MSFT Options History — December 2020 In December 2020, MSFT traded between $211.50 and $225.25. ATM implied volatility averaged 26.8%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 7.8% (HV 20d: 19.1%). Max pain ranged from $190.00 to $215.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.50.
Notable Days 2020-12-16 : Highest Volume — 622,514 contracts2020-12-28 : Largest IV spike — 8.5% change2020-12-09 : Highest IV Rank — 18.5%2020-12-09 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $217.85 $211.50 $225.25 $215.81 $221.47 Max Pain $202.61 $190.00 $215.00 $215.00 $210.00 ATM IV 26.8% 24.8% 29.1% 25.8% 28.8% Expected Move 7.5% 6.8% 8.0% 7.7% 6.8% HV 20d 19.1% 14.1% 31.8% 31.8% 17.1% HV 60d 29.0% 27.3% 33.2% 33.2% 27.3% IV Rank 16.5% 13.5% 18.5% 16.2% 14.3% IV Percentile 27.4% 17.9% 38.1% 24.2% 36.5% Term Structure 1.3% -0.0% 4.2% 1.8% 0.4% VWIV 26.8% 24.7% 28.5% 27.0% 24.7% Skew 25d 2.1% 0.9% 3.2% 1.2% 2.8% Skew 10d 4.7% 2.2% 7.2% 2.8% 5.8% Call IV 25d 26.2% 23.8% 28.5% 25.7% 27.9% Put IV 25d 28.3% 25.0% 31.4% 26.9% 30.6% Bid-Ask Spread % 2.47 1.48 4.64 2.20 1.66 Gamma HHI 0.08 0.07 0.13 0.07 0.08 Net GEX 476.4M 251.8M 705.8M 396.0M 496.9M Net DEX -9.94B -14.05B -6.16B -8.89B -11.14B Net VEX -85.4M -90.8M -81.8M -82.8M -84.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.34 0.68 0.45 0.50 Total Volume 298,639.045 156,049 622,514 347,256 247,459 Total OI 3,069,178.091 2,860,996 3,417,205 2,903,833 3,012,360
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 2020-12-01 $215.81 $215.00 25.8% 7.7% 31.8% 16.2% 27.0% 1.2% 1.8% 396.0M -8.89B -82.8M 0.45 2.20 N/A N/A 239,027 108,229 1,620,152 1,283,681 2020-12-02 $214.97 $215.00 26.0% 7.5% 30.0% 16.5% 26.9% 1.2% 1.9% 406.2M -8.48B -83.1M 0.62 2.69 N/A N/A 128,443 79,514 1,661,163 1,301,843 2020-12-03 $214.29 $190.00 25.7% 7.8% 25.6% 16.0% 27.9% 1.5% 2.3% 387.3M -8.10B -82.3M 0.52 4.64 N/A N/A 145,044 76,000 1,678,907 1,316,697 2020-12-04 $213.50 $195.00 24.8% 7.5% 23.8% 14.8% 26.6% 1.1% 2.2% 338.4M -7.50B -81.8M 0.68 2.88 N/A N/A 163,128 110,464 1,707,027 1,330,571 2020-12-07 $213.40 $200.00 26.7% 7.8% 23.5% 17.5% 27.7% 1.3% -0.0% 321.7M -7.44B -82.0M 0.53 3.51 N/A N/A 139,318 73,957 1,676,416 1,332,920 2020-12-08 $216.18 $200.00 26.0% 7.6% 23.7% 16.5% 26.9% 0.9% 0.5% 465.7M -9.25B -82.6M 0.46 2.68 N/A N/A 198,774 91,101 