MSTR Options History — January 2008

In January 2008, MSTR traded between $7.00 and $9.01. ATM implied volatility averaged 68.7%, placing in the 89.9% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded above realized volatility by 23.2% (HV 20d: 45.5%). Max pain ranged from $8.00 to $9.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2008-01-17: Highest Volume — 66,660 contracts
  • 2008-01-10: Largest IV spike — 20.0% change
  • 2008-01-10: Highest IV Rank — 100.0%
  • 2008-01-22: Largest Expected Move — 24.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.59$7.00$9.01$9.01$7.29
Max Pain$8.86$8.00$9.50$9.50$8.00
ATM IV68.7%51.4%83.7%52.5%68.4%
Expected Move20.3%14.8%24.0%15.0%19.6%
HV 20d45.5%42.4%51.0%42.6%42.8%
HV 60d51.5%45.6%53.9%51.6%45.8%
IV Rank89.9%73.6%100.0%76.5%73.9%
IV Percentile97.3%88.9%100.0%91.6%94.4%
Term Structure-12.8%-19.8%12.1%11.0%-12.9%
VWIV70.4%52.5%83.7%54.3%70.2%
Skew 25d6.3%1.8%8.9%1.8%6.9%
Skew 10d10.2%1.4%15.4%5.1%10.4%
Call IV 25d68.6%51.6%80.0%52.7%67.3%
Put IV 25d74.9%53.6%88.7%54.5%74.2%
Bid-Ask Spread %12.765.7817.1310.1716.06
Gamma HHI0.130.100.180.110.16
Net GEX-277.7K-514.8K-25.0K-126.2K-45.5K
Net DEX30.3M-40.4K49.1M-40.4K27.4M
Net VEX-381.4K-467.4K-345.5K-467.4K-363.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.341.981.130.56
Total Volume20,270.4765,99066,66028,94013,260
Total OI363,647.143311,560430,450327,000374,790

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$9.01$9.5052.5%15.0%42.6%76.5%54.3%1.8%11.0%-126.2K-40.4K-467.4K1.1310.17N/AN/A13,57015,370179,340147,660
2008-01-03$8.87$9.5051.4%14.8%42.4%73.6%52.5%2.0%12.1%-235.7K5.5M-458.5K1.5212.09N/AN/A5,6908,670183,980154,520
2008-01-04$8.40$9.5052.0%19.0%44.6%75.3%66.5%4.2%-13.1%-393.8K15.4M-446.0K0.346.32N/AN/A10,2003,430196,490159,800
2008-01-07$8.47$9.5056.6%19.4%44.6%87.9%67.8%4.5%-13.8%-400.3K15.8M-434.1K0.545.78N/AN/A7,0303,800191,460156,390
2008-01-08$8.11$9.5057.8%19.6%46.2%91.4%66.9%4.0%-14.9%-514.8K27.2M-406.6K1.988.94N/AN/A10,18020,200194,070157,500
2008-01-09$7.93$9.5058.5%19.8%45.9%93.2%68.0%3.6%-14.5%-471.6K32.8M-405.7K0.817.93N/AN/A15,25012,380201,040165,430
2008-01-10$7.61$9.5070.2%20.1%46.4%100.0%70.3%6.3%-14.8%-426.4K40.6M-379.3K0.5210.62N/AN/A14,7007,630206,790165,750
2008-01-11$7.28$9.5069.8%20.0%47.5%99.2%70.5%7.3%-14.7%-428.7K47.6M-349.3K1.1614.92N/AN/A6,2307,220211,650166,490
2008-01-14$7.55$9.5070.6%20.2%51.0%100.0%71.3%6.8%-14.8%-441.2K39.3M-365.9K1.3110.72N/AN/A6,2708,200214,200165,430
2008-01-15$7.39$9.5071.0%20.4%49.4%100.0%70.3%7.4%-15.6%-447.1K43.5M-349.2K0.6115.03N/AN/A6,6004,020216,150166,510
2008-01-16$7.39$9.5070.4%20.2%47.9%98.7%70.2%7.0%-15.7%-430.4K40.3M-348.0K0.6315.30N/AN/A8,1505,100218,400162,190
2008-01-17$7.00$8.5078.2%22.4%44.5%100.0%78.0%7.5%-19.7%-471.1K49.1M-345.5K1.3516.46N/AN/A28,41038,250237,970179,880
2008-01-18$7.11$8.5077.2%22.1%45.8%98.1%74.2%8.9%-19.8%-296.5K42.1M-359.2K0.6315.15N/AN/A10,3906,590246,960183,490
2008-01-22$7.03$8.5083.7%24.0%45.8%100.0%83.7%8.7%-18.7%-130.7K30.8M-348.1K1.0613.41N/AN/A14,65015,460169,930141,630
2008-01-23$7.01$8.0081.1%23.2%44.0%95.5%79.5%8.3%-17.0%-152.2K31.8M-358.2K1.1113.96N/AN/A4,7905,330183,010155,080
2008-01-24$7.20$8.0079.7%22.8%46.2%93.1%78.1%7.5%-16.4%-81.6K26.9M-377.0K0.4113.27N/AN/A14,3105,870186,070156,510
2008-01-25$7.14$8.0077.4%22.2%45.5%89.3%79.0%7.5%-15.0%-83.9K29.6M-372.4K0.7512.28N/AN/A3,4302,560194,750159,440
2008-01-28$7.18$8.0074.8%21.4%45.4%84.8%69.9%8.6%-14.8%-97.3K30.8M-357.8K1.7917.11N/AN/A10,45018,700195,620159,290
2008-01-29$7.27$8.0071.8%20.6%44.1%79.6%69.5%6.6%-13.9%-25.0K27.7M-366.1K1.4115.21N/AN/A4,8206,810200,920163,400
2008-01-30$7.14$8.0070.3%20.2%43.8%77.2%67.3%6.1%-11.3%-130.9K32.2M-351.1K1.0017.13N/AN/A10,84010,870201,870164,740
2008-01-31$7.29$8.0068.4%19.6%42.8%73.9%70.2%6.9%-12.9%-45.5K27.4M-363.3K0.5616.06N/AN/A8,4804,780206,290168,500