MSTR Options History — February 2009

In February 2009, MSTR traded between $3.65 and $4.19. ATM implied volatility averaged 45.8%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 2.2% (HV 20d: 43.7%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.96.

Notable Days

  • 2009-02-02: Highest Volume — 23,820 contracts
  • 2009-02-23: Largest IV spike — 11.3% change
  • 2009-02-25: Highest IV Rank — 30.3%
  • 2009-02-25: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.95$3.65$4.19$4.00$3.65
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV45.8%41.6%52.8%46.7%49.8%
Expected Move13.3%12.0%15.1%13.4%14.3%
HV 20d43.7%38.4%47.6%43.7%40.7%
HV 60d47.6%40.9%51.1%51.1%40.9%
IV Rank19.2%12.4%30.3%20.6%25.6%
IV Percentile42.7%30.2%56.0%45.6%51.2%
Term Structure0.8%-2.9%4.4%1.3%-0.3%
VWIV45.9%40.9%50.3%46.8%48.4%
Skew 25d8.4%7.1%11.1%9.4%7.7%
Skew 10d16.1%12.1%25.2%20.1%25.2%
Call IV 25d42.6%36.9%47.1%43.0%44.3%
Put IV 25d51.0%45.7%55.0%52.3%52.0%
Bid-Ask Spread %16.469.5523.4716.1613.96
Gamma HHI0.290.220.590.260.22
Net GEX235.5K-48.6K809.0K181.0K-48.6K
Net DEX-2.5M-9.7M5.0M-3.5M5.0M
Net VEX-93.2K-103.7K-76.2K-101.1K-76.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.263.411.613.41
Total Volume5,83080023,82023,82010,010
Total OI199,407.895159,730217,210198,570170,510

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$4.00$4.0046.7%13.4%43.7%20.6%46.8%9.4%1.3%181.0K-3.5M-101.1K1.6116.16N/AN/A9,14014,680122,21076,360
2009-02-03$4.02$4.0045.7%13.1%43.6%18.9%43.5%11.1%2.1%213.7K-4.4M-103.3K0.7913.48N/AN/A1,3601,070126,32078,510
2009-02-04$3.95$4.0042.1%12.1%43.6%13.3%42.6%8.7%4.4%183.0K-2.2M-99.0K0.299.55N/AN/A6,6301,890126,57078,980
2009-02-05$4.06$4.0041.9%12.0%44.5%12.8%40.9%8.8%3.9%235.8K-5.2M-102.3K0.4019.99N/AN/A2,7301,100127,72079,980
2009-02-06$4.17$4.0042.2%13.3%45.2%13.4%50.3%8.2%0.5%306.3K-8.8M-103.7K0.7913.77N/AN/A4,3803,440128,50079,690
2009-02-09$4.19$4.0043.3%13.5%44.1%15.2%46.4%9.2%0.7%328.4K-9.7M-102.7K0.2619.62N/AN/A960250129,43081,210
2009-02-10$4.00$4.0043.7%13.2%47.1%15.7%46.4%8.7%0.9%239.1K-4.3M-98.4K0.5416.64N/AN/A5,5503,000128,77081,310
2009-02-11$4.00$4.0041.6%12.9%47.2%12.4%42.9%8.4%1.1%255.7K-4.3M-98.0K0.4816.67N/AN/A3,0001,450131,11082,580
2009-02-12$4.02$4.0044.9%12.9%46.7%17.6%44.9%8.3%1.0%299.0K-4.9M-97.4K0.8618.27N/AN/A1,4001,200131,34083,040
2009-02-13$4.05$4.0044.2%12.7%45.2%16.6%44.0%7.1%1.2%356.0K-6.1M-97.7K1.0123.47N/AN/A1,2201,230131,94083,010
2009-02-17$3.88$4.0047.5%13.6%47.6%21.8%45.9%8.6%0.1%242.9K-593.7K-89.7K0.6812.07N/AN/A1,010690132,00083,370
2009-02-18$4.05$4.0046.3%13.3%47.5%20.0%46.0%7.3%0.3%421.1K-6.2M-93.5K0.5820.54N/AN/A2,1901,280132,25083,720
2009-02-19$3.95$4.0045.5%13.0%41.5%18.7%46.0%7.7%1.3%520.2K-2.6M-89.9K0.5219.52N/AN/A3,5501,840132,17083,800
2009-02-20$3.95$4.0044.3%12.7%38.4%16.7%44.7%8.2%1.9%809.0K-2.2M-88.8K3.3918.84N/AN/A9503,220132,76084,450
2009-02-23$3.81$4.0049.3%14.1%40.6%24.8%49.6%7.8%-1.1%-16.8K2.5M-83.0K0.7312.91N/AN/A5,5004,04097,64062,090
2009-02-24$3.87$4.0047.5%13.6%40.6%21.9%47.5%8.0%-0.1%5.7K1.8M-85.0K0.3716.19N/AN/A4,5201,680101,50063,280
2009-02-25$3.74$4.0052.8%15.1%41.3%30.3%47.1%7.8%-2.9%-16.6K3.6M-81.5K1.2420.08N/AN/A1,7002,110105,31064,570
2009-02-26$3.67$4.0051.4%14.7%40.7%28.1%47.7%8.4%-1.0%-39.9K4.9M-78.6K0.3810.91N/AN/A580220105,60065,150
2009-02-27$3.65$4.0049.8%14.3%40.7%25.6%48.4%7.7%-0.3%-48.6K5.0M-76.2K3.4113.96N/AN/A2,2707,740105,71064,800