MSTR Options History — November 2007 In November 2007, MSTR traded between $9.94 and $10.96. ATM implied volatility averaged 51.0%, placing in the 72.5% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 9.5% (HV 20d: 60.5%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.70.
Notable Days 2007-11-08 : Highest Volume — 123,470 contracts2007-11-12 : Largest IV spike — 14.8% change2007-11-12 : Highest IV Rank — 96.3%2007-11-26 : Largest Expected Move — 15.4%Monthly Statistics Metric Avg Min Max Open Close Price $10.36 $9.94 $10.96 $9.94 $10.09 Max Pain $9.76 $8.00 $10.00 $8.00 $10.00 ATM IV 51.0% 44.3% 59.6% 46.7% 51.0% Expected Move 14.4% 12.7% 15.4% 13.4% 14.6% HV 20d 60.5% 51.5% 68.1% 58.0% 52.2% HV 60d 49.6% 46.6% 51.0% 49.5% 50.4% IV Rank 72.5% 53.8% 96.3% 60.4% 72.3% IV Percentile 89.6% 76.5% 99.1% 87.6% 87.8% Term Structure -1.6% -2.8% 0.3% -0.8% -2.8% VWIV 50.7% 44.3% 55.1% 47.3% 50.7% Skew 25d 3.8% 0.9% 5.1% 0.9% 5.1% Skew 10d 8.1% 2.8% 10.4% 2.8% 9.4% Call IV 25d 48.9% 43.7% 52.9% 47.0% 49.1% Put IV 25d 52.7% 45.0% 57.5% 47.8% 54.2% Bid-Ask Spread % 12.76 7.28 20.54 7.28 16.55 Gamma HHI 0.19 0.10 0.43 0.29 0.11 Net GEX 1.7M 548.7K 3.9M 3.4M 633.5K Net DEX -118.0M -221.6M -43.8M -155.1M -43.8M Net VEX -558.7K -603.0K -522.3K -525.6K -531.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.25 2.22 0.44 0.82 Total Volume 34,117.143 8,520 123,470 40,400 8,520 Total OI 394,026.19 302,620 530,920 427,820 318,970
Daily Data (21 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 2007-11-01 $9.94 $8.00 46.7% 13.4% 58.0% 60.4% 47.3% 0.9% -0.8% 3.4M -155.1M -525.6K 0.44 7.28 N/A N/A 27,980 12,420 283,820 144,000 2007-11-02 $10.05 $8.00 44.3% 12.7% 58.0% 53.8% 44.3% 1.2% 0.3% 3.3M -162.2M -528.9K 0.39 8.51 N/A N/A 14,800 5,800 288,000 147,330 2007-11-05 $9.96 $9.50 47.7% 13.2% 58.4% 63.1% 47.0% 3.0% -0.8% 3.4M -158.4M -522.3K 1.23 13.77 N/A N/A 38,240 47,180 288,960 149,300 2007-11-06 $10.59 $9.50 44.3% 12.9% 60.9% 53.8% 45.3% 2.4% -0.1% 2.6M -200.1M -530.1K 0.74 11.92 N/A N/A 26,510 19,550 288,370 154,160 2007-11-07 $10.96 $10.00 46.7% 13.2% 60.9% 60.5% 47.7% 2.0% -0.7% 2.0M -221.6M -536.4K 0.57 17.71 N/A N/A 25,710 14,770 289,330 161,300 2007-11-08 $10.34 $10.00 53.3% 14.4% 65.6% 78.7% 51.3% 3.2% -1.1% 2.6M -174.6M -565.2K 0.51 20.54 N/A N/A 81,710 41,760 289,970 166,780 2007-11-09 $10.09 $10.00 51.9% 15.0% 66.8% 74.9% 52.9% 4.0% -1.7% 3.9M -201.8M -603.0K 0.94 12.64 N/A N/A 15,990 15,070 351,900 179,020 2007-11-12 $10.45 $10.00 59.6% 15.3% 60.5% 96.3% 53.7% 3.7% -1.5% 1.6M -156.0M -566.9K 0.36 9.31 N/A N/A 72,030 25,650 270,670 177,560 2007-11-13 $10.62 $10.00 56.3% 15.2% 58.4% 87.2% 52.4% 4.3% -2.2% 1.4M -156.1M -570.4K 0.80 13.36 N/A N/A 15,250 12,200 265,490 188,310 2007-11-14 $10.67 $10.00 52.6% 15.0% 58.4% 77.0% 53.8% 5.1% -2.2% 1.4M -131.1M -574.0K 0.75 11.13 N/A N/A 11,090 8,350 240,570 194,860 2007-11-15 $10.60 $10.00 51.5% 14.8% 58.7% 73.8% 52.0% 4.6% -1.4% 1.2M -128.2M -571.5K 0.80 11.63 N/A N/A 6,940 5,550 243,320 197,280 2007-11-16 $10.73 $10.00 50.0% 14.3% 57.5% 69.6% 49.0% 4.3% -0.4% 1.7M -135.2M -565.7K 0.47 12.81 N/A N/A 18,610 8,820 239,800 194,020 2007-11-19 $10.54 $10.00 51.1% 14.7% 58.4% 72.7% 52.5% 4.3% -1.6% 834.1K -64.5M -558.8K 0.92 11.00 N/A N/A 15,710 14,450 171,880 130,740 2007-11-20 $10.43 $10.00 50.3% 14.4% 58.8% 70.5% 50.9% 4.7% -1.8% 798.0K -61.1M -565.6K 0.52 10.44 N/A N/A 8,220 4,300 177,120 135,520 2007-11-21 $10.04 $10.00 52.9% 15.2% 60.8% 77.8% 52.6% 3.8% -2.1% 548.7K -45.7M -556.6K 0.71 14.75 N/A N/A 17,240 12,250 176,290 136,650 2007-11-23 $10.68 $10.00 52.1% 14.9% 63.4% 75.4% 51.6% 4.5% -2.7% 932.9K -71.1M -589.7K 0.25 8.93 N/A N/A 13,750 3,440 183,660 140,680 2007-11-26 $10.08 $10.00 53.8% 15.4% 68.1% 80.3% 55.1% 4.6% -2.7% 605.6K -47.4M -568.3K 2.22 12.58 N/A N/A 5,080 11,260 185,250 140,630 2007-11-27 $10.20 $10.00 53.2% 15.3% 68.1% 78.6% 52.7% 4.5% -2.6% 661.4K -51.1M -571.7K 0.30 13.59 N/A N/A 8,370 2,470 185,980 142,880 2007-11-28 $10.23 $10.00 51.7% 14.8% 67.9% 74.3% 51.7% 4.6% -2.4% 766.6K -54.4M -566.4K 0.39 14.43 N/A N/A 7,280 2,870 187,800 142,070 2007-11-29 $10.34 $10.00 50.7% 14.5% 51.5% 71.6% 50.8% 4.5% -2.5% 842.9K -58.4M -564.7K 0.58 15.02 N/A N/A 5,860 3,410 186,140 138,170 2007-11-30 $10.09 $10.00 51.0% 14.6% 52.2% 72.3% 50.7% 5.1% -2.8% 633.5K -43.8M -531.5K 0.82 16.55 N/A N/A 4,670 3,850 181,190 137,780
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