MSTR Options History — July 2009 In July 2009, MSTR traded between $4.93 and $6.09. ATM implied volatility averaged 41.4%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 5.6% (HV 20d: 35.8%). Max pain ranged from $4.50 to $5.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.71.
Notable Days 2009-07-31 : Highest Volume — 107,000 contracts2009-07-31 : Largest IV drop — 26.7% change2009-07-28 : Highest IV Rank — 24.9%2009-07-07 : Largest Expected Move — 14.2%Monthly Statistics Metric Avg Min Max Open Close Price $5.46 $4.93 $6.09 $5.09 $6.09 Max Pain $5.00 $4.50 $5.50 $4.50 $5.50 ATM IV 41.4% 33.5% 46.2% 33.5% 33.7% Expected Move 12.7% 9.6% 14.2% 9.6% 9.7% HV 20d 35.8% 28.1% 43.6% 35.8% 28.1% HV 60d 32.3% 30.8% 33.1% 30.8% 31.6% IV Rank 17.6% 5.9% 24.9% 5.9% 6.1% IV Percentile 28.3% 4.8% 45.6% 4.8% 5.6% Term Structure -3.6% -7.2% 11.0% 10.4% 1.0% VWIV 44.3% 32.1% 51.3% 33.5% 33.6% Skew 25d 5.5% 3.2% 11.7% 4.9% 3.2% Skew 10d 9.8% 3.4% 17.0% 8.6% 3.4% Call IV 25d 42.1% 26.6% 45.9% 31.3% 32.2% Put IV 25d 47.6% 35.4% 51.8% 36.2% 35.4% Bid-Ask Spread % 15.50 9.81 47.29 14.75 9.81 Gamma HHI 0.30 0.19 0.52 0.21 0.27 Net GEX 258.1K 87.5K 482.8K 115.9K 482.8K Net DEX -21.4M -33.4M -11.4M -15.5M -33.4M Net VEX -95.1K -102.5K -85.3K -85.3K -97.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.17 1.78 1.34 1.03 Total Volume 12,220 890 107,000 1,870 107,000 Total OI 182,807.273 151,050 207,500 175,220 195,870
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-07-01 $5.09 $4.50 33.5% 9.6% 35.8% 5.9% 33.5% 4.9% 10.4% 115.9K -15.5M -85.3K 1.34 14.75 N/A N/A 800 1,070 101,440 73,780 2009-07-02 $4.93 $4.50 34.0% 9.8% 37.8% 6.6% 32.1% 11.7% 11.0% 87.5K -11.4M -85.3K 0.63 11.64 N/A N/A 7,090 4,480 101,710 74,050 2009-07-06 $5.18 $5.00 41.1% 13.9% 41.5% 17.2% 48.4% 5.8% -5.1% 151.1K -18.8M -92.6K 0.44 17.47 N/A N/A 10,140 4,510 106,230 77,640 2009-07-07 $5.09 $5.00 42.1% 14.2% 42.2% 18.8% 48.1% 5.9% -5.6% 149.6K -17.5M -100.0K 0.29 15.91 N/A N/A 7,010 2,050 112,400 80,400 2009-07-08 $5.12 $5.00 42.2% 14.1% 42.2% 18.9% 48.1% 6.1% -5.4% 206.5K -18.7M -102.5K 0.42 17.68 N/A N/A 5,000 2,080 117,220 81,470 2009-07-09 $5.10 $5.00 39.3% 14.0% 42.2% 14.6% 47.8% 5.8% -4.9% 194.6K -18.2M -102.5K 0.76 15.39 N/A N/A 1,680 1,280 118,640 82,880 2009-07-10 $5.11 $5.00 38.0% 13.7% 42.2% 12.5% 45.2% 6.1% -5.1% 201.8K -18.6M -101.8K 0.27 18.07 N/A N/A 3,140 860 119,300 83,160 2009-07-13 $5.29 $5.00 35.5% 13.1% 43.6% 8.9% 51.3% 6.1% -4.7% 286.4K -24.4M -97.5K 1.07 11.58 N/A N/A 4,180 4,470 120,120 83,510 2009-07-14 $5.28 $5.00 37.3% 13.1% 42.6% 11.5% 46.7% 6.2% -5.2% 268.3K -24.0M -97.1K 1.19 11.11 N/A N/A 2,960 3,510 120,090 84,380 2009-07-15 $5.31 $5.00 36.8% 12.9% 41.7% 10.7% 45.2% 6.4% -4.5% 306.3K -24.8M -99.3K 1.78 11.01 N/A N/A 320 570 121,570 85,450 2009-07-16 $5.38 $5.00 44.8% 12.8% 41.8% 22.8% 44.4% 5.5% -4.5% 369.2K -26.7M -97.5K 0.41 13.55 N/A N/A 1,400 580 121,660 85,840 2009-07-17 $5.39 $5.00 44.3% 12.7% 35.2% 22.1% 45.3% 5.1% -4.5% 287.8K -26.3M -95.1K 1.31 16.58 N/A N/A 1,090 1,430 120,510 84,970 2009-07-20 $5.45 $5.00 45.6% 13.1% 33.1% 24.0% 44.9% 4.7% -4.4% 215.9K -15.2M -93.3K 0.17 15.74 N/A N/A 1,840 320 91,860 59,190 2009-07-21 $5.55 $5.00 45.3% 13.0% 29.2% 23.5% 45.2% 5.2% -5.6% 229.3K -16.8M -91.3K 0.59 14.23 N/A N/A 6,160 3,610 92,480 59,420 2009-07-22 $5.61 $5.00 45.2% 13.0% 28.1% 23.4% 43.6% 4.6% -5.2% 256.6K -18.5M -94.9K 0.87 10.30 N/A N/A 1,870 1,630 96,330 61,780 2009-07-23 $5.82 $5.00 43.4% 12.5% 29.9% 20.8% 43.6% 3.9% -5.8% 273.8K -22.5M -90.0K 0.65 10.70 N/A N/A 6,040 3,900 96,620 61,300 2009-07-24 $5.90 $5.00 43.9% 12.6% 30.0% 21.5% 44.3% 3.9% -5.8% 289.7K -23.9M -90.8K 0.55 13.39 N/A N/A 7,910 4,320 98,750 62,630 2009-07-27 $5.81 $5.00 46.0% 13.2% 30.7% 24.7% 46.2% 4.3% -6.6% 303.6K -23.4M -93.1K 0.23 47.29 N/A N/A 2,050 470 103,100 64,570 2009-07-28 $5.86 $5.00 46.2% 13.2% 29.9% 24.9% 45.8% 5.3% -7.2% 320.8K -24.3M -92.4K 0.29 13.01 N/A N/A 1,560 450 103,670 64,280 2009-07-29 $5.85 $5.00 45.5% 13.0% 29.9% 23.8% 45.9% 4.2% -5.4% 329.5K -24.4M -92.2K 0.79 12.85 N/A N/A 13,000 10,240 104,230 64,460 2009-07-30 $5.86 $5.50 45.9% 13.2% 29.9% 24.5% 46.4% 5.3% -5.7% 352.3K -24.4M -100.3K 0.63 18.96 N/A N/A 15,210 9,560 112,510 70,290 2009-07-31 $6.09 $5.50 33.7% 9.7% 28.1% 6.1% 33.6% 3.2% 1.0% 482.8K -33.4M -97.5K 1.03 9.81 N/A N/A 52,710 54,290 120,440 75,430
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