MSFT Options History — August 2020 In August 2020, MSFT traded between $204.15 and $228.74. ATM implied volatility averaged 32.3%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 1.2% (HV 20d: 33.6%). Max pain ranged from $190.00 to $205.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.33.
Notable Days 2020-08-27 : Highest Volume — 1,350,686 contracts2020-08-27 : Largest IV spike — 17.4% change2020-08-27 : Highest IV Rank — 36.3%2020-08-27 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $214.32 $204.15 $228.74 $216.74 $226.32 Max Pain $198.45 $190.00 $205.00 $200.00 $205.00 ATM IV 32.3% 27.7% 40.1% 34.6% 37.5% Expected Move 9.2% 7.9% 11.4% 10.2% 10.4% HV 20d 33.6% 25.3% 37.5% 34.5% 25.3% HV 60d 29.0% 28.1% 29.8% 28.6% 29.5% IV Rank 25.4% 18.9% 36.3% 28.6% 32.8% IV Percentile 67.3% 54.0% 83.7% 75.4% 80.6% Term Structure 0.4% -0.9% 1.1% -0.9% 0.1% VWIV 33.2% 28.1% 42.0% 36.4% 37.9% Skew 25d 2.3% -1.0% 3.8% -1.0% 1.7% Skew 10d 4.7% -2.5% 9.2% -2.5% 4.9% Call IV 25d 32.1% 26.9% 41.9% 36.0% 37.7% Put IV 25d 34.5% 30.4% 41.2% 35.0% 39.4% Bid-Ask Spread % 3.74 2.63 6.59 4.48 2.63 Gamma HHI 0.10 0.08 0.12 0.08 0.09 Net GEX 478.9M 235.9M 738.0M 387.2M 566.9M Net DEX -13.49B -21.42B -8.68B -14.34B -18.75B Net VEX -83.2M -94.0M -65.3M -65.3M -93.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.33 0.18 0.44 0.23 0.33 Total Volume 486,465.143 244,797 1,350,686 1,216,773 371,487 Total OI 2,829,155.667 2,327,388 3,138,305 2,327,388 3,003,785
Daily Data (21 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 2020-08-03 $216.74 $200.00 34.6% 10.2% 34.5% 28.6% 36.4% -1.0% -0.9% 387.2M -14.34B -65.3M 0.23 4.48 N/A N/A 992,226 224,547 1,284,995 1,042,393 2020-08-04 $212.22 $205.00 32.8% 9.3% 35.4% 26.1% 33.3% 1.0% -0.1% 391.0M -11.82B -68.5M 0.38 3.67 N/A N/A 446,393 171,744 1,391,071 1,080,701 2020-08-05 $212.30 $205.00 32.8% 9.0% 35.1% 26.1% 32.4% 2.1% -0.0% 431.5M -11.65B -72.0M 0.20 6.59 N/A N/A 400,675 81,796 1,459,653 1,130,417 2020-08-06 $215.61 $190.00 32.0% 9.3% 35.4% 25.0% 33.2% 1.3% 0.4% 666.2M -14.92B -78.7M 0.24 4.08 N/A N/A 349,055 82,871 1,639,308 1,148,346 2020-08-07 $212.56 $190.00 33.2% 9.6% 35.8% 26.7% 34.7% 1.8% -0.1% 526.8M -12.70B -79.1M 0.40 4.61 N/A N/A 301,286 121,135 1,642,627 1,159,266 2020-08-10 $207.35 $190.00 34.2% 10.0% 36.2% 28.1% 34.9% 3.4% 0.6% 280.9M -9.80B -79.4M 0.38 3.19 N/A N/A 322,053 121,630 1,568,380 1,117,371 2020-08-11 $204.15 $195.00 33.7% 9.8% 36.4% 27.4% 35.3% 3.0% 0.6% 235.9M -8.68B -83.1M 0.40 3.52 N/A N/A 217,084 86,049 1,671,371 1,153,294 2020-08-12 $209.11 $195.00 31.2% 9.1% 37.5% 23.9% 32.4% 2.6% 0.4% 403.6M -11.42B -82.8M 0.38 3.28 N/A N/A 259,121 99,137 1,699,450 1,176,117 2020-08-13 $208.72 $195.00 31.6% 9.1% 37.0% 24.4% 32.8% 3.4% 0.5% 380.0M -11.02B -83.2M 0.38 5.34 N/A N/A 209,682 80,337 1,714,319 1,193,639 2020-08-14 $208.25 $195.00 31.1% 9.0% 36.9% 23.7% 32.6% 3.4% 0.4% 287.5M -10.58B -82.1M 0.40 4.38 N/A N/A 200,454 79,621 1,724,745 1,212,327 2020-08-17 $210.25 $195.00 29.0% 8.4% 33.6% 20.7% 29.3% 3.6% 1.0% 399.6M -11.91B -81.6M 0.44 3.49 N/A N/A 169,589 75,208 1,660,902 1,166,976 2020-08-18 $211.83 $195.00 28.1% 8.1% 33.4% 19.5% 29.7% 3.3% 0.5% 497.8M -12.78B -83.5M 0.26 3.22 N/A N/A 310,240 81,079 1,709,872 1,196,152 2020-08-19 $210.12 $200.00 28.0% 8.0% 33.3% 19.3% 28.1% 3.8% 0.7% 420.7M -10.54B -84.7M 0.42 2.78 N/A N/A 242,498 100,768 1,661,523 1,217,836 2020-08-20 $214.85 $200.00 27.7% 7.9% 30.8% 18.9% 28.2% 3.6% 1.0% 689.3M -13.81B -87.2M 0.41 3.49 N/A N/A 264,097 108,366 1,720,051 1,257,038 2020-08-21 $213.15 $200.00 28.5% 8.1% 30.7% 20.1% 29.2% 3.4% 1.1% 533.9M -12.69B -88.2M 0.39 3.00 N/A N/A 296,319 115,342 1,741,604 1,281,432 2020-08-24 $213.28 $200.00 29.7% 8.3% 30.5% 21.8% 29.9% 3.4% 0.9% 426.3M -12.15B -88.0M 0.32 2.63 N/A N/A 230,337 74,652 1,587,377 1,165,115 2020-08-25 $216.32 $200.00 29.7% 8.3% 30.6% 21.7% 30.2% 2.5% 0.7% 549.2M -14.06B -89.0M 0.30 2.93 N/A N/A 272,305 81,073 1,632,406 1,190,930 2020-08-26 $220.80 $202.50 34.1% 9.5% 31.2% 28.0% 33.8% 3.1% 0.2% 636.1M -17.02B -91.1M 0.29 5.14 N/A N/A 522,448 150,162 1,690,108 1,223,505 2020-08-27 $228.11 $205.00 40.1% 11.4% 32.7% 36.3% 42.0% -0.7% -0.4% 607.3M -21.15B -91.3M 0.18 3.01 N/A N/A 1,146,746 203,940 1,713,405 1,244,157 2020-08-28 $228.74 $205.00 39.1% 11.0% 32.6% 35.0% 40.1% 0.7% 0.8% 738.0M -21.42B -94.0M 0.28 3.10 N/A N/A 431,297 120,919 1,851,800 1,286,505 2020-08-31 $226.32 $205.00 37.5% 10.4% 25.3% 32.8% 37.9% 1.7% 0.1% 566.9M -18.75B -93.3M 0.33 2.63 N/A N/A 278,554 92,933 1,765,825 1,237,960
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