MSFT Options History — September 2021

In September 2021, MSFT traded between $282.91 and $305.24. ATM implied volatility averaged 20.8%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.1% (HV 20d: 15.7%). Max pain ranged from $275.00 to $290.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.54.

Notable Days

2021-09-15: Highest Volume — 466,000 contracts
2021-09-20: Largest IV spike — 33.4% change
2021-09-30: Highest IV Rank — 50.9%
2021-09-30: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$297.05	$282.91	$305.24	$302.69	$282.91
Max Pain	$284.05	$275.00	$290.00	$275.00	$290.00
ATM IV	20.8%	16.0%	28.4%	16.0%	28.4%
Expected Move	5.8%	4.2%	7.8%	4.2%	7.8%
HV 20d	15.7%	13.7%	20.0%	14.1%	20.0%
HV 60d	14.7%	13.5%	16.8%	13.5%	16.7%
IV Rank	20.1%	0.8%	50.9%	0.8%	50.9%
IV Percentile	28.2%	0.8%	78.2%	0.8%	78.2%
Term Structure	0.9%	-0.2%	3.5%	0.6%	-0.2%
VWIV	21.1%	15.4%	27.2%	15.4%	27.2%
Skew 25d	5.4%	3.2%	8.7%	3.3%	8.1%
Skew 10d	12.7%	7.8%	22.0%	7.8%	17.3%
Call IV 25d	19.3%	15.3%	26.1%	15.8%	26.1%
Put IV 25d	24.7%	18.8%	34.2%	19.1%	34.2%
Bid-Ask Spread %	2.61	1.88	4.26	2.15	2.74
Gamma HHI	0.11	0.05	0.22	0.12	0.05
Net GEX	511.7M	66.0M	865.8M	721.2M	84.7M
Net DEX	-13.75B	-20.59B	-5.00B	-18.30B	-5.00B
Net VEX	-103.9M	-108.3M	-99.7M	-99.7M	-107.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.36	0.75	0.55	0.53
Total Volume	273,648.429	171,924	466,000	200,685	277,201
Total OI	2,635,799.952	2,328,636	2,903,760	2,667,675	2,647,634

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
2021-09-01	$302.69	$275.00	16.0%	4.2%	14.1%	0.8%	15.4%	3.3%	0.6%	721.2M	-18.30B	-99.7M	0.55	2.15	N/A	N/A	129,064	71,621	1,346,002	1,321,673
2021-09-02	$300.90	$280.00	17.0%	5.1%	14.3%	3.7%	19.9%	3.4%	0.5%	641.1M	-17.23B	-101.1M	0.47	2.84	N/A	N/A	131,642	61,563	1,363,800	1,335,486
2021-09-03	$301.05	$280.00	16.6%	5.0%	14.3%	2.4%	20.1%	3.5%	0.6%	603.0M	-17.29B	-100.2M	0.75	2.52	N/A	N/A	114,371	85,699	1,374,668	1,349,585
2021-09-07	$299.98	$280.00	18.1%	5.4%	14.4%	7.3%	19.5%	3.2%	0.6%	592.3M	-16.41B	-99.9M	0.51	4.26	N/A	N/A	144,652	74,400	1,321,520	1,317,388
2021-09-08	$299.11	$280.00	18.3%	5.4%	14.0%	8.2%	19.7%	4.0%	0.4%	561.5M	-15.80B	-99.8M	0.49	2.60	N/A	N/A	115,142	56,782	1,337,142	1,334,354
2021-09-09	$297.76	$280.00	18.5%	5.4%	14.2%	10.9%	19.6%	3.8%	0.5%	533.7M	-14.65B	-102.7M	0.36	2.38	N/A	N/A	220,254	78,456	1,375,281	1,365,173
2021-09-10	$296.43	$280.00	20.1%	5.8%	14.1%	17.3%	20.4%	4.6%	0.2%	438.7M	-13.88B	-103.5M	0.62	3.40	N/A	N/A	212,595	131,472	1,396,793	1,380,707
2021-09-13	$296.37	$280.00	19.6%	5.6%	13.7%	15.2%	19.9%	5.0%	0.9%	547.1M	-14.00B	-100.9M	0.42	2.85	N/A	N/A	187,370	78,254	1,364,515	1,353,938
2021-09-14	$299.93	$280.00	19.1%	5.5%	14.2%	13.5%	19.8%	5.1%	0.6%	657.8M	-16.47B	-100.9M	0.57	2.35	N/A	N/A	192,776	110,796	1,373,087	1,387,667
2021-09-15	$305.24	$280.00	18.0%	5.2%	15.2%	9.1%	18.8%	4.3%	0.6%	811.1M	-20.57B	-102.3M	0.36	2.05	N/A	N/A	342,883	123,117	1,411,247	1,405,918
2021-09-16	$305.04	$285.00	18.1%	5.1%	15.1%	9.4%	19.6%	4.3%	0.6%	865.8M	-20.59B	-103.0M	0.46	2.95	N/A	N/A	173,858	79,968	1,428,297	1,427,982
2021-09-17	$300.24	$285.00	20.1%	5.7%	15.5%	17.4%	20.6%	5.3%	0.6%	713.5M	-16.72B	-107.2M	0.50	2.97	N/A	N/A	236,169	118,161	1,457,982	1,445,778
2021-09-20	$292.26	$285.00	26.9%	7.5%	15.0%	44.5%	25.8%	8.7%	1.6%	228.7M	-9.36B	-107.9M	0.70	2.39	N/A	N/A	197,709	138,294	1,187,805	1,140,831
2021-09-21	$295.63	$285.00	23.8%	6.7%	15.8%	32.1%	24.5%	8.6%	2.4%	309.7M	-10.70B	-108.0M	0.69	2.26	N/A	N/A	124,276	85,298	1,223,248	1,168,185
2021-09-22	$299.07	$290.00	21.3%	5.9%	16.3%	22.0%	22.4%	6.8%	2.9%	503.1M	-12.90B	-107.5M	0.54	3.00	N/A	N/A	155,827	83,524	1,262,953	1,200,049
2021-09-23	$299.82	$290.00	20.0%	5.3%	16.4%	16.8%	19.3%	5.8%	3.1%	613.7M	-13.25B	-108.3M	0.65	1.97	N/A	N/A	134,581	87,132	1,286,323	1,226,226
2021-09-24	$299.61	$290.00	19.5%	5.0%	16.0%	14.8%	18.0%	5.2%	3.5%	826.8M	-13.44B	-106.0M	0.55	1.88	N/A	N/A	152,971	83,414	1,303,648	1,243,722
2021-09-27	$294.68	$290.00	22.5%	5.5%	17.1%	27.0%	19.4%	5.7%	0.1%	328.9M	-10.61B	-104.7M	0.44	2.08	N/A	N/A	196,638	86,668	1,244,935	1,193,678
2021-09-28	$284.88	$290.00	27.7%	7.5%	20.0%	48.1%	26.8%	7.6%	-0.1%	96.8M	-5.99B	-104.8M	0.55	2.62	N/A	N/A	264,968	145,437	1,266,546	1,214,259
2021-09-29	$284.52	$290.00	28.2%	7.5%	20.0%	50.0%	26.8%	7.3%	-0.1%	66.0M	-5.56B	-106.6M	0.59	2.45	N/A	N/A	164,943	96,671	1,318,554	1,247,220
2021-09-30	$282.91	$290.00	28.4%	7.8%	20.0%	50.9%	27.2%	8.1%	-0.2%	84.7M	-5.00B	-107.1M	0.53	2.74	N/A	N/A	181,589	95,612	1,366,753	1,280,881