 1,018,409 2020-06-08 $187.94 $175.00 25.7% 7.6% 21.5% 16.1% 27.4% 4.3% 1.0% 356.9M -8.59B -56.1M 0.28 2.39 N/A N/A 273,317 75,276 1,200,876 988,286 2020-06-09 $190.10 $175.00 27.4% 8.3% 21.2% 18.4% 29.1% 4.3% 1.7% 435.4M -9.86B -57.2M 0.25 2.85 N/A N/A 316,362 78,987 1,254,615 1,009,863 2020-06-10 $197.76 $175.00 27.8% 8.1% 23.8% 19.1% 29.7% 3.1% 0.7% 483.8M -13.67B -56.4M 0.33 3.04 N/A N/A 611,667 200,468 1,291,293 1,024,699 2020-06-11 $187.88 $180.00 35.5% 10.2% 28.8% 29.9% 35.3% 6.8% -0.1% 255.3M -7.79B -61.1M 0.56 7.48 N/A N/A 415,653 233,152 1,298,304 1,068,447 2020-06-12 $187.50 $180.00 35.9% 10.6% 28.8% 30.4% 35.9% 7.8% 1.8% 254.0M -7.45B -61.8M 0.55 13.63 N/A N/A 299,904 166,072 1,327,755 1,085,515 2020-06-15 $188.97 $180.00 33.5% 9.7% 28.7% 27.1% 34.3% 6.1% 3.2% 287.4M -8.18B -60.0M 0.47 4.09 N/A N/A 201,912 95,800 1,265,589 1,054,146 2020-06-16 $192.35 $180.00 33.4% 9.6% 28.2% 26.9% 33.0% 5.3% 2.4% 370.6M -9.81B -60.4M 0.40 7.17 N/A N/A 316,089 125,383 1,296,396 1,070,822 2020-06-17 $194.50 $180.00 32.2% 9.2% 28.3% 25.2% 32.3% 5.2% 2.6% 409.6M -10.63B -60.3M 0.45 5.09 N/A N/A 199,691 89,207 1,307,042 1,092,858 2020-06-18 $195.72 $180.00 32.1% 9.1% 28.3% 25.2% 31.7% 4.7% 2.7% 448.1M -11.10B -59.7M 0.50 3.78 N/A N/A 156,665 79,075 1,316,217 1,106,789 2020-06-19 $196.35 $180.00 32.4% 9.1% 28.0% 25.5% 31.6% 5.1% 2.0% 402.5M -11.32B -59.4M 0.48 6.11 N/A N/A 333,030 160,275 1,323,826 1,122,192 2020-06-22 $200.19 $180.00 33.0% 8.8% 28.5% 26.3% 31.1% 4.9% 0.5% 311.7M -10.07B -58.8M 0.47 4.09 N/A N/A 256,635 119,770 1,090,332 851,508 2020-06-23 $202.41 $180.00 32.1% 8.5% 28.0% 25.1% 30.4% 5.5% 1.0% 364.5M -11.03B -59.3M 0.38 3.47 N/A N/A 310,069 118,103 1,129,262 894,662 2020-06-24 $198.34 $185.00 35.8% 9.6% 29.4% 30.3% 33.4% 5.9% 0.7% 281.0M -9.04B -61.6M 0.66 4.58 N/A N/A 218,265 143,512 1,166,552 922,183 2020-06-25 $199.23 $185.00 34.7% 9.1% 29.4% 28.7% 32.3% 5.8% 1.1% 339.0M -9.57B -61.2M 0.52 3.68 N/A N/A 145,517 76,215 1,187,948 933,280 2020-06-26 $197.75 $185.00 36.7% 9.5% 29.6% 31.6% 33.2% 6.5% 0.6% 277.9M -8.80B -61.7M 0.65 6.60 N/A N/A 199,070 128,607 1,199,364 945,403 2020-06-29 $197.94 $185.00 36.7% 9.2% 29.1% 31.6% 32.3% 6.3% -1.0% 261.4M -8.65B -60.6M 0.54 3.76 N/A N/A 123,053 66,022 1,127,981 905,495 2020-06-30 $202.58 $185.00 32.9% 8.0% 29.8% 26.3% 29.1% 5.7% 0.1% 384.4M -10.73B -59.6M 0.54 3.08 N/A N/A 187,118 100,558 1,145,924 922,442
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