MSFT Options History — September 2023 In September 2023, MSFT traded between $310.74 and $338.77. ATM implied volatility averaged 23.4%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.9% (HV 20d: 18.5%). Max pain ranged from $315.00 to $325.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.71.
Notable Days 2023-09-21 : Highest Volume — 501,744 contracts2023-09-25 : Largest IV spike — 12.2% change2023-09-26 : Highest IV Rank — 49.5%2023-09-26 : Largest Expected Move — 7.8%Monthly Statistics Metric Avg Min Max Open Close Price $326.02 $310.74 $338.77 $327.94 $316.10 Max Pain $323.75 $315.00 $325.00 $315.00 $320.00 ATM IV 23.4% 19.2% 30.6% 20.1% 28.6% Expected Move 6.4% 5.4% 7.8% 5.4% 6.8% HV 20d 18.5% 15.9% 21.1% 15.9% 19.2% HV 60d 23.9% 23.3% 24.8% 24.5% 23.3% IV Rank 20.5% 3.6% 49.5% 7.2% 41.5% IV Percentile 23.6% 1.2% 71.0% 5.2% 52.4% Term Structure 1.1% -0.4% 4.9% 0.3% -0.3% VWIV 22.5% 19.6% 26.6% 19.6% 24.4% Skew 25d 3.1% 1.8% 4.5% 1.8% 4.1% Skew 10d 6.0% 3.1% 8.3% 3.1% 8.0% Call IV 25d 22.0% 18.3% 28.6% 19.6% 26.6% Put IV 25d 25.2% 20.8% 33.2% 21.4% 30.7% Bid-Ask Spread % 1.85 1.32 2.55 2.10 1.90 Gamma HHI 0.05 0.03 0.12 0.04 0.04 Net GEX 332.4M -102.6M 825.1M 442.0M 240.6M Net DEX -10.24B -18.85B -1.70B -12.69B -5.47B Net VEX -106.8M -111.9M -103.9M -111.4M -104.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.44 1.05 0.71 0.54 Total Volume 308,229.15 201,949 501,744 333,845 364,718 Total OI 2,860,721.65 2,512,594 3,154,535 3,073,315 2,761,938
Daily Data (20 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 2023-09-01 $327.94 $315.00 20.1% 5.4% 15.9% 7.2% 19.6% 1.8% 0.3% 442.0M -12.69B -111.4M 0.71 2.10 N/A N/A 195,521 138,324 1,620,342 1,452,973 2023-09-05 $334.20 $325.00 20.9% 6.2% 17.2% 10.4% 22.0% 2.1% 0.2% 645.2M -16.36B -110.4M 0.75 1.73 N/A N/A 191,003 142,461 1,558,087 1,404,715 2023-09-06 $332.10 $325.00 21.6% 6.3% 16.9% 13.4% 22.4% 2.3% 0.1% 551.3M -14.96B -111.9M 0.97 2.09 N/A N/A 109,299 105,689 1,591,345 1,445,740 2023-09-07 $330.39 $325.00 21.6% 6.3% 16.8% 13.3% 22.1% 2.9% 0.0% 422.9M -13.49B -111.2M 0.49 1.82 N/A N/A 206,007 100,431 1,604,495 1,464,468 2023-09-08 $333.79 $325.00 20.7% 6.1% 17.0% 9.7% 22.3% 2.7% 0.0% 739.5M -16.07B -109.6M 0.73 2.11 N/A N/A 241,523 175,739 1,627,665 1,482,868 2023-09-11 $337.91 $325.00 20.1% 5.8% 17.2% 7.1% 20.9% 2.7% 0.2% 658.9M -17.97B -106.7M 0.72 1.61 N/A N/A 126,952 90,925 1,566,590 1,444,831 2023-09-12 $332.53 $325.00 20.7% 6.0% 18.4% 9.6% 21.7% 3.0% 0.3% 440.7M -14.26B -107.7M 0.71 1.55 N/A N/A 118,267 83,682 1,588,012 1,465,409 2023-09-13 $335.29 $325.00 20.2% 5.9% 18.3% 7.7% 21.4% 2.8% 0.3% 590.8M -16.19B -107.3M 0.75 1.57 N/A N/A 157,381 118,359 1,598,155 1,482,329 2023-09-14 $338.77 $325.00 19.2% 5.6% 18.5% 3.6% 20.3% 2.5% 0.4% 825.1M -18.85B -105.6M 0.88 1.63 N/A N/A 163,151 144,091 1,627,544 1,497,595 2023-09-15 $330.64 $325.00 20.6% 6.0% 19.9% 9.3% 21.1% 2.7% 0.3% 588.2M -12.74B -106.2M 0.66 1.78 N/A N/A 222,677 146,278 1,635,291 1,519,244 2023-09-18 $327.54 $325.00 21.0% 6.0% 20.3% 10.7% 21.3% 3.1% 4.3% 196.0M -8.40B -104.5M 0.76 1.78 N/A N/A 126,420 95,785 1,283,490 1,229,104 2023-09-19 $328.82 $325.00 21.1% 6.1% 19.7% 11.4% 20.7% 2.9% 4.5% 250.1M -9.15B -106.0M 0.83 1.74 N/A N/A 116,602 97,122 1,310,005 1,261,680 2023-09-20 $322.23 $325.00 22.4% 6.4% 21.1% 16.4% 21.9% 3.1% 4.9% 73.7M -5.83B -104.5M 0.81 2.40 N/A N/A 133,887 108,685 1,335,836 1,279,021 2023-09-21 $321.51 $325.00 24.9% 6.9% 19.9% 26.6% 24.2% 3.5% 4.6% 61.0M -5.77B -107.0M 0.63 2.14 N/A N/A 307,189 194,555 1,374,092 1,291,957 2023-09-22 $317.75 $325.00 25.5% 6.9% 18.7% 28.9% 23.9% 3.7% 4.3% -102.6M -3.81B -105.9M 0.72 2.55 N/A N/A 201,158 144,538 1,405,778 1,321,024 2023-09-25 $316.76 $325.00 28.6% 7.1% 18.4% 41.3% 24.0% 4.1% -0.4% 31.3M -4.21B -104.1M 0.44 1.32 N/A N/A 202,990 89,654 1,327,711 1,280,054 2023-09-26 $310.74 $325.00 30.6% 7.8% 19.5% 49.5% 26.6% 4.5% -0.3% -72.0M -1.70B -103.9M 0.65 1.77 N/A N/A 217,915 142,000 1,349,690 1,296,639 2023-09-27 $312.14 $320.00 30.4% 7.4% 18.7% 48.7% 24.2% 4.4% -0.3% 10.5M -3.00B -104.4M 1.05 1.56 N/A N/A 177,545 185,547 1,398,093 1,308,131 2023-09-28 $313.32 $320.00 29.1% 7.1% 18.8% 43.6% 24.5% 4.1% -0.4% 54.1M -3.80B -104.0M 0.46 1.77 N/A N/A 191,510 89,003 1,406,421 1,316,071 2023-09-29 $316.10 $320.00 28.6% 6.8% 19.2% 41.5% 24.4% 4.1% -0.3% 240.6M -5.47B -104.4M 0.54 1.90 N/A N/A 237,012 127,706 1,435,280 1,326,658
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