MSTR Options History — August 2007 In August 2007, MSTR traded between $6.45 and $7.61. ATM implied volatility averaged 45.1%, placing in the 66.9% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 11.2% (HV 20d: 56.3%). Max pain ranged from $7.00 to $8.50. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.91.
Notable Days 2007-08-10 : Highest Volume — 110,230 contracts2007-08-09 : Largest IV spike — 19.4% change2007-08-13 : Highest IV Rank — 100.0%2007-08-16 : Largest Expected Move — 14.6%Monthly Statistics Metric Avg Min Max Open Close Price $6.97 $6.45 $7.61 $7.22 $6.92 Max Pain $7.35 $7.00 $8.50 $8.50 $7.00 ATM IV 45.1% 35.2% 57.3% 38.7% 44.8% Expected Move 12.6% 10.1% 14.6% 11.1% 12.8% HV 20d 56.3% 45.7% 66.0% 54.2% 48.7% HV 60d 39.7% 35.7% 43.4% 42.7% 43.4% IV Rank 66.9% 39.9% 100.0% 53.7% 61.1% IV Percentile 88.4% 68.7% 100.0% 75.9% 88.6% Term Structure -0.2% -2.5% 2.0% 0.3% -0.9% VWIV 44.6% 36.4% 51.3% 40.5% 45.2% Skew 25d 2.0% -0.3% 4.3% 0.2% 1.1% Skew 10d 3.2% -3.2% 7.9% 0.0% 2.1% Call IV 25d 43.7% 37.1% 50.2% 40.2% 44.7% Put IV 25d 45.7% 36.8% 52.7% 40.4% 45.8% Bid-Ask Spread % 14.14 9.81 18.37 15.26 16.27 Gamma HHI 0.16 0.09 0.26 0.22 0.19 Net GEX 209.6K -340.6K 640.2K -210.5K 594.4K Net DEX 7.8M -19.7M 38.3M 36.0M -3.8M Net VEX -217.7K -256.4K -156.5K -198.7K -235.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.15 2.43 0.63 0.77 Total Volume 26,226.522 6,490 110,230 23,970 13,930 Total OI 277,878.696 218,460 350,750 268,480 271,050
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-08-01 $7.22 $8.50 38.7% 11.1% 54.2% 53.7% 40.5% 0.2% 0.3% -210.5K 36.0M -198.7K 0.63 15.26 N/A N/A 14,730 9,240 174,020 94,460 2007-08-02 $7.14 $8.50 35.7% 10.2% 52.9% 42.1% 36.4% -0.3% 1.5% -216.7K 35.9M -193.4K 2.33 14.03 N/A N/A 4,900 11,410 177,950 94,540 2007-08-03 $6.93 $8.50 35.2% 10.1% 52.7% 39.9% 37.9% 0.0% 2.0% -245.5K 38.3M -174.6K 0.94 15.07 N/A N/A 7,070 6,620 180,190 92,630 2007-08-06 $6.75 $8.00 41.5% 11.4% 52.3% 65.0% 40.6% 3.6% -0.3% -264.3K 37.6M -166.5K 1.86 11.55 N/A N/A 10,290 19,130 183,950 92,290 2007-08-07 $6.64 $8.00 39.2% 11.5% 51.8% 55.7% 40.3% 3.7% -0.0% -340.6K 35.8M -163.7K 2.43 13.01 N/A N/A 6,950 16,920 187,120 90,840 2007-08-08 $6.59 $8.00 40.1% 11.5% 51.3% 59.2% 40.9% 4.3% 0.6% -271.0K 31.9M -156.5K 1.03 12.90 N/A N/A 21,360 21,930 