MSTR Options History — February 2007

In February 2007, MSTR traded between $12.11 and $13.24. ATM implied volatility averaged 28.8%. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 1.1% (HV 20d: 29.9%). Max pain ranged from $12.00 to $12.50. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.37.

Notable Days

  • 2007-02-20: Highest Volume — 27,290 contracts
  • 2007-02-27: Largest IV spike — 16.0% change
  • 2007-02-27: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.56$12.11$13.24$12.24$12.61
Max Pain$12.13$12.00$12.50$12.00$12.50
ATM IV28.8%25.1%32.8%30.2%32.7%
Expected Move8.3%7.2%9.4%8.7%9.4%
HV 20d29.9%23.9%33.9%32.9%30.5%
Term Structure0.9%-2.0%2.2%-0.1%-0.5%
VWIV29.1%26.2%32.9%29.6%32.9%
Skew 25d2.7%2.0%3.3%3.3%2.9%
Skew 10d5.2%3.6%6.4%6.4%5.2%
Call IV 25d27.6%24.5%31.6%28.2%31.0%
Put IV 25d30.3%27.1%34.5%31.4%33.9%
Bid-Ask Spread %15.588.1837.4516.9314.36
Gamma HHI0.150.130.200.140.20
Net GEX199.1K-539.7K1.2M-340.6K-539.7K
Net DEX-37.2M-62.8M-20.1M-21.4M-26.7M
Net VEX-292.9K-328.7K-264.9K-282.4K-328.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.312.890.641.20
Total Volume14,261.5794,04027,29023,56015,230
Total OI257,697.368210,460286,460235,770254,780

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$12.24$12.0030.2%8.7%32.9%0.0%29.6%3.3%-0.1%-340.6K-21.4M-282.4K0.6416.93N/AN/A14,3609,200107,720128,050
2007-02-02$12.31$12.0027.3%8.2%32.5%0.0%29.0%2.3%0.7%190.4K-32.9M-292.5K1.979.55N/AN/A5,67011,180118,280132,550
2007-02-05$12.11$12.0030.5%8.6%32.6%0.0%30.5%2.7%0.9%-375.9K-20.1M-295.4K1.848.61N/AN/A7,71014,170120,400138,980
2007-02-06$12.54$12.0028.8%8.3%33.9%0.0%29.0%2.7%0.9%455.4K-41.0M-305.2K0.318.18N/AN/A6,5702,040122,380146,310
2007-02-07$12.54$12.0028.1%8.4%33.5%0.0%29.5%2.4%0.6%558.9K-42.1M-300.4K2.099.62N/AN/A3,3807,060123,570147,190
2007-02-08$12.60$12.0028.6%8.2%33.5%0.0%28.4%2.4%1.3%579.7K-44.0M-295.2K2.4523.29N/AN/A3,8709,470124,130149,190
2007-02-09$12.48$12.0028.4%8.1%33.1%0.0%28.9%2.3%1.1%394.2K-37.1M-301.3K2.8911.94N/AN/A1,8605,370125,340151,250
2007-02-12$12.32$12.0029.3%8.4%33.5%0.0%30.2%2.9%0.9%-102.5K-28.0M-287.4K0.4715.12N/AN/A7,2203,420125,490151,440
2007-02-13$12.39$12.0029.1%8.3%33.1%0.0%28.9%3.1%0.7%261.5K-32.8M-286.3K0.5714.73N/AN/A2,5701,470128,770152,890
2007-02-14$12.60$12.0030.2%8.7%32.2%0.0%30.1%3.0%1.0%1.1M-46.2M-284.8K0.8817.73N/AN/A10,4009,200129,340152,220
2007-02-15$12.64$12.0028.9%8.3%27.0%0.0%28.6%3.3%1.4%1.2M-48.3M-283.0K1.0514.91N/AN/A3,2003,350131,460155,000
2007-02-16$12.64$12.0028.0%8.0%25.3%0.0%27.3%2.6%1.8%256.8K-50.7M-264.9K0.9717.88N/AN/A7,9307,680129,320152,810
2007-02-20$12.76$12.0027.0%7.7%24.8%0.0%27.5%2.7%1.7%206.1K-40.5M-268.2K2.3017.27N/AN/A8,28019,01099,940110,520
2007-02-21$12.58$12.5027.2%7.8%25.4%0.0%28.1%2.5%1.3%-309.6K-29.6M-296.7K2.0211.52N/AN/A2,1004,250105,350124,600
2007-02-22$12.74$12.0026.5%7.6%23.9%0.0%26.7%2.7%1.8%-28.1K-38.0M-289.3K1.2716.80N/AN/A5,0406,380106,320125,510
2007-02-23$12.79$12.5025.1%7.2%23.9%0.0%26.2%2.7%2.2%56.1K-41.1M-296.6K1.0110.10N/AN/A2,5502,580108,780129,390
2007-02-26$13.24$12.5028.3%8.1%26.1%0.0%28.1%2.0%0.7%736.7K-62.8M-284.0K0.7119.95N/AN/A13,1309,260108,650130,740
2007-02-27$12.51$12.5032.8%9.4%30.4%0.0%32.9%2.9%-2.0%-507.4K-24.1M-322.1K1.4337.45N/AN/A10,23014,580112,230135,360
2007-02-28$12.61$12.5032.7%9.4%30.5%0.0%32.9%2.9%-0.5%-539.7K-26.7M-328.7K1.2014.36N/AN/A6,9108,320113,990140,790