MSTR Options History — January 2009

In January 2009, MSTR traded between $3.64 and $4.00. ATM implied volatility averaged 58.2%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded above realized volatility by 21.2% (HV 20d: 36.9%). Max pain ranged from $3.50 to $4.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2009-01-27: Highest Volume — 16,990 contracts
  • 2009-01-14: Largest IV spike — 50.2% change
  • 2009-01-22: Highest IV Rank — 64.7%
  • 2009-01-22: Largest Expected Move — 21.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.81$3.64$4.00$3.73$3.87
Max Pain$3.63$3.50$4.00$4.00$4.00
ATM IV58.2%39.6%74.2%50.8%61.5%
Expected Move18.4%14.6%21.3%14.6%17.6%
HV 20d36.9%30.5%42.3%39.4%42.3%
HV 60d57.9%50.9%66.5%66.5%51.2%
IV Rank39.0%9.2%64.7%27.2%44.4%
IV Percentile60.6%12.7%85.3%49.6%68.7%
Term Structure-5.7%-9.1%12.9%12.9%-6.5%
VWIV63.5%50.7%72.5%50.7%61.8%
Skew 25d10.3%6.7%15.2%6.7%8.6%
Skew 10d21.4%16.2%27.5%25.4%16.6%
Call IV 25d60.0%44.9%65.7%44.9%58.3%
Put IV 25d70.2%51.5%78.8%51.5%67.0%
Bid-Ask Spread %19.108.7323.728.7317.99
Gamma HHI0.250.200.310.200.24
Net GEX96.3K-8.0K167.2K50.8K128.0K
Net DEX-533.6K-3.9M2.1M1.9M-1.6M
Net VEX-90.5K-105.1K-79.3K-83.0K-101.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.065.330.771.87
Total Volume7,8212,12016,9902,12010,730
Total OI208,947.5157,430255,880223,470192,950

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$3.73$4.0050.8%14.6%39.4%27.2%50.7%6.7%12.9%50.8K1.9M-83.0K0.778.73N/AN/A1,200920154,21069,260
2009-01-05$3.72$3.5052.2%18.7%36.9%29.4%60.9%9.6%-7.1%40.5K2.1M-80.7K0.0623.72N/AN/A5,310300154,51070,030
2009-01-06$3.81$3.5044.9%17.6%34.4%17.6%62.8%8.3%-5.8%103.4K-541.2K-84.0K5.3321.50N/AN/A1,2006,400157,92068,680
2009-01-07$3.85$3.5044.9%17.7%34.1%17.7%62.9%11.0%-5.7%125.9K-1.3M-85.3K1.2121.71N/AN/A2,6103,170158,54069,140
2009-01-08$3.89$3.5043.9%17.7%33.3%16.1%64.3%9.2%-5.9%140.5K-1.9M-85.9K1.5019.73N/AN/A1,7302,590159,56070,960
2009-01-09$3.80$3.5041.8%17.7%33.7%12.7%59.6%8.9%-5.7%111.4K-575.6K-83.6K1.0721.79N/AN/A2,6802,870160,91072,880
2009-01-12$3.75$3.5061.5%19.6%32.2%44.4%62.2%10.7%-9.1%67.9K880.2K-80.4K0.1720.08N/AN/A2,880500161,79074,280
2009-01-13$3.75$3.5039.6%17.9%32.3%9.2%63.6%9.6%-6.8%70.0K1.0M-79.3K1.2220.26N/AN/A5,5806,810163,53074,520
2009-01-14$3.70$3.5059.5%19.4%33.0%41.2%64.9%9.8%-7.4%-8.0K1.5M-85.3K0.7418.52N/AN/A2,9402,180168,59078,480
2009-01-15$3.84$3.5065.0%18.6%30.5%49.9%64.2%11.2%-7.7%167.2K-777.7K-91.1K0.8422.49N/AN/A6,8105,690168,74079,650
2009-01-16$3.77$3.5063.0%18.1%31.2%46.7%64.5%11.1%-6.3%76.1K785.7K-89.5K0.4421.10N/AN/A7,5103,300173,24082,640
2009-01-20$3.64$3.5072.6%20.8%34.1%62.2%69.0%12.5%-7.2%51.1K1.5M-85.7K0.5316.50N/AN/A9,3504,910100,34057,090
2009-01-21$3.91$3.5065.5%18.8%42.2%50.9%66.1%9.9%-4.9%110.5K-2.4M-98.0K0.9919.11N/AN/A1,7001,690104,46059,470
2009-01-22$3.75$3.5074.2%21.3%41.1%64.7%72.5%12.5%-7.2%77.7K-147.3K-93.8K2.0617.67N/AN/A3,7007,640104,80060,540
2009-01-23$3.77$3.5066.8%19.2%41.1%52.9%66.0%12.6%-5.7%79.4K-294.1K-96.7K1.1419.91N/AN/A1,5401,750107,15064,510
2009-01-26$3.83$3.5066.9%19.2%41.2%53.0%66.1%15.2%-5.7%91.4K-817.8K-96.0K0.2522.19N/AN/A8,4802,120108,28064,990
2009-01-27$3.92$4.0065.4%18.8%41.7%50.7%68.0%10.2%-8.7%136.1K-2.7M-100.3K1.2818.27N/AN/A7,4409,550114,75066,590
2009-01-28$4.00$4.0061.7%17.7%42.1%44.8%62.8%8.6%-6.2%144.9K-3.6M-105.1K0.6113.59N/AN/A4,2502,600117,05072,500
2009-01-29$3.99$4.0061.2%17.5%41.5%43.9%58.0%9.0%-6.3%162.3K-3.9M-104.7K0.7717.15N/AN/A2,1401,650119,48071,940
2009-01-30$3.87$4.0061.5%17.6%42.3%44.4%61.8%8.6%-6.5%128.0K-1.6M-101.3K1.8717.99N/AN/A3,7406,990120,19072,760