MSTR Options History — June 2009

In June 2009, MSTR traded between $4.69 and $5.21. ATM implied volatility averaged 33.1%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 5.4% (HV 20d: 27.7%). Max pain ranged from $4.00 to $4.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.38.

Notable Days

  • 2009-06-09: Highest Volume — 14,980 contracts
  • 2009-06-03: Largest IV drop — 15.0% change
  • 2009-06-16: Highest IV Rank — 9.4%
  • 2009-06-16: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.90$4.69$5.21$4.73$5.02
Max Pain$4.16$4.00$4.50$4.00$4.50
ATM IV33.1%29.6%35.9%34.6%34.3%
Expected Move9.6%8.6%10.3%9.9%9.8%
HV 20d27.7%19.5%35.7%32.7%35.7%
HV 60d36.8%30.8%40.9%40.9%30.8%
IV Rank4.8%0.0%9.4%2.8%7.0%
IV Percentile3.5%0.0%8.3%1.2%6.7%
Term Structure6.0%0.1%9.6%1.7%9.6%
VWIV33.3%26.6%36.8%33.7%32.7%
Skew 25d4.6%2.6%6.4%2.6%5.6%
Skew 10d8.3%-2.2%18.4%15.7%9.2%
Call IV 25d31.6%27.6%34.8%32.7%32.8%
Put IV 25d36.2%32.7%38.6%35.3%38.3%
Bid-Ask Spread %11.987.8118.3415.9111.51
Gamma HHI0.370.180.740.370.20
Net GEX361.6K96.6K811.0K529.4K121.9K
Net DEX-17.9M-30.1M-11.7M-16.9M-13.9M
Net VEX-81.4K-87.4K-75.1K-87.4K-80.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.380.1525.751.281.12
Total Volume5,154.54572014,9801,3709,730
Total OI179,373.182151,650198,190177,350168,930

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$4.73$4.0034.6%9.9%32.7%2.8%33.7%2.6%1.7%529.4K-16.9M-87.4K1.2815.91N/AN/A600770114,02063,330
2009-06-02$4.75$4.0035.4%10.2%28.6%4.1%26.6%3.2%0.1%535.6K-17.4M-86.8K0.297.81N/AN/A560160113,71063,440
2009-06-03$4.80$4.0030.1%8.6%28.5%0.0%31.9%2.8%2.2%569.2K-18.7M-85.3K1.918.93N/AN/A1,1902,270113,89063,500
2009-06-04$4.85$4.5030.6%8.8%27.2%0.8%32.7%6.4%2.2%541.3K-20.0M-85.0K1.0110.85N/AN/A810820113,62064,400
2009-06-05$4.89$4.0029.6%9.2%27.2%0.0%32.5%4.4%6.5%555.1K-21.3M-83.8K0.1811.15N/AN/A4,660860113,86064,320
2009-06-08$4.88$4.0032.1%9.4%19.7%3.7%36.7%3.6%6.1%612.3K-21.1M-83.2K1.5811.15N/AN/A8801,390114,95064,690
2009-06-09$4.89$4.0032.2%9.6%19.7%3.9%36.8%4.4%5.5%613.1K-21.1M-83.9K25.7511.21N/AN/A56014,420115,21065,230
2009-06-10$4.93$4.0030.5%9.6%19.7%1.3%34.2%5.6%6.1%437.1K-21.5M-82.3K1.3313.65N/AN/A1,1801,570112,99076,070
2009-06-11$4.92$4.0032.3%9.3%19.6%4.0%32.1%4.4%6.1%445.0K-21.4M-80.1K0.5914.21N/AN/A4,6902,770113,00076,690
2009-06-12$4.88$4.0031.9%9.1%19.9%3.4%32.0%5.1%6.5%419.5K-19.8M-80.9K0.1514.42N/AN/A940140114,42079,060
2009-06-15$4.77$4.0032.4%9.3%19.5%4.2%33.2%4.9%6.2%315.8K-16.5M-79.4K1.6712.19N/AN/A1,3002,170114,88079,110
2009-06-16$4.69$4.0035.9%10.3%20.7%9.4%32.8%5.2%4.1%202.6K-14.5M-77.7K1.1016.66N/AN/A390430115,68079,330
2009-06-17$4.70$4.0035.4%10.1%20.7%8.6%32.4%6.3%4.2%203.7K-15.0M-76.2K0.6910.41N/AN/A1,130780115,83079,490
2009-06-18$5.03$4.0031.3%9.0%30.9%2.5%32.6%5.2%6.5%811.0K-25.0M-76.1K0.929.67N/AN/A5,3004,880116,24079,390
2009-06-19$5.21$4.0032.0%9.2%30.1%3.6%31.6%5.2%5.9%238.8K-30.1M-75.1K0.8310.88N/AN/A7,1705,980116,19082,000
2009-06-22$5.00$4.0035.7%10.2%34.6%9.1%35.6%4.6%9.1%199.8K-14.3M-77.2K1.389.99N/AN/A5,8708,10092,17059,480
2009-06-23$4.92$4.5035.4%10.2%34.7%8.7%35.6%3.4%8.2%121.1K-11.7M-82.6K0.799.05N/AN/A2,2401,78095,66066,310
2009-06-24$4.96$4.5035.2%10.1%34.7%8.3%34.8%5.6%8.3%127.9K-12.5M-83.2K1.279.77N/AN/A1,6202,06097,05067,200
2009-06-25$4.97$4.5034.1%9.8%34.7%6.8%35.3%4.5%9.3%128.1K-12.3M-83.0K5.4818.34N/AN/A2701,48097,78068,450
2009-06-26$5.08$4.5034.0%9.7%35.3%6.5%33.8%5.4%9.1%130.9K-14.8M-82.2K2.1311.91N/AN/A1,2302,62097,61069,170
2009-06-29$5.02$4.5033.6%9.6%35.7%6.0%33.7%3.5%9.6%96.6K-13.6M-79.3K0.8613.92N/AN/A3,0302,60097,87069,990
2009-06-30$5.02$4.5034.3%9.8%35.7%7.0%32.7%5.6%9.6%121.9K-13.9M-80.5K1.1211.51N/AN/A4,5805,15099,00069,930