MSTR Options History — March 2009

In March 2009, MSTR traded between $3.26 and $3.78. ATM implied volatility averaged 47.0%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 3.3% (HV 20d: 43.7%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.25.

Notable Days

  • 2009-03-27: Highest Volume — 21,980 contracts
  • 2009-03-27: Largest IV spike — 24.5% change
  • 2009-03-09: Highest IV Rank — 31.7%
  • 2009-03-02: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.44$3.26$3.78$3.52$3.42
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV47.0%36.5%53.6%51.9%46.6%
Expected Move13.4%10.5%14.9%14.9%13.4%
HV 20d43.7%37.6%57.3%41.6%56.0%
HV 60d41.9%39.9%46.9%41.1%46.9%
IV Rank21.1%4.3%31.7%28.9%20.4%
IV Percentile41.6%0.8%57.1%54.8%42.9%
Term Structure4.8%-1.6%12.3%-1.6%9.2%
VWIV47.6%39.4%54.2%51.8%47.9%
Skew 25d8.1%6.1%16.4%8.4%16.4%
Skew 10d15.7%0.7%24.3%17.1%24.3%
Call IV 25d44.1%35.8%52.3%48.7%35.9%
Put IV 25d52.2%43.2%58.5%57.1%52.3%
Bid-Ask Spread %11.736.7218.4212.407.94
Gamma HHI0.370.250.520.270.46
Net GEX-133.7K-284.5K-97.9K-103.7K-184.7K
Net DEX8.1M2.3M10.7M7.8M7.9M
Net VEX-65.9K-77.3K-55.4K-71.7K-68.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.155.585.580.15
Total Volume4,129.54554021,9806,7103,210
Total OI179,908.636163,170188,880176,810184,230

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$3.52$4.0051.9%14.9%41.6%28.9%51.8%8.4%-1.6%-103.7K7.8M-71.7K5.5812.40N/AN/A1,0205,690107,34069,470
2009-03-03$3.42$4.0051.3%14.7%39.9%28.0%52.0%8.9%-1.6%-117.4K9.0M-65.6K1.1818.42N/AN/A620730107,68068,740
2009-03-04$3.45$4.0050.2%14.4%40.1%26.2%51.7%8.8%-0.7%-125.7K8.7M-66.0K1.1216.80N/AN/A1,3001,450108,09068,730
2009-03-05$3.36$4.0050.5%14.5%40.6%26.8%50.9%6.1%-0.5%-119.4K9.6M-62.5K0.4611.25N/AN/A5,7002,610109,33069,320
2009-03-06$3.38$4.0050.3%14.2%38.9%26.3%47.2%7.6%2.9%-107.1K9.0M-66.1K1.2518.42N/AN/A1,0001,250113,46068,920
2009-03-09$3.26$4.0053.6%14.5%37.6%31.7%52.0%8.4%2.1%-97.9K10.2M-59.0K0.1513.23N/AN/A1,680260113,40068,310
2009-03-10$3.44$4.0051.5%14.0%43.8%28.3%47.7%7.8%2.5%-122.2K8.3M-65.3K0.4712.65N/AN/A1,330620114,33067,960
2009-03-11$3.41$4.0049.2%13.9%41.8%24.6%54.2%7.9%2.8%-121.2K8.6M-63.2K1.488.85N/AN/A230340113,39068,000
2009-03-12$3.30$4.0047.0%13.5%42.6%21.1%0.0%7.2%3.1%-110.0K10.5M-55.4K0.849.74N/AN/A4,7303,990113,43067,960
2009-03-13$3.35$4.0045.6%13.1%43.2%18.8%45.6%8.4%4.1%-123.2K10.0M-64.3K0.429.70N/AN/A660280117,22070,950
2009-03-16$3.29$4.0046.2%13.2%42.7%19.8%50.1%7.3%3.6%-112.7K10.7M-61.1K2.3210.94N/AN/A340790117,60071,030
2009-03-17$3.35$4.0046.0%13.2%42.0%19.4%50.8%8.0%3.5%-136.8K9.6M-61.5K0.6514.22N/AN/A2,1001,370117,89069,010
2009-03-18$3.43$4.0045.0%12.9%39.5%17.9%46.3%7.2%5.2%-179.0K8.7M-65.9K0.8312.68N/AN/A1,010840118,80069,480
2009-03-19$3.37$4.0044.8%12.8%39.3%17.5%44.8%6.3%4.4%-149.2K9.3M-63.3K0.9312.70N/AN/A280260119,65069,230
2009-03-20$3.46$4.0044.2%12.7%41.2%16.6%42.4%8.0%5.5%-284.5K8.4M-66.4K0.4611.58N/AN/A720330119,71069,090
2009-03-23$3.64$4.0044.7%12.8%44.6%17.3%39.4%7.8%9.5%-110.1K4.1M-70.0K1.047.38N/AN/A1,1701,220104,78058,390
2009-03-24$3.60$4.0043.2%12.4%44.3%14.9%42.8%7.7%10.9%-115.8K4.6M-68.6K1.688.59N/AN/A3,4905,870104,89058,740
2009-03-25$3.68$4.0042.6%12.2%43.8%14.0%42.8%7.8%10.1%-130.0K4.2M-76.4K0.5012.10N/AN/A1,290650107,24064,150
2009-03-26$3.78$4.0036.5%10.5%44.3%4.3%41.2%7.4%12.3%-115.9K2.3M-77.3K0.3710.33N/AN/A4,9601,850107,96062,300
2009-03-27$3.42$4.0045.5%13.0%57.3%18.7%46.4%8.2%10.0%-104.8K6.9M-66.4K5.2311.35N/AN/A3,53018,450110,94062,780
2009-03-30$3.34$4.0048.1%13.8%56.3%22.8%50.7%6.3%8.4%-170.3K9.0M-65.2K0.396.72N/AN/A1,170460112,76071,310
2009-03-31$3.42$4.0046.6%13.4%56.0%20.4%47.9%16.4%9.2%-184.7K7.9M-68.8K0.157.94N/AN/A2,780430112,81071,420