MSTR Options History — June 2007

In June 2007, MSTR traded between $9.37 and $10.40. ATM implied volatility averaged 28.9%. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 4.8% (HV 20d: 24.2%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2007-06-18: Highest Volume — 26,790 contracts
  • 2007-06-11: Largest IV spike — 13.3% change
  • 2007-06-12: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.73$9.37$10.40$10.40$9.45
Max Pain$10.38$10.00$11.00$10.50$10.00
ATM IV28.9%25.2%33.5%29.2%25.2%
Expected Move8.3%7.2%9.3%8.4%7.2%
HV 20d24.2%15.9%48.3%48.3%16.4%
HV 60d33.9%33.4%34.6%34.6%33.8%
Term Structure5.2%1.2%9.3%1.2%8.8%
VWIV28.8%25.4%31.7%30.9%25.6%
Skew 25d2.3%0.4%3.7%0.4%1.9%
Skew 10d4.1%0.5%6.3%0.5%3.8%
Call IV 25d28.2%24.8%31.2%29.7%24.8%
Put IV 25d30.5%26.7%34.3%30.1%26.7%
Bid-Ask Spread %9.146.6311.6510.447.95
Gamma HHI0.190.130.410.160.18
Net GEX-362.9K-944.0K149.3K149.3K-446.5K
Net DEX25.1M8.8M33.5M8.8M27.6M
Net VEX-264.6K-315.0K-241.6K-315.0K-245.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.111.870.571.53
Total Volume12,804.7624,38026,7909,5904,380
Total OI241,417.143203,670265,160241,430241,360

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$10.40$10.5029.2%8.4%48.3%0.0%30.9%0.4%1.2%149.3K8.8M-315.0K0.5710.44N/AN/A6,0903,500137,970103,460
2007-06-04$10.29$11.0030.3%8.6%48.2%0.0%30.0%3.0%2.9%-38.1K13.7M-302.1K1.298.06N/AN/A3,7004,770140,610105,030
2007-06-05$10.20$11.0030.6%9.0%48.2%0.0%30.1%3.7%2.5%-185.3K18.8M-297.1K1.528.64N/AN/A5,3908,200142,110106,140
2007-06-06$10.05$11.0030.6%9.0%24.7%0.0%31.3%2.8%2.1%-287.7K23.4M-285.8K0.708.90N/AN/A10,5307,400144,810104,170
2007-06-07$9.79$11.0031.8%9.1%24.0%0.0%31.7%3.1%2.0%-479.1K33.5M-273.6K1.879.32N/AN/A5,36010,030148,560105,440
2007-06-08$9.85$10.5029.4%9.0%23.2%0.0%31.4%2.9%1.9%-375.3K25.4M-276.0K1.0310.00N/AN/A5,3205,490149,950101,470
2007-06-11$9.89$10.5033.3%9.1%23.1%0.0%30.7%3.0%2.0%-484.3K24.3M-271.0K1.0310.16N/AN/A6,2706,470150,510101,940
2007-06-12$9.71$10.5033.5%9.3%23.6%0.0%31.6%2.9%2.1%-742.7K32.0M-256.8K0.6611.12N/AN/A4,0502,670150,800100,770
2007-06-13$9.62$10.5031.3%9.2%23.5%0.0%31.3%2.4%2.3%-848.2K33.2M-244.8K1.277.43N/AN/A8,11010,330152,46098,160
2007-06-14$9.65$10.5031.2%9.0%22.0%0.0%29.6%3.1%2.8%-944.0K33.2M-250.7K0.116.98N/AN/A17,6401,980154,300101,620
2007-06-15$9.60$10.5029.6%8.5%21.7%0.0%29.0%3.1%3.8%-486.2K29.1M-247.8K0.516.63N/AN/A10,8405,480165,63099,530
2007-06-18$9.61$10.5028.5%8.2%18.7%0.0%28.4%2.1%7.6%3.9K20.7M-250.1K1.327.07N/AN/A11,57015,220123,75079,920
2007-06-19$9.73$10.0028.2%8.1%19.7%0.0%27.9%1.2%7.7%-48.8K18.4M-268.8K0.8411.65N/AN/A7,7806,520131,81089,800
2007-06-20$9.55$10.0027.6%7.9%19.5%0.0%27.6%0.9%7.9%-204.0K24.8M-261.5K0.3711.05N/AN/A4,8601,820136,16091,560
2007-06-21$9.56$10.0027.2%7.8%19.0%0.0%27.6%2.1%8.6%-251.0K25.7M-258.7K1.209.85N/AN/A5,1806,190138,04091,850
2007-06-22$9.55$10.0026.5%7.6%18.1%0.0%27.0%1.9%8.7%-297.1K24.0M-261.6K1.6610.50N/AN/A1,7902,970139,98090,920
2007-06-25$9.55$10.0026.4%7.6%16.4%0.0%26.6%1.7%8.5%-275.9K22.8M-253.1K0.439.80N/AN/A3,6601,570140,91089,880
2007-06-26$9.40$10.0026.6%7.6%16.6%0.0%25.7%1.8%8.4%-434.7K28.4M-243.2K1.657.18N/AN/A10,03016,540142,43090,230
2007-06-27$9.45$10.0025.3%7.2%16.9%0.0%25.4%2.1%9.3%-467.0K28.4M-250.9K0.559.84N/AN/A6,0103,300147,72095,290
2007-06-28$9.37$10.0025.6%7.3%15.9%0.0%25.5%2.0%8.4%-479.2K30.4M-241.6K0.479.27N/AN/A6,7103,180148,24094,470
2007-06-29$9.45$10.0025.2%7.2%16.4%0.0%25.6%1.9%8.8%-446.5K27.6M-245.5K1.537.95N/AN/A1,7302,650147,31094,050