MSTR Options History — September 2009

In September 2009, MSTR traded between $6.26 and $7.28. ATM implied volatility averaged 30.8%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 8.6% (HV 20d: 22.2%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2009-09-21: Highest Volume — 27,340 contracts
  • 2009-09-08: Largest IV spike — 10.7% change
  • 2009-09-28: Highest IV Rank — 14.2%
  • 2009-09-28: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.81$6.26$7.28$6.26$7.15
Max Pain$5.19$5.00$6.00$6.00$5.50
ATM IV30.8%25.8%35.0%28.8%34.6%
Expected Move8.9%7.7%10.0%8.3%9.9%
HV 20d22.2%16.6%28.5%16.6%27.8%
HV 60d27.8%24.4%30.7%30.4%24.4%
IV Rank7.2%0.0%14.2%0.1%13.5%
IV Percentile9.4%0.0%24.6%0.4%23.8%
Term Structure6.1%2.6%8.7%2.6%6.5%
VWIV31.2%27.2%34.9%29.2%34.6%
Skew 25d3.4%1.3%5.9%1.3%3.2%
Skew 10d7.2%3.3%16.7%3.3%4.1%
Call IV 25d29.8%23.6%33.1%29.4%32.5%
Put IV 25d33.2%29.5%36.7%30.8%35.7%
Bid-Ask Spread %14.288.9821.5121.5110.15
Gamma HHI0.340.260.460.260.37
Net GEX635.7K432.0K755.2K432.0K739.8K
Net DEX-44.2M-53.0M-31.3M-31.3M-48.5M
Net VEX-127.9K-139.7K-113.2K-138.8K-124.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.046.560.081.67
Total Volume4,504.76272027,3408204,270
Total OI249,728.095233,260257,450243,830255,500

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$6.26$6.0028.8%8.3%16.6%0.1%29.2%1.3%2.6%432.0K-31.3M-138.8K0.0821.51N/AN/A76060136,800107,030
2009-09-02$6.30$6.0028.0%8.0%16.8%0.0%28.9%5.0%3.1%465.1K-32.9M-139.7K1.0316.10N/AN/A1,1501,190136,880107,080
2009-09-03$6.35$6.0026.9%7.7%16.9%0.0%27.2%5.9%3.9%507.7K-34.1M-138.7K0.6715.15N/AN/A480320137,300107,830
2009-09-04$6.52$5.0025.8%8.6%19.1%0.0%30.3%3.3%6.2%592.7K-39.1M-133.4K0.4010.75N/AN/A2,7201,090137,410108,040
2009-09-08$6.59$5.0028.5%8.8%19.4%4.2%30.4%3.5%5.8%626.1K-41.4M-130.1K6.5614.95N/AN/A7905,180138,410108,860
2009-09-09$6.55$5.0029.4%8.9%19.6%5.6%30.5%3.9%5.8%590.2K-39.7M-135.6K0.4714.31N/AN/A3,3301,550138,550111,500
2009-09-10$6.50$5.0031.1%8.9%19.8%8.1%30.4%3.4%5.3%579.4K-37.4M-134.9K1.2015.58N/AN/A440530138,490112,770
2009-09-11$6.66$5.0030.0%8.6%21.0%6.6%28.8%3.0%6.1%619.1K-42.8M-130.0K0.7411.58N/AN/A1,6501,220138,490112,940
2009-09-14$6.76$5.0029.4%8.4%19.6%5.6%30.3%3.2%5.9%630.2K-46.0M-124.8K0.2713.45N/AN/A4,7401,270139,100113,080
2009-09-15$6.75$5.0029.0%8.3%18.9%4.9%30.5%3.3%6.2%694.5K-45.7M-125.9K0.0613.95N/AN/A68040141,050113,180
2009-09-16$6.78$5.0029.2%8.4%18.9%5.2%30.1%3.6%5.8%707.9K-46.6M-123.1K1.8517.74N/AN/A1,8203,360141,110113,180
2009-09-17$6.74$5.0030.9%8.9%18.1%7.9%29.6%3.3%5.4%551.0K-46.1M-123.6K0.0413.48N/AN/A1,28050142,260114,730
2009-09-18$6.72$5.0030.9%8.9%18.0%7.9%29.5%3.0%5.3%516.2K-45.3M-121.2K0.1213.89N/AN/A3,930470142,750114,700
2009-09-21$7.17$5.0033.3%9.6%27.8%11.6%33.0%2.4%7.2%631.4K-50.8M-113.2K0.7014.65N/AN/A16,08011,260128,630104,630
2009-09-22$7.28$5.0031.5%9.0%27.8%8.7%32.2%3.3%8.2%754.4K-53.0M-125.8K0.6812.84N/AN/A1,5301,040136,920110,200
2009-09-23$7.15$5.0034.4%9.9%28.5%13.3%34.9%2.9%7.3%743.8K-49.7M-125.2K1.6313.40N/AN/A2,6504,310137,430109,580
2009-09-24$7.19$5.0033.0%9.5%28.4%11.1%33.8%3.3%8.6%743.1K-50.3M-127.2K2.6915.36N/AN/A6501,750138,410111,970
2009-09-25$7.13$5.0032.8%9.4%28.4%10.7%32.5%3.1%8.7%720.4K-48.2M-126.6K1.2317.46N/AN/A9201,130138,420112,960
2009-09-28$7.16$5.0035.0%10.0%27.6%14.2%34.4%3.8%7.5%750.1K-49.6M-121.6K1.2514.62N/AN/A2,2902,860139,090113,640
2009-09-29$7.19$5.5034.1%9.8%27.5%12.9%34.0%3.5%7.6%755.2K-49.9M-123.1K1.838.98N/AN/A1,3302,430138,590114,800
2009-09-30$7.15$5.5034.6%9.9%27.8%13.5%34.6%3.2%6.5%739.8K-48.5M-124.5K1.6710.15N/AN/A1,6002,670139,300116,200