190,130 83,270 2007-08-09 $6.45 $7.50 47.8% 13.0% 51.1% 89.9% 45.1% 1.7% -1.4% -141.9K 27.4M -164.2K 0.41 16.06 N/A N/A 49,990 20,620 198,790 82,680 2007-08-10 $7.01 $7.00 49.5% 13.3% 63.0% 96.5% 47.2% 1.4% -1.0% 471.7K 1.4M -230.1K 0.48 18.37 N/A N/A 74,410 35,820 230,920 89,440 2007-08-13 $6.99 $7.00 57.3% 13.6% 63.1% 100.0% 48.0% 0.8% -1.2% 525.3K -2.4M -246.9K 0.46 16.70 N/A N/A 32,910 15,230 248,430 97,630 2007-08-14 $6.99 $7.00 54.7% 13.7% 63.3% 91.8% 48.0% 1.5% -0.7% 473.5K -1.9M -247.8K 0.81 18.12 N/A N/A 12,000 9,690 251,190 99,560 2007-08-15 $7.05 $7.00 50.4% 14.0% 63.6% 78.5% 49.2% 2.1% -0.2% 340.0K -3.2M -243.8K 1.25 18.00 N/A N/A 9,760 12,240 245,910 97,730 2007-08-16 $6.90 $7.00 50.9% 14.6% 63.5% 80.1% 51.3% 2.6% -0.9% 224.2K 2.5M -238.1K 1.19 13.87 N/A N/A 5,260 6,260 247,120 98,370 2007-08-17 $7.00 $7.00 49.0% 14.1% 64.0% 74.3% 49.5% 3.6% -0.2% 330.6K -1.7M -236.7K 1.34 9.81 N/A N/A 8,350 11,220 245,280 98,000 2007-08-20 $7.07 $7.00 48.1% 13.8% 64.3% 71.5% 48.6% 2.3% -0.1% 259.9K -4.5M -232.8K 0.96 11.25 N/A N/A 6,380 6,130 154,620 63,840 2007-08-21 $7.00 $7.00 44.7% 12.8% 63.8% 61.0% 45.6% 4.0% 1.5% 213.2K -2.3M -226.6K 0.62 9.83 N/A N/A 5,830 3,620 155,830 65,640 2007-08-22 $6.96 $7.00 43.7% 12.5% 63.8% 57.7% 43.8% 3.4% 1.6% 218.8K -1.5M -222.9K 0.73 13.46 N/A N/A 3,760 2,730 158,860 66,250 2007-08-23 $7.24 $7.00 42.9% 12.3% 66.0% 55.2% 42.3% 1.5% 0.3% 313.9K -8.6M -237.6K 0.25 14.97 N/A N/A 15,100 3,780 160,430 67,840 2007-08-24 $7.61 $7.00 42.1% 12.1% 45.7% 52.8% 41.8% 3.3% -0.2% 561.6K -19.7M -256.4K 0.15 14.03 N/A N/A 20,440 3,080 165,800 68,230 2007-08-27 $7.33 $7.00 43.6% 12.5% 47.4% 57.6% 44.4% 2.1% -0.6% 640.2K -14.1M -248.7K 0.68 13.28 N/A N/A 5,730 3,920 175,390 68,990 2007-08-28 $6.99 $7.00 46.1% 13.2% 49.1% 65.3% 45.9% 0.9% -2.5% 456.4K -4.2M -228.8K 0.69 16.23 N/A N/A 13,430 9,270 176,640 70,440 2007-08-29 $6.83 $7.00 46.4% 13.3% 49.5% 66.3% 46.7% 1.4% -1.6% 414.8K 133.0K -229.2K 0.33 11.42 N/A N/A 13,380 4,460 185,080 75,820 2007-08-30 $6.82 $7.00 45.3% 13.0% 49.4% 62.9% 45.8% 0.3% -0.9% 472.2K 321.4K -228.8K 0.47 11.68 N/A N/A 9,460 4,470 191,390 76,630 2007-08-31 $6.92 $7.00 44.8% 12.8% 48.7% 61.1% 45.2% 1.1% -0.9% 594.4K -3.8M -235.2K 0.77 16.27 N/A N/A 7,860 6,070 193,500 77,550
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