MSTR Options History — November 2008

In November 2008, MSTR traded between $3.19 and $4.05. ATM implied volatility averaged 72.6%, placing in the 62.3% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 0.8% (HV 20d: 73.5%). Max pain ranged from $4.00 to $4.50. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.24.

Notable Days

  • 2008-11-26: Highest Volume — 27,420 contracts
  • 2008-11-10: Largest IV spike — 16.0% change
  • 2008-11-20: Highest IV Rank — 77.3%
  • 2008-11-20: Largest Expected Move — 23.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.60$3.19$4.05$3.91$3.57
Max Pain$4.11$4.00$4.50$4.50$4.00
ATM IV72.6%63.2%82.0%71.0%64.8%
Expected Move20.5%18.1%23.5%20.3%18.6%
HV 20d73.5%64.1%88.7%86.8%65.7%
HV 60d62.7%60.1%66.0%60.4%66.0%
IV Rank62.3%47.2%77.3%59.6%49.7%
IV Percentile84.6%73.4%94.8%86.1%74.6%
Term Structure-2.8%-5.9%0.4%-4.8%0.1%
VWIV69.7%55.5%79.3%72.4%61.7%
Skew 25d10.1%7.8%14.4%10.3%10.4%
Skew 10d19.2%14.1%26.2%24.5%19.5%
Call IV 25d66.1%57.3%75.4%66.4%58.1%
Put IV 25d76.2%67.1%85.0%76.8%68.5%
Bid-Ask Spread %19.9612.6725.8614.3522.67
Gamma HHI0.260.170.310.300.21
Net GEX-118.9K-189.9K16.9K-94.3K16.9K
Net DEX12.0M6.2M16.1M10.8M6.2M
Net VEX-74.7K-85.2K-57.2K-71.7K-84.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.103.432.260.12
Total Volume6,924.73791027,42025,450910
Total OI210,893.158186,050223,720191,490214,630

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$3.91$4.5071.0%20.3%86.8%59.6%72.4%10.3%-4.8%-94.3K10.8M-71.7K2.2614.35N/AN/A7,81017,640124,85066,640
2008-11-04$4.05$4.5069.6%20.0%86.8%57.4%73.5%14.4%-4.0%-140.3K9.6M-85.2K3.4317.07N/AN/A8702,980130,35077,400
2008-11-05$3.79$4.5069.4%19.9%88.7%57.1%74.2%7.8%-3.6%-156.8K12.1M-81.9K2.0525.86N/AN/A2,1804,470130,40078,780
2008-11-06$3.73$4.5077.6%22.2%85.1%70.2%74.4%10.3%-5.9%-160.9K12.6M-84.1K2.4412.67N/AN/A5701,390132,01081,490
2008-11-07$3.75$4.0066.9%18.3%84.7%53.0%57.4%11.6%-1.3%-177.4K12.9M-82.2K0.8920.77N/AN/A1,9601,750131,99081,580
2008-11-10$3.74$4.0077.5%20.2%71.5%70.1%68.1%11.7%-2.5%-178.5K12.6M-80.3K0.9123.66N/AN/A1,3501,230133,68081,130
2008-11-11$3.68$4.0079.0%20.6%71.1%72.5%55.5%11.5%-4.3%-183.5K13.5M-77.9K0.7116.34N/AN/A2,3301,660134,30082,100
2008-11-12$3.52$4.0077.4%20.7%64.1%69.9%72.9%8.7%-5.5%-167.1K14.6M-72.5K1.4319.03N/AN/A1,4102,020135,59082,240
2008-11-13$3.71$4.0070.7%20.3%67.5%59.1%69.0%10.3%-2.8%-189.9K11.9M-78.5K1.9418.95N/AN/A3,1806,160135,56078,800
2008-11-14$3.55$4.0070.9%20.3%68.2%59.5%66.6%8.9%-2.2%-178.6K13.4M-75.2K0.5921.17N/AN/A1,480880136,90081,770
2008-11-17$3.55$4.0073.5%21.1%67.5%63.6%70.1%10.0%-2.3%-185.0K13.6M-72.8K1.9221.79N/AN/A1,7103,290137,80081,880
2008-11-18$3.49$4.0074.0%21.2%67.5%64.5%69.0%8.1%-3.5%-165.4K14.2M-69.0K1.7521.61N/AN/A1,2802,240139,30081,930
2008-11-19$3.27$4.0074.4%21.3%70.2%65.0%0.0%9.1%-2.6%-135.0K16.0M-59.8K0.3120.25N/AN/A2,970910138,86082,680
2008-11-20$3.19$4.0082.0%23.5%69.9%77.3%76.7%9.6%-3.5%-39.5K16.1M-57.2K0.5622.95N/AN/A1,420790141,32081,940
2008-11-21$3.36$4.0076.8%22.0%73.4%68.9%79.3%10.2%-3.9%-91.3K15.2M-65.2K0.9818.21N/AN/A2,5902,530141,97081,750
2008-11-24$3.49$4.0073.0%20.9%73.8%62.8%72.0%9.3%-1.9%-24.6K8.2M-72.9K0.1020.36N/AN/A13,1201,250125,18060,870
2008-11-25$3.46$4.0068.7%19.7%65.3%55.9%71.5%9.1%0.1%-8.7K7.6M-72.2K0.3518.70N/AN/A4,3101,510129,65058,990
2008-11-26$3.61$4.0063.2%18.1%67.9%47.2%61.7%9.8%0.4%1.6K6.6M-75.7K0.7422.88N/AN/A15,74011,680131,31059,350
2008-11-28$3.57$4.0064.8%18.6%65.7%49.7%0.0%10.4%0.1%16.9K6.2M-84.3K0.1222.67N/AN/A810100145,29069,340