MSTR Options History — September 2007

In September 2007, MSTR traded between $6.73 and $7.93. ATM implied volatility averaged 42.7%, placing in the 54.6% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 0.3% (HV 20d: 42.3%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.66.

Notable Days

  • 2007-09-27: Highest Volume — 43,410 contracts
  • 2007-09-18: Largest IV drop — 8.9% change
  • 2007-09-17: Highest IV Rank — 70.6%
  • 2007-09-17: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.15$6.73$7.93$7.05$7.93
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV42.7%38.6%47.8%43.9%39.4%
Expected Move12.3%11.1%13.7%12.6%11.3%
HV 20d42.3%33.1%50.2%48.1%38.8%
HV 60d45.7%43.6%49.1%43.6%48.9%
IV Rank54.6%41.9%70.6%58.4%44.6%
IV Percentile77.9%60.3%94.9%84.5%64.5%
Term Structure2.2%-2.0%9.9%-0.3%8.8%
VWIV43.4%39.7%47.3%44.2%40.7%
Skew 25d2.3%0.9%3.8%1.6%0.9%
Skew 10d4.2%-0.2%6.7%2.3%1.7%
Call IV 25d42.3%38.7%46.9%44.0%39.9%
Put IV 25d44.6%40.7%48.3%45.6%40.7%
Bid-Ask Spread %10.528.1812.8310.649.04
Gamma HHI0.190.090.280.230.12
Net GEX574.5K227.5K864.6K716.7K746.4K
Net DEX-8.4M-31.5M5.8M-7.7M-31.5M
Net VEX-248.9K-311.3K-217.9K-233.5K-311.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.261.850.770.27
Total Volume16,318.4213,35043,41017,84015,880
Total OI282,541.579242,780311,470270,470283,230

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$7.05$7.0043.9%12.6%48.1%58.4%44.2%1.6%-0.3%716.7K-7.7M-233.5K0.7710.64N/AN/A10,1007,740193,23077,240
2007-09-05$6.83$7.0044.8%12.8%49.2%61.1%45.5%1.6%-0.5%458.7K872.2K-220.6K1.2012.83N/AN/A2,5203,030192,09079,530
2007-09-06$7.05$7.0042.4%12.2%50.2%53.8%42.8%2.7%0.3%647.4K-6.0M-228.7K0.418.92N/AN/A10,3104,240193,00079,590
2007-09-07$6.96$7.0042.6%12.5%49.7%54.3%45.3%3.8%-0.5%640.9K-4.1M-225.0K0.448.18N/AN/A5,5602,420195,50080,330
2007-09-10$6.94$7.0044.7%12.7%39.7%60.8%45.4%2.7%-0.9%556.9K-2.3M-217.9K0.2611.40N/AN/A5,1901,340193,76081,100
2007-09-11$7.08$7.0043.4%12.6%40.3%56.9%45.3%3.4%-0.4%699.7K-7.2M-223.3K1.8511.09N/AN/A5,80010,710194,20081,490
2007-09-12$7.00$7.0041.6%12.6%40.5%51.4%44.1%2.0%-0.8%612.7K-3.7M-235.1K0.2611.76N/AN/A2,650700195,83087,170
2007-09-13$7.07$7.0044.5%12.7%40.5%60.1%44.3%2.1%-0.9%699.0K-6.5M-235.8K0.2612.83N/AN/A15,5904,100196,47087,110
2007-09-14$6.89$7.0044.9%12.9%40.7%61.6%45.1%2.7%-0.5%513.6K-78.4K-227.5K0.449.86N/AN/A18,3208,090199,84087,140
2007-09-17$6.73$7.0047.8%13.7%41.2%70.6%47.3%1.4%-2.0%331.7K5.8M-235.6K0.389.84N/AN/A11,8104,530209,89092,560
2007-09-18$7.08$7.0043.5%12.5%45.2%57.3%44.5%1.5%0.2%861.3K-9.7M-254.0K0.7211.43N/AN/A13,1209,430213,91093,170
2007-09-19$7.11$7.0041.8%12.0%45.1%51.8%41.9%1.5%1.7%864.6K-10.7M-255.0K0.9010.91N/AN/A7,9907,230214,22096,750
2007-09-20$7.15$7.0042.3%12.1%45.0%53.4%43.2%2.4%1.0%610.1K-11.3M-256.6K1.618.67N/AN/A4,3507,000211,69097,920
2007-09-21$7.23$7.0042.0%12.0%42.9%52.4%41.6%2.4%1.0%278.2K-12.6M-258.4K0.5910.26N/AN/A12,9407,620210,330101,140
2007-09-24$7.18$7.0040.8%11.7%38.7%48.9%40.2%3.0%8.7%227.5K-3.9M-255.6K0.899.09N/AN/A15,94014,140162,55080,230
2007-09-25$7.25$7.0040.3%11.5%36.6%47.2%39.7%2.6%9.9%312.8K-6.6M-274.3K0.3310.59N/AN/A8,0402,660174,37091,940
2007-09-26$7.40$7.0038.6%11.1%33.1%41.9%40.1%2.4%9.6%411.5K-11.4M-280.9K0.4910.34N/AN/A3,7201,830176,24092,850
2007-09-27$7.92$7.0041.6%11.9%38.9%51.2%42.3%2.3%7.1%725.5K-30.5M-300.0K0.4512.13N/AN/A29,87013,540176,72093,960
2007-09-28$7.93$7.0039.4%11.3%38.8%44.6%40.7%0.9%8.8%746.4K-31.5M-311.3K0.279.04N/AN/A12,4803,400183,91099,320