MSTR Options History — May 2007

In May 2007, MSTR traded between $10.03 and $11.67. ATM implied volatility averaged 33.5%. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 10.5% (HV 20d: 44.0%). Max pain ranged from $10.50 to $12.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.10.

Notable Days

  • 2007-05-08: Highest Volume — 191,250 contracts
  • 2007-05-08: Largest IV drop — 19.2% change
  • 2007-05-01: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.59$10.03$11.67$11.53$10.38
Max Pain$10.98$10.50$12.50$12.50$10.50
ATM IV33.5%28.8%45.3%41.8%30.7%
Expected Move9.4%8.2%12.0%12.0%8.8%
HV 20d44.0%30.5%52.1%30.6%48.4%
HV 60d34.1%26.9%37.1%28.1%34.8%
Term Structure-0.7%-6.6%1.4%-6.6%0.4%
VWIV32.5%28.8%41.2%41.2%31.8%
Skew 25d3.2%1.8%4.7%3.2%1.9%
Skew 10d5.5%3.3%7.8%5.8%3.7%
Call IV 25d31.3%28.0%39.9%39.9%30.9%
Put IV 25d34.5%30.9%43.1%43.1%32.8%
Bid-Ask Spread %10.995.6915.489.8012.59
Gamma HHI0.190.130.320.190.16
Net GEX-261.8K-1.5M683.3K-751.7K104.8K
Net DEX24.5M6.2M68.8M26.3M9.3M
Net VEX-274.7K-316.5K-187.1K-266.3K-316.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.403.270.750.40
Total Volume27,875.4557,340191,25019,8609,520
Total OI235,470188,640290,350188,640237,330

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$11.53$12.5041.8%12.0%30.6%0.0%41.2%3.2%-6.6%-751.7K26.3M-266.3K0.759.80N/AN/A11,3608,50088,560100,080
2007-05-02$11.55$12.0040.8%11.7%30.5%0.0%40.8%3.8%-6.1%-540.3K22.4M-268.1K1.2511.67N/AN/A5,4306,78094,91099,810
2007-05-03$11.61$12.0040.9%11.7%30.7%0.0%41.0%3.3%-5.9%-593.0K21.5M-269.2K0.917.81N/AN/A3,8503,49095,270102,760
2007-05-04$11.67$12.0042.3%10.0%30.6%0.0%34.3%3.8%-2.3%-497.4K17.9M-274.5K0.646.07N/AN/A9,7106,19096,900103,970
2007-05-07$11.56$12.0045.3%10.2%30.6%0.0%34.8%3.7%-2.7%-679.8K22.9M-272.5K0.885.69N/AN/A7,2006,350100,900105,780
2007-05-08$10.28$12.0036.6%9.9%50.7%0.0%34.0%4.2%-1.5%-1.5M68.8M-187.1K1.219.63N/AN/A86,590104,660102,400107,480
2007-05-09$10.54$11.0032.9%9.6%52.1%0.0%33.7%3.6%-0.3%-415.9K23.0M-289.8K1.3611.39N/AN/A27,48037,350150,480111,420
2007-05-10$10.31$11.0032.9%9.4%47.3%0.0%32.1%4.0%-0.4%-408.9K34.6M-292.0K0.559.71N/AN/A12,2306,670158,240117,730
2007-05-11$10.37$10.5031.9%9.2%47.5%0.0%31.9%3.9%-0.0%-473.7K32.7M-291.0K0.989.46N/AN/A4,8004,710158,840118,660
2007-05-14$10.26$10.5031.5%9.0%45.9%0.0%30.8%3.8%-0.1%-327.7K33.2M-221.1K1.1213.13N/AN/A8,2109,170153,140107,200
2007-05-15$10.30$10.5030.0%8.6%45.8%0.0%28.8%4.7%0.6%-123.8K32.7M-266.2K3.2713.54N/AN/A9,51031,110161,820115,790
2007-05-16$10.03$10.5030.5%8.7%45.8%0.0%30.2%3.3%1.0%-712.2K42.4M-248.0K0.908.28N/AN/A16,03014,500167,000112,510
2007-05-17$10.11$10.5029.9%8.6%46.0%0.0%29.4%2.9%1.1%-525.4K35.3M-259.6K0.7715.02N/AN/A8,1106,260172,710116,220
2007-05-18$10.38$10.5029.5%8.5%47.6%0.0%29.8%2.6%0.7%683.3K19.6M-280.3K0.519.22N/AN/A17,8109,060174,810115,540
2007-05-21$10.35$10.5029.5%8.4%47.6%0.0%29.7%2.7%0.8%194.0K12.3M-277.7K0.7614.66N/AN/A6,1604,710117,25085,760
2007-05-22$10.48$10.5030.0%8.6%48.0%0.0%30.2%1.8%0.8%369.4K6.2M-291.3K0.908.92N/AN/A12,54011,280120,38088,010
2007-05-23$10.31$10.5029.6%8.5%48.2%0.0%30.0%2.3%0.7%192.5K12.9M-298.0K3.1715.48N/AN/A2,0706,560125,18092,290
2007-05-24$10.11$10.5030.8%8.8%47.9%0.0%30.4%2.3%1.0%1.4K21.6M-281.6K0.7613.17N/AN/A6,1604,680125,79093,770
2007-05-25$10.30$10.5029.2%8.4%48.7%0.0%29.3%2.5%1.3%164.1K14.0M-295.7K0.708.31N/AN/A4,7603,340127,59095,050
2007-05-29$10.35$10.5028.8%8.2%48.6%0.0%29.6%2.6%1.4%105.9K13.1M-290.5K1.6513.17N/AN/A13,11021,680128,26096,170
2007-05-30$10.27$10.5031.1%8.9%48.1%0.0%31.8%3.3%0.3%-53.6K15.4M-307.1K0.7414.99N/AN/A13,5809,990134,170102,410
2007-05-31$10.38$10.5030.7%8.8%48.4%0.0%31.8%1.9%0.4%104.8K9.3M-316.5K0.4012.59N/AN/A6,7802,740135,130102,200