MSTR Options History — September 2008 In September 2008, MSTR traded between $5.60 and $6.50. ATM implied volatility averaged 45.5%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 13.0% (HV 20d: 32.6%). Max pain ranged from $6.50 to $7.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.14.
Notable Days 2008-09-30 : Highest Volume — 13,210 contracts2008-09-17 : Largest IV spike — 12.5% change2008-09-29 : Highest IV Rank — 37.0%2008-09-29 : Largest Expected Move — 16.3%Monthly Statistics Metric Avg Min Max Open Close Price $6.16 $5.60 $6.50 $6.42 $5.95 Max Pain $7.24 $6.50 $7.50 $6.50 $7.00 ATM IV 45.5% 38.6% 56.9% 40.4% 54.4% Expected Move 13.1% 11.4% 16.3% 11.6% 15.6% HV 20d 32.6% 24.6% 43.4% 34.7% 43.4% HV 60d 34.9% 33.3% 37.3% 33.5% 37.3% IV Rank 18.7% 7.5% 37.0% 10.4% 33.0% IV Percentile 40.9% 7.5% 77.0% 16.7% 73.8% Term Structure 4.6% -0.3% 13.2% 0.8% 9.2% VWIV 46.2% 37.8% 61.1% 42.6% 56.1% Skew 25d 6.9% 4.3% 12.7% 5.6% 11.3% Skew 10d 13.2% 5.1% 32.1% 19.1% 20.6% Call IV 25d 43.3% 37.9% 53.5% 38.9% 51.3% Put IV 25d 50.2% 43.4% 66.2% 44.5% 62.6% Bid-Ask Spread % 22.32 12.49 51.07 15.69 24.98 Gamma HHI 0.20 0.13 0.31 0.15 0.23 Net GEX -236.0K -617.2K -36.7K -172.0K -219.9K Net DEX 17.0M 11.2M 30.6M 14.2M 17.5M Net VEX -152.9K -172.9K -123.7K -172.9K -145.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.14 0.06 11.35 0.07 11.35 Total Volume 4,722.381 840 13,210 5,700 13,210 Total OI 242,089.048 217,140 250,830 245,460 233,270
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 2008-09-02 $6.42 $6.50 40.4% 11.6% 34.7% 10.4% 42.6% 5.6% 0.8% -172.0K 14.2M -172.9K 0.07 15.69 N/A N/A 5,350 350 132,800 112,660 2008-09-03 $6.47 $6.50 39.7% 11.4% 33.2% 9.3% 38.8% 6.4% 0.7% -158.6K 13.5M -171.1K 0.80 18.05 N/A N/A 1,340 1,070 132,380 112,420 2008-09-04 $6.41 $6.50 39.6% 11.4% 28.0% 9.2% 39.9% 5.3% 1.6% -159.5K 13.7M -169.3K 0.26 22.28 N/A N/A 3,710 970 132,930 112,870 2008-09-05 $6.42 $7.50 39.1% 11.8% 27.9% 8.3% 41.1% 5.8% 3.9% -105.8K 13.1M -171.3K 0.06 18.48 N/A N/A 2,650 170 135,120 113,040 2008-09-08 $6.50 $7.50 40.4% 11.9% 28.0% 10.4% 39.2% 7.1% 3.1% -61.0K 11.8M -168.4K 0.95 17.62 N/A N/A 1,480 1,410 135,260 113,050 2008-09-09 $6.37 $7.50 40.3% 11.9% 24.6% 10.3% 42.9% 5.4% 3.5% -118.3K 13.7M -164.2K 1.24 16.46 N/A N/A 2,350 2,910 135,990 113,570 2008-09-10 $6.45 $7.50 38.6% 11.8% 25.0% 7.5% 42.8% 6.2% 3.7% -68.5K 12.3M -165.8K 1.31 19.51 N/A N/A 1,310 1,710 136,110 113,030 2008-09-11 $6.50 $7.50 41.2% 11.8% 25.1% 11.7% 42.7% 6.4% 3.2% -36.7K 11.2M -165.6K 3.20 22.44 N/A N/A 200 640 136,400 113,730 2008-09-12 $6.46 $7.50 40.6% 11.6% 25.1% 10.8% 41.1% 6.2% 4.0% -70.6K 12.5M -161.5K 0.65 19.53 N/A N/A 520 340 136,500 113,960 2008-09-15 $6.26 $7.50 42.5% 12.2% 26.2% 13.8% 43.4% 5.5% 3.0% -227.0K 17.0M -150.3K 1.06 21.50 N/A N/A 1,090 1,160 136,690 113,640 2008-09-16 $6.04 $7.50 45.1% 12.9% 28.7% 18.0% 43.6% 7.3% 1.6% -457.0K 22.7M -138.4K 0.47 23.87 N/A N/A 3,720 1,750 136,750 113,590 2008-09-17 $5.73 $7.50 50.8% 14.6% 33.5% 27.1% 37.8% 4.3% -0.3% -563.5K 27.5M -134.5K 4.00 22.76 N/A N/A 1,090 4,360 137,420 113,410 2008-09-18 $5.60 $7.50 49.9% 14.3% 34.1% 25.7% 49.4% 4.9% 0.4% -617.2K 30.6M -123.7K 2.22 46.25 N/A N/A 1,220 2,710 137,640 113,050 2008-09-19 $5.89 $7.50 45.2% 13.0% 39.8% 18.1% 46.8% 7.3% 3.5% -577.3K 23.9M -134.7K 0.75 25.69 N/A N/A 5,570 4,170 138,120 112,020 2008-09-22 $5.96 $7.50 49.8% 14.3% 36.6% 25.6% 50.4% 8.3% 6.6% -252.2K 17.8M -140.2K 1.30 19.70 N/A N/A 4,270 5,530 122,260 94,880 2008-09-23 $5.95 $7.50 50.8% 14.6% 35.7% 27.2% 50.5% 5.7% 7.9% -232.4K 17.3M -145.1K 0.22 18.63 N/A N/A 5,870 1,320 127,220 98,130 2008-09-24 $5.89 $7.00 50.3% 14.4% 35.6% 26.3% 54.9% 7.4% 9.0% -250.5K 18.2M -141.9K 3.72 12.49 N/A N/A 650 2,420 129,990 98,480 2008-09-25 $5.89 $7.00 49.7% 14.2% 34.9% 25.4% 53.8% 8.2% 8.5% -259.2K 18.5M -140.3K 7.68 13.15 N/A N/A 560 4,300 130,330 99,390 2008-09-26 $6.21 $7.00 51.2% 14.7% 40.5% 27.8% 50.3% 8.1% 10.0% -125.4K 13.3M -155.1K 1.49 18.61 N/A N/A 550 820 130,650 101,860 2008-09-29 $5.93 $7.00 56.9% 16.3% 43.3% 37.0% 61.1% 12.7% 13.2% -224.1K 16.3M -150.4K 2.15 51.07 N/A N/A 1,380 2,970 130,960 102,300 2008-09-30 $5.95 $7.00 54.4% 15.6% 43.4% 33.0% 56.1% 11.3% 9.2% -219.9K 17.5M -145.4K 11.35 24.98 N/A N/A 1,070 12,140 131,430 101,840
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