MSTR Options History — March 2007

In March 2007, MSTR traded between $12.23 and $12.90. ATM implied volatility averaged 29.5%. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 0.6% (HV 20d: 30.2%). Max pain ranged from $12.00 to $12.50. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2007-03-19: Highest Volume — 26,070 contracts
  • 2007-03-12: Largest IV spike — 19.6% change
  • 2007-03-05: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.56$12.23$12.90$12.53$12.64
Max Pain$12.05$12.00$12.50$12.50$12.00
ATM IV29.5%26.6%34.0%31.8%26.8%
Expected Move8.5%7.7%9.5%9.1%7.7%
HV 20d30.2%22.5%33.5%30.6%22.5%
HV 60d30.2%28.7%31.4%31.0%28.7%
Term Structure4.3%0.9%8.6%0.9%8.6%
VWIV30.4%27.5%34.7%32.2%27.5%
Skew 25d3.5%2.2%4.7%2.5%2.2%
Skew 10d6.7%4.4%8.0%4.5%4.4%
Call IV 25d28.3%25.8%30.9%30.8%25.8%
Put IV 25d31.8%28.0%34.4%33.3%28.0%
Bid-Ask Spread %10.987.9416.3316.3310.57
Gamma HHI0.220.160.320.200.20
Net GEX-749.3K-1.8M227.7K-764.0K-578.7K
Net DEX-24.0M-44.2M-4.5M-21.3M-30.3M
Net VEX-306.3K-340.1K-276.6K-340.1K-276.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.252.460.720.97
Total Volume10,111.8182,93026,07010,8704,880
Total OI262,402.273226,050276,380260,840260,090

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$12.53$12.5031.8%9.1%30.6%0.0%32.2%2.5%0.9%-764.0K-21.3M-340.1K0.7216.33N/AN/A6,3104,560116,280144,560
2007-03-02$12.34$12.5030.4%8.7%31.0%0.0%30.1%2.4%1.1%-1.1M-12.0M-333.9K0.5316.20N/AN/A8,7004,580117,000144,560
2007-03-05$12.23$12.0034.0%9.5%31.1%0.0%32.9%3.5%1.1%-1.2M-6.9M-335.2K1.2411.23N/AN/A3,0703,820120,910146,080
2007-03-06$12.52$12.0030.6%9.0%31.6%0.0%32.0%3.8%2.2%-628.7K-24.6M-333.0K1.1311.44N/AN/A3,6204,100121,760147,290
2007-03-07$12.28$12.0030.4%8.9%29.9%0.0%31.1%3.1%2.0%-1.2M-10.5M-325.6K0.9110.90N/AN/A4,4504,060123,690146,930
2007-03-08$12.46$12.0029.3%8.7%30.4%0.0%31.7%3.6%2.5%-848.5K-20.1M-323.9K1.5611.10N/AN/A5,6508,810124,360148,280
2007-03-09$12.39$12.0026.6%8.7%30.4%0.0%34.7%4.7%2.7%-1.1M-16.2M-320.4K0.958.59N/AN/A10,1609,660123,780148,540
2007-03-12$12.66$12.0031.8%8.8%31.3%0.0%30.2%4.0%2.5%-157.5K-32.8M-302.3K0.917.94N/AN/A4,7404,320123,040147,170
2007-03-13$12.31$12.0031.7%9.0%32.6%0.0%31.7%3.5%1.5%-1.5M-8.6M-301.9K2.4610.79N/AN/A1,9704,850122,160148,170
2007-03-14$12.40$12.0031.4%9.1%32.6%0.0%33.3%3.9%2.3%-1.3M-13.4M-298.2K1.5513.35N/AN/A7,98012,400122,450148,180
2007-03-15$12.40$12.0030.9%8.9%32.0%0.0%32.9%3.8%2.6%-1.8M-12.4M-297.7K1.469.65N/AN/A2,4303,550121,860153,660
2007-03-16$12.26$12.0030.6%8.8%32.2%0.0%31.7%3.8%3.0%-1.7M-4.5M-292.5K0.6210.84N/AN/A4,6202,850121,330155,050
2007-03-19$12.40$12.0030.9%8.9%32.5%0.0%30.0%4.2%4.7%-1.5M-11.0M-284.8K0.298.36N/AN/A20,2705,80092,030134,020
2007-03-20$12.64$12.0028.9%8.3%33.1%0.0%28.0%4.1%5.6%-784.9K-25.3M-299.0K0.3411.58N/AN/A7,7502,630109,030137,170
2007-03-21$12.90$12.0027.1%7.8%33.5%0.0%28.8%3.7%7.2%15.9K-41.7M-293.7K1.6311.05N/AN/A3,6906,020112,450136,660
2007-03-22$12.90$12.0027.2%7.8%33.3%0.0%28.5%3.8%7.5%45.5K-41.0M-298.1K0.8611.05N/AN/A10,2908,810113,720136,530
2007-03-23$12.88$12.0027.1%7.8%33.2%0.0%27.6%3.5%7.1%141.1K-43.7M-304.5K0.2811.50N/AN/A5,6501,580118,300139,050
2007-03-26$12.89$12.0027.6%7.9%30.7%0.0%27.6%3.3%7.2%227.7K-44.2M-301.5K0.2511.19N/AN/A2,340590121,380139,570
2007-03-27$12.83$12.0027.8%8.0%22.9%0.0%28.8%3.3%7.8%-76.7K-38.3M-297.7K0.868.57N/AN/A2,3902,050120,720139,840
2007-03-28$12.70$12.0028.8%8.3%23.1%0.0%29.2%3.3%6.8%-428.4K-32.3M-292.1K1.3910.29N/AN/A1,4602,030121,590140,380
2007-03-29$12.74$12.0027.8%8.0%22.9%0.0%28.0%2.5%7.9%-276.8K-36.7M-286.6K0.719.13N/AN/A1,7401,230121,830141,400
2007-03-30$12.64$12.0026.8%7.7%22.5%0.0%27.5%2.2%8.6%-578.7K-30.3M-276.6K0.9710.57N/AN/A2,4802,400120,940139,150