1,717,007 1,359,137 2020-12-09 $211.72 $200.00 27.4% 8.0% 18.0% 18.5% 28.5% 2.0% 0.4% 275.6M -6.28B -82.9M 0.42 3.97 N/A N/A 228,394 97,007 1,753,272 1,367,681 2020-12-10 $211.50 $200.00 27.3% 8.0% 14.4% 18.4% 28.3% 2.1% 0.5% 251.8M -6.16B -82.8M 0.61 2.64 N/A N/A 161,187 97,943 1,775,461 1,392,618 2020-12-11 $212.51 $200.00 27.1% 7.8% 14.3% 18.1% 27.4% 2.3% -0.0% 414.2M -6.79B -83.8M 0.55 2.46 N/A N/A 289,173 158,656 1,790,726 1,411,633 2020-12-14 $214.14 $200.00 26.6% 7.7% 14.1% 17.4% 27.0% 3.2% 0.3% 358.3M -7.56B -82.0M 0.64 1.66 N/A N/A 165,744 105,851 1,737,139 1,411,828 2020-12-15 $213.93 $200.00 27.2% 7.8% 14.1% 18.2% 28.3% 2.8% 1.5% 358.6M -7.36B -84.3M 0.55 2.19 N/A N/A 153,892 83,937 1,766,304 1,436,256 2020-12-16 $219.74 $200.00 27.2% 7.8% 16.8% 18.2% 27.5% 2.9% 0.5% 634.9M -11.58B -87.8M 0.34 3.54 N/A N/A 464,841 157,673 1,801,408 1,460,950 2020-12-17 $218.72 $200.00 26.7% 7.6% 16.2% 17.5% 27.2% 2.0% 0.4% 616.3M -11.00B -89.3M 0.51 2.88 N/A N/A 216,019 110,773 1,876,967 1,480,816 2020-12-18 $217.73 $200.00 26.9% 7.6% 16.3% 17.4% 28.0% 2.4% 0.6% 440.8M -10.25B -90.8M 0.66 2.70 N/A N/A 182,327 120,602 1,910,975 1,506,230 2020-12-21 $222.08 $200.00 26.8% 7.6% 17.3% 17.3% 26.9% 2.6% 3.7% 546.1M -12.58B -88.9M 0.43 2.02 N/A N/A 317,625 135,894 1,588,688 1,272,308 2020-12-22 $223.83 $205.00 26.0% 7.3% 17.2% 16.1% 26.6% 2.5% 3.5% 644.3M -13.71B -89.5M 0.43 1.65 N/A N/A 229,588 99,329 1,631,141 1,303,624 2020-12-23 $222.35 $205.00 25.6% 7.2% 17.1% 15.3% 25.4% 1.8% 3.8% 580.8M -12.51B -89.1M 0.59 1.67 N/A N/A 135,654 80,034 1,651,934 1,318,566 2020-12-24 $222.78 $205.00 25.8% 7.0% 17.0% 13.5% 24.8% 1.8% 4.2% 705.8M -12.73B -89.2M 0.47 1.77 N/A N/A 105,986 50,063 1,674,901 1,335,093 2020-12-28 $225.25 $205.00 28.0% 7.0% 17.3% 15.4% 24.8% 2.1% 0.5% 657.5M -14.05B -87.0M 0.36 1.70 N/A N/A 215,502 78,357 1,619,808 1,294,595 2020-12-29 $224.69 $205.00 28.9% 7.2% 16.8% 14.4% 25.3% 3.0% 0.1% 674.2M -13.60B -86.5M 0.37 1.74 N/A N/A 215,175 80,494 1,653,554 1,303,362 2020-12-30 $222.08 $207.50 29.1% 7.1% 17.1% 14.6% 25.3% 2.4% 0.5% 510.2M -11.72B -85.6M 0.36 1.48 N/A N/A 171,071 60,810 1,680,452 1,315,747 2020-12-31 $221.47 $210.00 28.8% 6.8% 17.1% 14.3% 24.7% 2.8% 0.4% 496.9M -11.14B -84.8M 0.50 1.66 N/A N/A 165,388 82,071 1,685,845 1,326,515
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