MSTR Options History — December 2007

In December 2007, MSTR traded between $9.10 and $10.40. ATM implied volatility averaged 47.5%, placing in the 62.8% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 5.0% (HV 20d: 42.5%). Max pain ranged from $9.50 to $10.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2007-12-17: Highest Volume — 35,790 contracts
  • 2007-12-17: Largest IV spike — 7.2% change
  • 2007-12-03: Highest IV Rank — 73.2%
  • 2007-12-03: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.80$9.10$10.40$10.07$9.51
Max Pain$9.60$9.50$10.00$10.00$9.50
ATM IV47.5%45.4%51.3%51.3%47.9%
Expected Move13.6%13.1%14.7%14.7%13.7%
HV 20d42.5%36.3%52.1%52.1%38.5%
HV 60d50.5%48.7%52.4%50.3%50.3%
IV Rank62.8%56.6%73.2%73.2%63.7%
IV Percentile80.4%73.2%88.3%88.3%81.6%
Term Structure3.6%-3.1%12.3%-3.1%11.5%
VWIV47.8%45.6%51.7%51.7%47.9%
Skew 25d4.2%3.1%6.0%5.8%3.5%
Skew 10d8.6%5.5%12.6%11.5%5.9%
Call IV 25d46.3%44.0%49.3%49.3%46.8%
Put IV 25d50.5%48.2%55.2%55.2%50.3%
Bid-Ask Spread %14.068.3619.8114.9814.52
Gamma HHI0.170.080.840.120.11
Net GEX-275.0K-9.8M905.9K610.4K129.7K
Net DEX-28.9M-58.9M8.7M-43.0M-17.6M
Net VEX-502.9K-545.4K-463.5K-524.8K-493.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.372.761.730.59
Total Volume18,0664,83035,79021,55022,620
Total OI339,089.5291,820372,190320,500320,500

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$10.07$10.0051.3%14.7%52.1%73.2%51.7%5.8%-3.1%610.4K-43.0M-524.8K1.7314.98N/AN/A7,88013,670181,600138,900
2007-12-04$10.16$10.0050.1%14.4%52.1%69.9%50.1%5.3%-1.8%705.5K-47.8M-527.8K1.2217.51N/AN/A9,10011,130182,570141,670
2007-12-05$10.32$10.0048.2%13.8%47.4%64.6%49.1%5.6%-1.2%822.6K-54.5M-545.4K0.4318.11N/AN/A3,3701,460185,760147,310
2007-12-06$10.40$10.0046.5%13.3%45.7%59.9%47.9%4.1%-0.3%905.9K-58.9M-538.5K1.1714.28N/AN/A7,4708,750186,480147,730
2007-12-07$10.28$9.5046.0%13.2%41.0%58.4%45.6%6.0%2.6%735.5K-51.7M-542.5K0.9410.85N/AN/A4,5704,280188,050151,510
2007-12-10$10.32$9.5047.0%13.2%40.0%61.3%47.1%5.6%1.9%786.3K-54.6M-528.2K1.5511.34N/AN/A2,6404,100188,770152,910
2007-12-11$10.38$9.5045.4%13.3%38.1%56.6%46.0%3.1%0.5%896.5K-58.2M-521.9K0.5019.81N/AN/A23,55011,870189,360153,040
2007-12-12$10.23$9.5046.3%13.3%37.8%59.3%46.2%3.3%1.7%636.4K-47.4M-525.2K0.6616.66N/AN/A8,6205,690194,480158,450
2007-12-13$10.01$9.5045.9%13.2%38.4%58.2%46.5%3.6%2.3%272.5K-35.1M-517.5K1.4117.73N/AN/A8,29011,670195,750158,570
2007-12-14$9.52$9.5046.5%13.3%41.8%59.9%46.5%3.5%2.9%-500.3K-8.9M-496.3K0.6113.81N/AN/A13,5908,290197,840162,860
2007-12-17$9.10$9.5049.9%14.3%43.6%69.3%50.0%3.2%1.4%-661.2K8.7M-463.5K1.0811.92N/AN/A17,22018,570201,770163,280
2007-12-18$9.57$9.5048.0%13.8%48.1%64.0%48.2%3.9%2.7%-397.5K-15.0M-488.8K1.1014.15N/AN/A9,63010,550202,040162,730
2007-12-19$9.42$9.5048.8%14.0%48.2%66.3%49.2%3.8%1.4%-622.8K-7.5M-478.8K0.6014.81N/AN/A13,2207,950204,090162,920
2007-12-20$9.29$9.5048.4%13.9%46.9%65.0%48.9%3.1%1.7%-870.6K-555.0K-471.6K1.288.36N/AN/A5,7207,350208,180163,360
2007-12-21$9.49$9.5047.5%13.6%41.3%62.5%47.4%3.9%2.5%-9.8M-14.3M-485.2K0.7314.72N/AN/A6,0004,360209,250162,940
2007-12-24$9.51$9.5045.6%13.1%36.4%57.3%45.9%3.5%10.7%318.8K-22.6M-469.4K0.8913.28N/AN/A8,6107,670167,710124,110
2007-12-26$9.58$9.5046.7%13.4%36.3%60.2%47.5%4.1%10.5%326.1K-23.2M-474.5K1.0711.55N/AN/A5,2705,630172,520128,340
2007-12-27$9.25$9.5048.5%13.9%37.9%65.4%48.5%4.4%12.3%142.7K-12.2M-467.1K2.769.21N/AN/A8,13022,410174,920132,280
2007-12-28$9.50$9.5046.5%13.3%39.2%59.9%46.1%4.5%12.3%60.3K-14.2M-496.4K0.3713.63N/AN/A7,5802,840172,550144,690
2007-12-31$9.51$9.5047.9%13.7%38.5%63.7%47.9%3.5%11.5%129.7K-17.6M-493.7K0.5914.52N/AN/A14,2408,380175,930144,570