MSFT Options History — September 2020 In September 2020, MSFT traded between $200.04 and $232.09. ATM implied volatility averaged 38.0%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 2.0% (HV 20d: 40.1%). Max pain ranged from $210.00 to $210.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.53.
Notable Days 2020-09-04 : Highest Volume — 700,504 contracts2020-09-03 : Largest IV spike — 21.5% change2020-09-04 : Highest IV Rank — 47.8%2020-09-04 : Largest Expected Move — 13.4%Monthly Statistics Metric Avg Min Max Open Close Price $208.95 $200.04 $232.09 $226.67 $209.86 Max Pain $210.00 $210.00 $210.00 $210.00 $210.00 ATM IV 38.0% 33.4% 48.2% 39.7% 33.8% Expected Move 10.4% 8.3% 13.4% 11.2% 8.3% HV 20d 40.1% 23.7% 44.4% 23.7% 43.1% HV 60d 33.5% 29.5% 34.9% 29.5% 34.7% IV Rank 33.5% 26.9% 47.8% 35.8% 27.6% IV Percentile 76.2% 63.5% 91.3% 82.9% 63.5% Term Structure 0.9% -1.4% 3.7% -0.6% 3.2% VWIV 37.0% 29.7% 47.7% 40.8% 29.7% Skew 25d 3.5% 1.5% 5.8% 1.5% 3.8% Skew 10d 7.1% 1.3% 12.5% 5.9% 7.0% Call IV 25d 36.9% 31.8% 47.3% 39.8% 31.9% Put IV 25d 40.4% 35.6% 51.9% 41.2% 35.6% Bid-Ask Spread % 6.18 2.90 16.90 2.90 3.37 Gamma HHI 0.07 0.06 0.09 0.09 0.07 Net GEX 275.9M 36.6M 708.2M 594.7M 365.7M Net DEX -9.19B -22.36B -3.77B -19.12B -9.69B Net VEX -91.0M -99.6M -88.0M -93.0M -88.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.53 0.22 0.77 0.33 0.55 Total Volume 377,097 161,324 700,504 287,343 277,495 Total OI 3,166,455.048 2,914,012 3,431,717 3,084,580 2,982,973
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 2020-09-01 $226.67 $210.00 39.7% 11.2% 23.7% 35.8% 40.8% 1.5% -0.6% 594.7M -19.12B -93.0M 0.33 2.90 N/A N/A 215,775 71,568 1,812,166 1,272,414 2020-09-02 $232.09 $210.00 38.9% 10.5% 24.8% 34.6% 38.2% 1.8% 0.0% 708.2M -22.36B -93.2M 0.22 4.41 N/A N/A 509,966 112,090 1,845,873 1,295,871 2020-09-03 $216.99 $210.00 47.2% 13.2% 35.1% 46.4% 46.2% 5.8% -0.2% 309.6M -12.88B -97.6M 0.41 9.41 N/A N/A 462,453 191,508 1,876,583 1,317,923 2020-09-04 $215.94 $210.00 48.2% 13.4% 34.8% 47.8% 47.7% 4.2% -0.3% 313.4M -12.61B -99.6M 0.52 16.90 N/A N/A 460,828 239,676 1,955,426 1,341,938 2020-09-08 $203.68 $210.00 45.9% 12.7% 39.7% 44.6% 45.0% 3.2% -1.4% 194.9M -6.69B -92.5M 0.45 8.22 N/A N/A 308,155 140,149 1,864,580 1,320,030 2020-09-09 $211.69 $210.00 40.7% 11.6% 41.7% 37.3% 40.5% 3.4% -0.2% 361.0M -10.83B -95.1M 0.42 11.27 N/A N/A 347,299 144,949 1,931,677 1,365,511 2020-09-10 $206.14 $210.00 38.9% 11.0% 42.0% 34.8% 38.4% 3.9% -0.7% 216.4M -7.38B -92.6M 0.49 9.32 N/A N/A 297,283 145,689 1,952,740 1,390,401 2020-09-11 $203.67 $210.00 37.5% 10.6% 42.2% 32.8% 37.0% 3.2% -0.5% 149.0M -5.92B -90.8M 0.64 4.54 N/A N/A 306,660 196,587 1,987,486 1,415,643 2020-09-14 $206.54 $210.00 33.9% 9.7% 42.5% 27.6% 35.8% 3.3% 2.4% 242.9M -7.57B -89.1M 0.52 4.54 N/A N/A 197,576 103,228 1,890,156 1,385,089 2020-09-15 $207.76 $210.00 33.4% 9.6% 42.4% 26.9% 33.5% 3.3% 2.8% 270.5M -8.23B -90.0M 0.49 4.84 N/A N/A 171,644 84,277 1,902,421 1,402,540 2020-09-16 $206.04 $210.00 35.6% 10.2% 42.4% 30.1% 35.7% 3.9% 2.0% 213.9M -7.31B -88.9M 0.77 6.82 N/A N/A 132,210 101,352 1,933,982 1,425,083 2020-09-17 $202.10 $210.00 36.8% 10.4% 42.8% 31.7% 37.0% 3.4% 1.9% 107.8M -5.22B -88.4M 0.70 6.98 N/A N/A 202,176 141,592 1,943,046 1,438,309 2020-09-18 $200.04 $210.00 35.5% 10.0% 41.9% 29.9% 35.1% 4.1% 2.2% 36.6M -3.77B -88.0M 0.71 7.21 N/A N/A 280,214 198,097 1,963,096 1,468,621 2020-09-21 $201.48 $210.00 37.4% 10.2% 42.1% 32.5% 36.8% 3.0% 0.2% 131.0M -5.45B -88.4M 0.68 3.99 N/A N/A 210,845 142,958 1,681,863 1,232,149 2020-09-22 $207.64 $210.00 35.7% 9.6% 43.7% 30.2% 34.1% 3.1% 0.8% 271.2M -8.67B -89.8M 0.48 3.48 N/A N/A 209,574 100,653 1,689,062 1,252,231 2020-09-23 $201.54 $210.00 38.5% 10.2% 44.4% 34.1% 35.7% 4.5% -0.2% 130.6M -5.46B -88.8M 0.53 4.59 N/A N/A 160,087 84,446 1,714,342 1,265,745 2020-09-24 $203.35 $210.00 37.6% 10.0% 43.7% 32.9% 35.2% 3.3% 0.1% 180.7M -6.50B -89.5M 0.51 6.50 N/A N/A 184,374 94,347 1,749,612 1,284,940 2020-09-25 $207.81 $210.00 34.3% 8.8% 42.7% 28.3% 31.6% 3.1% 0.6% 389.2M -9.12B -89.5M 0.66 4.12 N/A N/A 189,513 125,382 1,768,099 1,302,921 2020-09-28 $209.46 $210.00 34.2% 8.7% 42.8% 28.1% 31.4% 4.9% 2.9% 318.7M -9.64B -88.4M 0.52 3.33 N/A N/A 141,336 73,702 1,677,675 1,239,898 2020-09-29 $207.47 $210.00 34.7% 8.7% 42.8% 28.8% 31.4% 3.5% 3.7% 288.8M -8.50B -88.4M 0.59 3.10 N/A N/A 101,377 59,947 1,703,087 1,252,354 2020-09-30 $209.86 $210.00 33.8% 8.3% 43.1% 27.6% 29.7% 3.8% 3.2% 365.7M -9.69B -88.5M 0.55 3.37 N/A N/A 178,682 98,813 1,715,742 1,267,231
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