MSFT Options History — July 2020 In July 2020, MSFT traded between $201.27 and $214.02. ATM implied volatility averaged 34.5%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 9.0% (HV 20d: 25.5%). Max pain ranged from $185.00 to $205.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.44.
Notable Days 2020-07-23 : Highest Volume — 950,714 contracts2020-07-13 : Largest IV spike — 10.4% change2020-07-14 : Highest IV Rank — 38.1%2020-07-15 : Largest Expected Move — 11.5%Monthly Statistics Metric Avg Min Max Open Close Price $207.23 $201.27 $214.02 $206.22 $203.60 Max Pain $201.25 $185.00 $205.00 $185.00 $202.50 ATM IV 34.5% 28.1% 41.3% 32.6% 29.5% Expected Move 9.6% 7.3% 11.5% 7.7% 8.4% HV 20d 25.5% 17.1% 30.2% 30.2% 26.8% HV 60d 26.5% 24.8% 28.0% 28.0% 25.7% IV Rank 28.5% 19.5% 38.1% 25.8% 21.5% IV Percentile 75.6% 61.9% 85.3% 75.4% 64.3% Term Structure -0.5% -1.4% 0.6% -0.3% 0.6% VWIV 33.6% 26.4% 39.9% 27.5% 29.8% Skew 25d 3.3% 1.8% 5.9% 5.9% 2.4% Skew 10d 5.4% 2.4% 10.5% 10.5% 3.7% Call IV 25d 33.0% 27.5% 39.2% 29.3% 28.9% Put IV 25d 36.3% 30.1% 43.0% 35.3% 31.3% Bid-Ask Spread % 3.41 2.14 5.65 3.71 5.06 Gamma HHI 0.09 0.06 0.20 0.11 0.07 Net GEX 295.3M 53.1M 557.5M 419.3M 243.2M Net DEX -10.65B -14.44B -6.74B -12.30B -8.16B Net VEX -61.7M -64.8M -56.2M -57.6M -63.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.44 0.30 0.62 0.49 0.33 Total Volume 415,038.182 192,175 950,714 352,638 598,192 Total OI 2,293,000.545 2,080,979 2,540,882 2,107,196 2,419,392
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 2020-07-01 $206.22 $185.00 32.6% 7.7% 30.2% 25.8% 27.5% 5.9% -0.3% 419.3M -12.30B -57.6M 0.49 3.71 N/A N/A 237,200 115,438 1,163,962 943,234 2020-07-02 $207.23 $185.00 30.7% 7.3% 29.2% 23.2% 26.4% 5.1% -0.6% 557.5M -12.67B -57.1M 0.53 2.76 N/A N/A 230,420 121,800 1,183,337 961,945 2020-07-06 $210.79 $200.00 32.4% 8.9% 29.0% 25.5% 31.1% 4.4% -0.9% 384.5M -13.23B -56.2M 0.37 2.14 N/A N/A 304,110 113,321 1,145,925 935,054 2020-07-07 $209.64 $200.00 34.2% 9.5% 29.3% 28.1% 33.0% 4.4% -0.5% 371.3M -12.57B -58.2M 0.41 3.31 N/A N/A 320,316 131,933 1,181,047 965,726 2020-07-08 $212.47 $200.00 34.1% 9.6% 29.3% 28.0% 33.3% 4.5% -0.7% 433.3M -13.66B -59.3M 0.36 4.09 N/A N/A 257,885 93,456 1,229,708 994,144 2020-07-09 $214.02 $200.00 37.4% 10.3% 26.5% 32.6% 35.6% 4.3% -1.3% 453.9M -14.44B -59.3M 0.33 3.21 N/A N/A 