MSTR Options History — July 2007

In July 2007, MSTR traded between $7.31 and $9.74. ATM implied volatility averaged 36.9%, placing in the 56.2% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 15.7% (HV 20d: 21.2%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2007-07-27: Highest Volume — 150,460 contracts
  • 2007-07-12: Largest IV spike — 26.5% change
  • 2007-07-26: Highest IV Rank — 100.0%
  • 2007-07-26: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.11$7.31$9.74$9.46$7.31
Max Pain$9.67$9.00$10.00$10.00$9.00
ATM IV36.9%26.6%50.4%26.7%38.1%
Expected Move11.0%7.6%14.4%7.6%10.9%
HV 20d21.2%11.6%54.4%16.4%54.4%
HV 60d33.1%30.3%42.7%33.8%42.7%
IV Rank56.2%9.3%100.0%9.3%51.6%
IV Percentile70.5%15.1%100.0%15.1%72.9%
Term Structure-3.0%-10.4%8.6%8.3%0.3%
VWIV38.6%27.4%51.8%27.5%39.5%
Skew 25d1.6%-1.6%3.2%1.9%-0.1%
Skew 10d2.6%-6.6%6.5%2.3%-1.1%
Call IV 25d38.0%26.3%52.4%26.5%39.8%
Put IV 25d39.7%27.7%51.6%28.4%39.8%
Bid-Ask Spread %13.497.6618.287.6610.24
Gamma HHI0.200.120.380.180.26
Net GEX-377.9K-1.2M31.7K-401.7K-203.6K
Net DEX27.7M15.5M57.3M26.7M42.9M
Net VEX-240.5K-264.4K-148.8K-246.3K-198.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.212.731.362.73
Total Volume27,307.1433,620150,4608,57057,620
Total OI251,232.381175,120285,600243,640271,980

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$9.46$10.0026.7%7.6%16.4%0.0%27.5%1.9%8.3%-401.7K26.7M-246.3K1.367.66N/AN/A3,6304,940148,15095,490
2007-07-03$9.46$10.0026.6%7.6%16.4%0.0%27.5%1.4%8.5%-491.9K28.6M-246.1K1.5310.20N/AN/A1,5602,380149,77098,600
2007-07-05$9.63$10.0027.1%7.8%17.5%9.3%27.4%1.7%8.6%-314.6K21.5M-253.4K0.247.93N/AN/A8,2602,000150,51097,400
2007-07-06$9.66$9.5027.3%10.1%15.2%10.2%34.8%2.5%-3.0%-94.3K17.6M-263.4K0.5715.31N/AN/A4,4702,570155,40098,370
2007-07-09$9.69$9.5028.5%10.5%15.1%15.4%36.4%2.7%-3.5%-49.7K17.4M-258.6K0.6211.52N/AN/A5,2003,220157,18099,350
2007-07-10$9.70$9.5029.4%10.5%15.0%19.5%35.9%2.3%-3.7%-20.8K16.1M-264.4K0.2113.26N/AN/A3,630780159,790101,040
2007-07-11$9.74$9.5029.5%10.7%13.7%20.2%37.1%2.4%-4.0%31.7K15.5M-262.4K1.0111.74N/AN/A4,2104,240162,320101,040
2007-07-12$9.65$10.0037.4%10.7%13.6%55.6%36.6%2.8%-4.2%-192.7K19.8M-261.4K0.7012.82N/AN/A4,4603,130165,380104,420
2007-07-13$9.60$9.5037.9%10.9%13.7%58.0%37.7%2.7%-4.5%-386.5K23.0M-255.5K0.5212.83N/AN/A3,9102,020167,350104,840
2007-07-16$9.54$9.5039.1%11.2%13.8%63.3%38.8%2.8%-5.5%-685.0K27.0M-245.0K0.5111.63N/AN/A4,3702,220168,450104,900
2007-07-17$9.45$9.5038.4%11.0%14.1%60.1%37.7%2.7%-4.6%-995.9K29.8M-238.5K0.6215.75N/AN/A13,7808,520169,100103,030
2007-07-18$9.48$10.0038.3%11.0%13.2%59.6%38.0%3.2%-4.9%-1.0M28.5M-247.2K0.3815.62N/AN/A2,6201,000174,520106,620
2007-07-19$9.45$10.0041.9%12.0%11.6%76.3%41.9%2.2%-7.0%-1.2M27.6M-246.8K1.1713.37N/AN/A18,80021,970174,970103,840
2007-07-20$9.14$10.0043.0%12.3%16.3%80.8%42.6%1.8%-7.0%-540.0K34.4M-241.0K0.9217.94N/AN/A10,93010,050179,680105,920
2007-07-23$9.15$10.0043.8%12.6%16.3%84.8%43.4%2.1%-6.9%-197.0K19.2M-242.6K0.6414.92N/AN/A13,1408,36099,50075,620
2007-07-24$8.83$10.0044.1%12.6%20.0%86.0%44.7%0.9%-7.2%-307.1K26.6M-231.8K0.8518.28N/AN/A17,10014,470106,07078,990
2007-07-25$8.79$9.5046.6%13.4%19.5%97.3%47.8%0.5%-8.2%-225.5K27.7M-249.5K0.5013.83N/AN/A22,11010,980116,98086,350
2007-07-26$8.56$9.5050.4%14.4%21.0%100.0%51.8%-0.7%-10.4%-292.6K31.6M-238.1K0.7916.49N/AN/A35,56028,180118,41088,420
2007-07-27$7.41$9.5041.2%11.8%53.8%63.7%42.6%-1.6%-3.5%-251.6K57.3M-148.8K1.0715.80N/AN/A72,80077,660141,240102,460
2007-07-30$7.53$9.0039.5%11.3%54.3%57.0%40.3%0.5%-0.8%-125.8K43.7M-211.0K0.7616.08N/AN/A32,19024,410176,850105,580
2007-07-31$7.31$9.0038.1%10.9%54.4%51.6%39.5%-0.1%0.3%-203.6K42.9M-198.9K2.7310.24N/AN/A15,44042,180169,530102,450