MSTR Options History — December 2008

In December 2008, MSTR traded between $3.23 and $3.71. ATM implied volatility averaged 59.7%, placing in the 41.4% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 0.2% (HV 20d: 59.9%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.94.

Notable Days

  • 2008-12-16: Highest Volume — 16,550 contracts
  • 2008-12-02: Largest IV drop — 11.2% change
  • 2008-12-01: Highest IV Rank — 65.5%
  • 2008-12-01: Largest Expected Move — 21.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.46$3.23$3.71$3.23$3.71
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV59.7%49.8%74.7%74.7%49.8%
Expected Move17.1%14.3%21.4%21.4%14.3%
HV 20d59.9%39.9%67.3%65.4%39.9%
HV 60d69.1%67.3%70.3%68.4%67.3%
IV Rank41.4%25.5%65.5%65.5%25.5%
IV Percentile63.8%47.2%84.9%84.9%47.2%
Term Structure6.4%-2.4%14.6%-2.4%14.4%
VWIV59.2%45.7%70.0%68.4%45.7%
Skew 25d10.1%6.4%12.2%8.5%7.6%
Skew 10d19.4%8.9%26.0%14.4%24.1%
Call IV 25d55.0%43.2%68.5%68.5%43.2%
Put IV 25d65.0%50.8%77.0%77.0%50.8%
Bid-Ask Spread %10.665.2020.2813.457.18
Gamma HHI0.250.200.410.230.20
Net GEX-24.5K-111.6K38.5K-10.0K38.5K
Net DEX6.8M2.2M9.9M9.5M2.2M
Net VEX-76.7K-83.3K-66.7K-70.5K-81.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.142.900.230.86
Total Volume4,335.90930016,5502,5805,990
Total OI221,357.273203,460233,040215,230218,600

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$3.23$4.0074.7%21.4%65.4%65.5%68.4%8.5%-2.4%-10.0K9.5M-70.5K0.2313.45N/AN/A2,100480145,80069,430
2008-12-02$3.35$4.0066.3%19.0%67.3%52.1%70.0%10.9%-1.5%-7.4K8.6M-73.3K1.5316.64N/AN/A3,8105,840145,78069,020
2008-12-03$3.42$4.0065.5%18.8%66.2%50.8%61.9%10.8%0.1%-2.6K7.4M-81.3K0.5216.42N/AN/A2,4001,250148,24071,510
2008-12-04$3.31$4.0066.5%19.1%63.5%52.4%66.5%9.6%-1.3%-9.5K8.5M-76.8K1.5820.28N/AN/A190300149,69071,470
2008-12-05$3.46$4.0064.1%18.6%66.0%48.5%67.6%12.2%2.9%3.0K6.9M-82.9K1.4111.20N/AN/A1,2801,810149,87070,930
2008-12-08$3.52$4.0067.3%18.8%66.4%53.6%63.0%12.0%2.6%7.4K6.1M-83.3K1.358.78N/AN/A370500150,75071,890
2008-12-09$3.47$4.0067.1%18.6%66.6%53.4%63.3%11.3%3.4%-5.4K6.9M-79.9K2.907.99N/AN/A310900150,80072,230
2008-12-10$3.40$4.0060.8%17.8%66.7%43.3%62.0%11.8%5.5%-23.2K8.3M-75.5K0.5712.58N/AN/A4,3102,460150,66072,870
2008-12-11$3.31$4.0061.5%17.6%65.6%44.3%64.3%10.3%5.4%-46.9K9.6M-72.9K0.1413.07N/AN/A2,660380151,06074,870
2008-12-12$3.32$4.0059.4%17.0%62.2%41.0%55.4%11.6%6.2%-53.1K9.9M-73.0K0.5813.71N/AN/A190110152,79075,110
2008-12-15$3.34$4.0061.7%17.7%60.5%44.7%60.6%9.8%4.5%-52.8K9.3M-73.5K0.5410.60N/AN/A4,8702,610152,88074,760
2008-12-16$3.52$4.0058.5%16.8%63.6%39.5%57.8%10.9%5.7%-55.3K6.8M-78.6K2.0513.75N/AN/A5,42011,130154,48073,830
2008-12-17$3.57$4.0058.0%16.6%63.4%38.7%55.4%10.6%7.2%-69.6K5.4M-79.7K0.878.14N/AN/A1,6001,390156,68075,060
2008-12-18$3.55$4.0056.9%16.3%58.4%37.0%57.2%11.6%6.9%-111.6K5.9M-76.9K0.7510.32N/AN/A1,5101,130157,75075,290
2008-12-19$3.59$4.0055.5%15.9%57.5%34.7%55.5%11.0%8.1%-62.5K4.1M-77.9K0.2711.42N/AN/A1,100300157,92074,470
2008-12-22$3.42$4.0054.2%15.5%57.9%32.7%56.5%8.0%12.0%-26.7K7.2M-66.7K0.439.14N/AN/A8,6503,740140,36063,100
2008-12-23$3.46$4.0053.4%15.3%56.4%31.4%60.2%9.6%12.8%-18.3K6.4M-75.5K0.845.73N/AN/A860720147,19064,900
2008-12-24$3.48$4.0053.5%15.3%56.3%31.5%54.9%8.2%11.6%-11.1K5.7M-76.4K0.676.51N/AN/A3,8602,590147,77065,460
2008-12-26$3.50$4.0052.9%15.2%54.1%30.5%54.4%8.5%11.8%-12.7K5.6M-77.1K1.435.42N/AN/A1,1501,640150,70067,260
2008-12-29$3.52$4.0054.4%15.6%54.0%32.9%52.1%9.9%11.2%-16.8K5.8M-75.9K0.355.20N/AN/A860300150,70068,070
2008-12-30$3.61$4.0051.1%14.7%40.4%27.7%49.5%6.4%14.6%8.5K3.8M-79.1K0.907.08N/AN/A1,2201,100151,35066,510
2008-12-31$3.71$4.0049.8%14.3%39.9%25.5%45.7%7.6%14.4%38.5K2.2M-81.0K0.867.18N/AN/A3,2202,770151,46067,140