338,569 111,068 1,242,203 1,007,974 2020-07-10 $213.11 $200.00 36.5% 10.1% 17.1% 31.4% 35.3% 3.4% -1.4% 427.7M -14.11B -59.9M 0.37 4.33 N/A N/A 242,163 90,113 1,283,243 1,022,464 2020-07-13 $208.88 $200.00 40.3% 11.2% 19.3% 36.7% 38.6% 2.9% -0.8% 317.2M -11.69B -61.1M 0.34 2.95 N/A N/A 370,745 126,553 1,238,938 979,771 2020-07-14 $207.05 $205.00 41.3% 11.5% 19.9% 38.1% 39.9% 3.9% -0.8% 274.4M -10.78B -62.2M 0.46 3.03 N/A N/A 245,464 111,995 1,286,651 1,012,863 2020-07-15 $207.49 $200.00 40.9% 11.5% 19.3% 37.6% 39.6% 3.5% -0.7% 285.6M -11.07B -63.3M 0.44 2.87 N/A N/A 244,903 108,412 1,309,982 1,026,216 2020-07-16 $204.32 $200.00 40.3% 11.3% 20.2% 36.7% 39.3% 2.8% -1.1% 191.4M -9.52B -63.7M 0.50 3.36 N/A N/A 234,185 116,272 1,342,297 1,053,353 2020-07-17 $202.93 $205.00 37.2% 10.5% 20.4% 32.4% 36.5% 1.9% -1.2% 122.5M -9.24B -63.1M 0.43 4.53 N/A N/A 259,704 112,575 1,380,853 1,075,410 2020-07-20 $211.93 $205.00 36.6% 10.4% 25.2% 31.5% 36.4% 2.8% -1.2% 316.4M -11.66B -62.7M 0.30 3.79 N/A N/A 315,309 93,572 1,208,476 920,673 2020-07-21 $209.28 $205.00 37.7% 10.8% 25.2% 33.0% 37.1% 3.1% -1.0% 292.0M -10.69B -63.1M 0.31 3.09 N/A N/A 292,877 90,929 1,237,907 946,645 2020-07-22 $211.53 $205.00 34.7% 10.0% 25.1% 28.8% 34.7% 3.2% -0.1% 363.3M -11.76B -62.8M 0.55 3.38 N/A N/A 385,850 211,282 1,294,787 975,628 2020-07-23 $203.29 $205.00 33.7% 9.7% 28.2% 27.4% 34.0% 1.8% -0.4% 99.0M -7.63B -63.9M 0.52 2.37 N/A N/A 626,903 323,811 1,385,589 1,068,737 2020-07-24 $201.27 $205.00 31.8% 9.1% 28.4% 24.7% 32.3% 2.2% 0.1% 53.1M -6.74B -64.8M 0.62 5.65 N/A N/A 326,442 201,606 1,438,014 1,102,868 2020-07-27 $203.72 $205.00 30.5% 8.7% 28.6% 22.8% 30.6% 2.7% -0.2% 221.7M -8.26B -64.5M 0.43 2.50 N/A N/A 230,473 99,361 1,303,848 1,008,047 2020-07-28 $202.68 $205.00 29.6% 8.4% 28.7% 21.6% 30.0% 2.8% 0.3% 209.2M -7.74B -63.8M 0.47 2.41 N/A N/A 150,347 70,457 1,334,307 1,034,319 2020-07-29 $204.22 $205.00 28.1% 7.9% 27.6% 19.5% 28.6% 2.7% 0.4% 251.1M -8.41B -63.6M 0.52 2.63 N/A N/A 126,423 65,752 1,338,724 1,056,163 2020-07-30 $203.49 $205.00 29.0% 8.3% 26.8% 20.8% 28.9% 2.8% 0.3% 210.0M -7.96B -63.6M 0.57 3.88 N/A N/A 180,487 102,167 1,343,133 1,062,455 2020-07-31 $203.60 $202.50 29.5% 8.4% 26.8% 21.5% 29.8% 2.4% 0.6% 243.2M -8.16B -63.5M 0.33 5.06 N/A N/A 450,910 147,282 1,347,760 1,071,632
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