MSTR Options History — August 2009

In August 2009, MSTR traded between $6.11 and $6.42. ATM implied volatility averaged 31.7%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 7.3% (HV 20d: 24.5%). Max pain ranged from $5.50 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2009-08-12: Highest Volume — 18,570 contracts
  • 2009-08-04: Largest IV drop — 11.7% change
  • 2009-08-03: Highest IV Rank — 11.8%
  • 2009-08-03: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.27$6.11$6.42$6.18$6.17
Max Pain$5.98$5.50$6.00$6.00$6.00
ATM IV31.7%28.7%37.5%37.5%30.5%
Expected Move9.2%8.2%10.7%10.7%8.7%
HV 20d24.5%21.1%27.1%24.1%21.1%
HV 60d30.2%29.7%31.6%31.6%30.3%
IV Rank3.8%0.0%11.8%11.8%2.8%
IV Percentile4.1%0.0%17.5%17.5%2.4%
Term Structure1.7%-0.8%3.4%-0.8%3.0%
VWIV32.3%28.1%37.0%37.0%30.9%
Skew 25d3.1%2.1%4.3%4.1%3.2%
Skew 10d6.2%3.5%7.7%6.5%4.8%
Call IV 25d30.9%27.9%35.1%35.1%29.3%
Put IV 25d34.0%30.9%39.1%39.1%32.5%
Bid-Ask Spread %16.017.9320.507.9318.59
Gamma HHI0.260.220.290.240.26
Net GEX457.3K221.0K682.7K596.0K394.7K
Net DEX-38.5M-49.7M-28.3M-39.1M-28.3M
Net VEX-167.0K-191.4K-143.5K-191.3K-143.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.002.870.360.27
Total Volume5,024.28633018,57018,340330
Total OI271,137.619238,690288,630282,790243,670

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$6.18$6.0037.5%10.7%24.1%11.8%37.0%4.1%-0.8%596.0K-39.1M-191.3K0.367.93N/AN/A13,4404,900161,250121,540
2009-08-04$6.42$6.0033.1%9.5%24.0%5.2%33.4%2.5%0.9%682.7K-49.7M-190.4K0.9512.96N/AN/A5,5505,290164,050122,370
2009-08-05$6.42$6.0032.9%9.4%24.4%5.3%33.7%2.1%1.5%659.3K-49.5M-189.7K1.3613.90N/AN/A3,4604,720164,430123,460
2009-08-06$6.37$5.5032.1%9.2%24.7%4.1%33.7%2.1%2.0%634.6K-47.8M-191.4K0.0513.79N/AN/A4,070200164,310124,320
2009-08-07$6.34$6.0030.7%9.6%25.0%1.8%34.0%3.1%0.7%603.1K-46.3M-184.5K0.5114.06N/AN/A3,2001,630162,780124,230
2009-08-10$6.36$6.0032.7%9.4%23.4%5.0%34.1%3.3%0.9%590.2K-46.4M-181.7K0.1417.29N/AN/A5,490780161,830124,350
2009-08-11$6.36$6.0031.5%9.3%23.2%3.0%34.1%3.2%1.3%524.2K-45.2M-175.4K0.1913.20N/AN/A4,420840158,460124,270
2009-08-12$6.35$6.0031.6%9.3%23.5%3.2%33.5%2.9%1.5%494.5K-44.2M-173.7K0.7319.10N/AN/A10,7607,810157,310123,940
2009-08-13$6.30$6.0031.6%9.1%24.2%3.3%31.9%3.5%1.5%471.0K-40.8M-172.9K0.8420.50N/AN/A2,1201,790157,360125,350
2009-08-14$6.17$6.0032.7%9.4%26.2%5.0%31.6%3.6%1.8%329.2K-35.5M-171.0K0.4714.54N/AN/A2,2501,050156,670124,950
2009-08-17$6.11$6.0033.8%9.7%26.9%6.9%32.6%3.5%1.1%231.7K-33.0M-167.9K1.5316.95N/AN/A6601,010156,010124,690
2009-08-18$6.13$6.0033.1%9.5%26.5%5.6%33.0%3.2%1.4%221.0K-34.3M-163.9K0.5717.03N/AN/A1,7501,000156,130124,640
2009-08-19$6.27$6.0030.4%8.7%27.1%1.3%31.2%2.9%2.1%415.6K-39.6M-160.7K1.5317.13N/AN/A1,7802,720155,700124,690
2009-08-20$6.24$6.0032.0%9.2%24.8%3.9%32.8%3.8%2.0%407.5K-38.7M-153.5K1.6318.07N/AN/A6701,090155,720124,200
2009-08-21$6.20$6.0031.3%9.0%24.7%2.8%31.3%4.3%2.1%279.3K-36.7M-152.9K0.0020.22N/AN/A6000155,140124,750
2009-08-24$6.28$6.0028.9%8.3%24.1%0.0%30.3%3.3%2.6%422.0K-31.5M-151.7K1.0014.48N/AN/A930930134,220104,470
2009-08-25$6.22$6.0030.9%8.9%24.6%3.2%32.3%3.1%3.4%406.7K-29.9M-148.7K2.8712.89N/AN/A310890135,050104,980
2009-08-26$6.30$6.0028.7%8.2%24.8%0.0%29.8%2.8%2.9%429.6K-31.9M-150.3K1.1517.16N/AN/A660760134,890105,280
2009-08-27$6.25$6.0030.9%8.9%25.1%3.4%29.4%2.8%2.1%426.4K-30.8M-146.7K1.4220.06N/AN/A1,4902,120135,180105,180
2009-08-28$6.18$6.0029.7%8.5%21.8%1.6%28.1%2.9%2.5%384.1K-28.8M-146.2K0.3916.32N/AN/A1,470570135,530106,540
2009-08-31$6.17$6.0030.5%8.7%21.1%2.8%30.9%3.2%3.0%394.7K-28.3M-143.5K0.2718.59N/AN/A26070136,700106,970