MSTR Options History — January 2007

In January 2007, MSTR traded between $11.54 and $12.59. ATM implied volatility averaged 39.2%. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 5.2% (HV 20d: 34.0%). Max pain ranged from $11.50 to $12.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.28.

Notable Days

  • 2007-01-29: Highest Volume — 76,880 contracts
  • 2007-01-11: Largest IV spike — 42.7% change
  • 2007-01-22: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.07$11.54$12.59$11.54$12.14
Max Pain$11.93$11.50$12.00$11.50$12.00
ATM IV39.2%30.9%47.2%32.2%30.9%
Expected Move11.9%8.8%13.5%9.2%8.8%
HV 20d34.0%32.6%35.7%33.4%33.8%
Term Structure-5.2%-10.0%8.7%8.7%-0.3%
VWIV42.0%30.6%47.4%32.2%30.6%
Skew 25d3.6%1.8%4.5%3.0%1.8%
Skew 10d6.7%3.6%8.3%5.6%3.6%
Call IV 25d39.9%30.0%45.5%30.8%30.0%
Put IV 25d43.4%31.7%49.2%33.8%31.7%
Bid-Ask Spread %9.756.4417.6310.2917.63
Gamma HHI0.150.110.250.160.15
Net GEX-604.7K-2.9M659.2K-1.0M-546.9K
Net DEX-35.0M-76.6M-14.9M-17.6M-17.5M
Net VEX-296.6K-333.1K-267.8K-301.4K-294.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.524.730.571.39
Total Volume19,7854,67076,8809,8907,710
Total OI281,108190,260347,230297,580240,050

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$11.54$11.5032.2%9.2%0.0%0.0%32.2%3.0%8.7%-1.0M-17.6M-301.4K0.5710.29N/AN/A6,2903,600144,550153,030
2007-01-04$11.73$11.5032.4%9.3%0.0%0.0%31.3%2.9%8.0%-876.1K-28.1M-306.5K0.5210.41N/AN/A3,3501,750147,580154,200
2007-01-05$11.56$11.5033.1%12.7%0.0%0.0%45.0%4.0%-7.8%-1.1M-18.6M-302.0K4.737.77N/AN/A6,34029,990148,960154,490
2007-01-08$11.82$12.0033.3%12.8%0.0%0.0%45.1%4.3%-7.4%-1.2M-28.4M-333.1K0.776.52N/AN/A5,3904,140151,420176,810
2007-01-09$12.02$12.0032.6%12.6%0.0%0.0%44.6%4.2%-7.8%-780.2K-42.5M-322.5K1.617.65N/AN/A4,8407,770153,160175,150
2007-01-10$11.98$12.0031.0%12.6%0.0%0.0%46.7%3.7%-7.6%-868.1K-41.1M-317.0K1.546.64N/AN/A3,3605,180153,780175,290
2007-01-11$12.21$12.0044.3%12.7%0.0%0.0%45.2%3.8%-8.6%-126.7K-60.0M-307.8K0.807.87N/AN/A8,7707,000154,720177,740
2007-01-12$12.22$12.0044.0%12.6%0.0%0.0%44.6%3.4%-7.8%-205.1K-60.3M-304.2K1.537.79N/AN/A5,7008,710156,740180,700
2007-01-16$12.05$12.0045.3%13.0%0.0%0.0%45.4%4.5%-8.5%-1.2M-47.2M-291.2K1.777.64N/AN/A4,0507,150157,750184,650
2007-01-17$12.40$12.0044.5%12.8%0.0%0.0%44.6%4.1%-8.9%659.2K-76.6M-275.4K0.566.44N/AN/A16,9009,420158,160186,060
2007-01-18$11.84$12.0046.6%13.4%0.0%0.0%47.2%4.0%-10.0%-2.9M-26.6M-281.9K2.047.36N/AN/A20,10040,920159,270187,960
2007-01-19$12.19$12.0045.6%13.1%0.0%0.0%47.4%4.3%-9.4%-653.2K-62.5M-293.2K1.596.74N/AN/A11,56018,350155,220189,770
2007-01-22$12.03$12.0047.2%13.5%0.0%0.0%47.0%3.4%-7.5%-608.3K-14.9M-295.1K0.9710.05N/AN/A4,5704,44085,920114,330
2007-01-23$12.03$12.0046.2%13.2%0.0%0.0%46.7%4.2%-7.8%-291.0K-17.4M-284.1K0.679.66N/AN/A2,8001,87088,770101,490
2007-01-24$12.37$12.0044.7%12.8%0.0%0.0%44.9%3.9%-7.0%-10.1K-30.2M-283.5K0.739.33N/AN/A6,2504,58090,780102,590
2007-01-25$12.39$12.0043.6%12.5%33.4%0.0%43.7%3.9%-7.2%9.9K-30.6M-283.1K0.919.76N/AN/A11,64010,62093,610105,220
2007-01-26$12.59$12.0043.2%12.4%32.6%0.0%43.0%2.6%-7.1%273.0K-40.6M-285.6K1.0612.25N/AN/A8,6409,13098,590111,110
2007-01-29$12.13$12.0031.7%9.1%35.7%0.0%31.4%2.5%0.3%-280.0K-20.6M-267.8K1.0117.52N/AN/A38,29038,59099,930113,770
2007-01-30$12.18$12.0032.6%9.4%34.7%0.0%33.2%2.5%-0.2%-467.6K-18.2M-300.8K0.9115.66N/AN/A3,1102,830109,030129,810
2007-01-31$12.14$12.0030.9%8.8%33.8%0.0%30.6%1.8%-0.3%-546.9K-17.5M-294.8K1.3917.63N/AN/A3,2304,480109,500130,550