MSTR Options History — May 2009

In May 2009, MSTR traded between $3.88 and $4.69. ATM implied volatility averaged 40.7%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 8.8% (HV 20d: 31.9%). Max pain ranged from $3.50 to $4.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2009-05-06: Highest Volume — 21,170 contracts
  • 2009-05-06: Largest IV drop — 33.6% change
  • 2009-05-05: Highest IV Rank — 50.2%
  • 2009-05-01: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.44$3.88$4.69$3.88$4.68
Max Pain$3.98$3.50$4.00$4.00$4.00
ATM IV40.7%32.9%65.1%57.4%32.9%
Expected Move11.1%9.4%16.5%16.5%9.4%
HV 20d31.9%22.7%34.8%22.7%33.0%
HV 60d43.6%41.4%45.3%43.8%41.4%
IV Rank10.8%0.0%50.2%37.8%0.0%
IV Percentile16.0%0.0%76.6%65.5%0.0%
Term Structure-0.4%-12.9%3.1%-12.9%2.3%
VWIV38.3%32.3%57.5%57.5%32.6%
Skew 25d3.9%0.7%5.0%0.7%3.6%
Skew 10d9.2%-10.2%15.7%-10.2%12.5%
Call IV 25d37.0%30.5%57.6%57.6%30.5%
Put IV 25d40.9%34.1%58.3%58.3%34.1%
Bid-Ask Spread %14.539.8321.1911.2616.43
Gamma HHI0.390.250.610.610.35
Net GEX251.8K-589.8K571.3K-589.8K451.1K
Net DEX-12.0M-21.9M3.2M3.2M-14.9M
Net VEX-89.4K-96.4K-80.1K-96.4K-88.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.033.283.280.35
Total Volume7,28877021,1703,4705,220
Total OI229,715.5160,060299,870258,540174,500

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$3.88$4.0057.4%16.5%22.7%37.8%57.5%0.7%-12.9%-589.8K3.2M-96.4K3.2811.26N/AN/A8102,660110,700147,840
2009-05-04$4.09$4.0064.1%13.2%28.5%48.6%45.7%4.0%-2.6%-270.6K-4.8M-91.1K0.3114.77N/AN/A7,9802,450111,050150,000
2009-05-05$4.16$3.5065.1%13.6%28.8%50.2%45.9%4.4%-3.6%-198.5K-6.0M-93.7K0.3019.61N/AN/A5,7301,720114,020150,900
2009-05-06$4.10$4.0043.3%11.6%28.3%15.1%39.8%4.3%-0.4%-107.4K-7.1M-80.1K0.8216.71N/AN/A11,6309,540116,230151,730
2009-05-07$4.13$4.0040.7%11.8%28.2%10.9%39.3%4.5%-0.7%165.7K-8.7M-82.6K3.0817.78N/AN/A4,25013,090120,880153,800
2009-05-08$4.38$4.0037.1%11.0%33.6%5.1%37.1%2.8%-0.4%428.3K-15.1M-89.7K0.2812.13N/AN/A8,0302,270121,080165,060
2009-05-11$4.39$4.0038.3%11.0%33.6%7.0%39.6%3.8%-0.4%523.3K-15.3M-89.3K0.689.83N/AN/A3,7302,550125,010165,770
2009-05-12$4.42$4.0037.7%10.9%33.1%6.1%38.0%3.8%-0.3%564.3K-16.1M-89.5K0.6612.52N/AN/A4,9603,290124,590166,090
2009-05-13$4.48$4.0038.9%11.0%33.1%8.0%40.7%4.0%-0.1%571.3K-17.5M-89.0K2.3221.19N/AN/A4,35010,080123,550167,800
2009-05-14$4.46$4.0037.4%10.7%33.0%5.7%37.8%4.0%0.5%570.3K-15.3M-91.5K0.3417.29N/AN/A1,930660124,530174,980
2009-05-15$4.60$4.0037.0%10.6%34.2%3.8%36.5%4.3%0.3%442.9K-21.9M-91.4K0.4311.46N/AN/A6,3602,710125,410174,460
2009-05-18$4.62$4.0037.3%10.7%31.8%4.2%36.2%4.4%-0.3%230.7K-11.4M-89.8K0.9311.91N/AN/A1,9901,85099,17060,890
2009-05-19$4.61$4.0037.0%10.6%32.0%3.8%36.2%4.2%0.1%230.6K-11.5M-90.5K0.7316.25N/AN/A1,7301,27099,80061,710
2009-05-20$4.69$4.0036.4%10.4%31.4%2.7%35.0%3.4%0.5%253.9K-12.7M-90.3K0.6018.18N/AN/A480290100,90061,960
2009-05-21$4.54$4.0034.9%10.0%34.7%0.3%34.6%4.4%2.0%215.5K-10.0M-88.0K0.2111.79N/AN/A8,9101,860101,02061,870
2009-05-22$4.53$4.0033.8%9.7%34.8%0.0%33.7%3.6%3.1%286.9K-10.8M-89.8K0.0313.16N/AN/A5,480150105,95062,850
2009-05-26$4.64$4.0035.6%10.2%34.2%2.9%32.5%4.0%1.4%401.5K-14.0M-89.7K1.1713.29N/AN/A590690109,79062,690
2009-05-27$4.66$4.0035.5%10.2%34.2%2.6%34.0%5.0%0.9%428.2K-15.0M-89.2K1.2712.52N/AN/A9901,260110,24062,570
2009-05-28$4.67$4.0034.1%9.8%34.3%0.4%32.3%4.3%1.9%438.6K-14.7M-87.4K0.6012.52N/AN/A1,390830110,27062,650
2009-05-29$4.68$4.0032.9%9.4%33.0%0.0%32.6%3.6%2.3%451.1K-14.9M-88.1K0.3516.43N/AN/A3,8601,360111,11063,390