MSTR Options History — May 2008

In May 2008, MSTR traded between $7.34 and $9.03. ATM implied volatility averaged 39.5%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 40.0% (HV 20d: 79.5%). Max pain ranged from $7.50 to $8.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2008-05-02: Highest Volume — 131,090 contracts
  • 2008-05-02: Largest IV drop — 31.7% change
  • 2008-05-01: Highest IV Rank — 68.7%
  • 2008-05-01: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.88$7.34$9.03$9.03$7.96
Max Pain$7.98$7.50$8.00$7.50$8.00
ATM IV39.5%33.9%65.4%65.4%36.2%
Expected Move11.5%10.4%18.7%18.7%10.4%
HV 20d79.5%40.0%86.0%40.0%78.9%
HV 60d55.0%35.9%56.6%35.9%55.3%
IV Rank24.5%14.8%68.7%68.7%18.8%
IV Percentile24.2%12.7%93.7%93.7%12.7%
Term Structure-0.7%-16.6%1.8%-16.6%1.3%
VWIV40.3%36.4%65.9%65.9%36.4%
Skew 25d2.0%0.7%4.4%4.4%1.1%
Skew 10d4.3%1.6%7.5%6.2%2.6%
Call IV 25d39.5%35.8%63.9%63.9%35.8%
Put IV 25d41.5%36.8%68.2%68.2%36.8%
Bid-Ask Spread %21.1716.7932.1420.3019.23
Gamma HHI0.170.090.210.090.18
Net GEX86.4K-583.5K611.9K397.2K421.6K
Net DEX-7.8M-37.7M22.5M-37.7M-12.2M
Net VEX-390.2K-427.9K-306.1K-417.2K-369.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.284.810.970.62
Total Volume15,247.6191,760131,0906,3603,750
Total OI343,705.238285,330383,520285,330329,060

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$9.03$7.5065.4%18.7%40.0%68.7%65.9%4.4%-16.6%397.2K-37.7M-417.2K0.9720.30N/AN/A3,2303,130154,720130,610
2008-05-02$7.34$8.0044.6%12.8%85.0%33.2%45.3%4.1%1.8%-583.5K22.5M-324.3K1.1032.14N/AN/A62,54068,550155,260132,460
2008-05-05$7.59$8.0042.3%12.1%85.7%29.2%41.3%3.1%-1.1%-405.2K7.9M-412.8K0.7416.79N/AN/A19,45014,460200,820168,760
2008-05-06$7.80$8.0038.7%11.4%86.0%23.0%40.8%3.0%-0.5%-30.2K-5.0M-426.8K0.5517.11N/AN/A8,4004,640209,250167,880
2008-05-07$7.78$8.0038.9%11.5%84.5%23.4%40.1%3.0%-1.0%-57.1K-4.8M-427.0K0.4920.97N/AN/A7,2703,590211,800168,050
2008-05-08$7.83$8.0037.3%11.4%84.2%20.6%41.3%3.2%-0.0%-40.3K-6.9M-427.9K0.8221.41N/AN/A1,9401,590211,560169,660
2008-05-09$7.72$8.0036.9%11.7%83.0%20.0%39.7%1.8%-0.7%-243.7K-697.5K-415.6K1.1719.10N/AN/A6,9108,050211,470169,100
2008-05-12$7.83$8.0040.2%11.4%83.0%25.7%40.7%1.8%-1.0%-105.6K-8.5M-306.1K1.6421.12N/AN/A3,1805,230169,640143,100
2008-05-13$7.69$8.0041.7%11.6%82.9%28.3%39.4%2.2%-1.1%-267.7K-539.9K-399.3K4.8119.25N/AN/A1,4406,930213,040168,240
2008-05-14$7.65$8.0033.9%11.2%81.2%14.8%38.8%1.5%-0.3%-356.0K742.2K-391.0K1.1218.25N/AN/A7,5308,460213,890167,490
2008-05-15$7.82$8.0037.5%10.8%81.7%21.0%38.1%1.6%-0.5%107.0K-10.1M-400.9K0.2821.53N/AN/A4,2001,160215,810166,910
2008-05-16$7.83$8.0036.8%10.5%80.1%19.7%37.0%1.1%0.8%223.2K-9.9M-390.7K1.3919.58N/AN/A5,1407,140216,030167,490
2008-05-19$7.75$8.0036.8%10.5%79.4%19.7%37.0%1.1%1.2%155.2K-4.3M-380.1K0.9521.11N/AN/A2,4202,290180,720135,650
2008-05-20$7.90$8.0036.9%10.6%79.8%20.0%37.3%0.7%0.8%313.6K-11.0M-389.9K0.9121.30N/AN/A5,1104,660181,310136,240
2008-05-21$7.84$8.0037.5%10.7%78.8%20.9%37.5%0.8%0.5%262.9K-8.4M-389.8K1.6223.23N/AN/A4,0706,580183,740138,430
2008-05-22$7.99$8.0037.5%10.7%79.3%21.0%38.5%0.9%0.6%359.1K-14.1M-395.7K2.5921.61N/AN/A3,2608,440184,040139,230
2008-05-23$7.92$8.0037.2%10.7%79.2%20.4%37.6%1.3%1.0%262.2K-11.3M-390.6K0.4319.36N/AN/A1,230530183,090143,420
2008-05-27$8.05$8.0038.4%11.0%78.9%22.6%38.5%1.4%-0.1%383.3K-15.8M-382.5K0.7323.22N/AN/A2,3801,730183,500141,450
2008-05-28$7.99$8.0037.8%10.8%78.9%21.5%37.9%1.5%0.5%406.2K-13.9M-378.6K0.4923.37N/AN/A3,5701,760184,820141,740
2008-05-29$8.10$8.0038.0%10.9%79.2%21.9%37.5%1.8%0.1%611.9K-19.5M-376.7K0.3724.51N/AN/A3,1001,160186,530141,800
2008-05-30$7.96$8.0036.2%10.4%78.9%18.8%36.4%1.1%1.3%421.6K-12.2M-369.9K0.6219.23N/AN/A2,3101,440187,470141,590