MSTR Options History — October 2009 In October 2009, MSTR traded between $6.96 and $8.73. ATM implied volatility averaged 39.3%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 1.2% (HV 20d: 38.1%). Max pain ranged from $5.50 to $8.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.10.
Notable Days 2009-10-29 : Highest Volume — 125,440 contracts2009-10-15 : Largest IV spike — 21.6% change2009-10-28 : Highest IV Rank — 31.1%2009-10-28 : Largest Expected Move — 12.9%Monthly Statistics Metric Avg Min Max Open Close Price $7.36 $6.96 $8.73 $7.05 $8.73 Max Pain $7.11 $5.50 $8.00 $5.50 $7.50 ATM IV 39.3% 33.5% 45.1% 35.4% 42.5% Expected Move 12.0% 9.6% 12.9% 10.2% 12.2% HV 20d 38.1% 28.8% 71.5% 28.8% 71.5% HV 60d 29.2% 24.7% 45.6% 24.7% 45.6% IV Rank 21.1% 11.9% 31.1% 14.9% 29.6% IV Percentile 38.0% 19.0% 56.0% 27.4% 47.2% Term Structure -4.2% -6.5% 8.2% 7.0% -3.3% VWIV 41.8% 34.1% 44.6% 35.1% 42.9% Skew 25d 3.0% 0.1% 4.7% 2.4% 0.1% Skew 10d 5.8% 0.9% 10.3% 6.0% 0.9% Call IV 25d 40.4% 33.2% 44.1% 35.0% 43.0% Put IV 25d 43.4% 36.3% 46.2% 37.4% 43.2% Bid-Ask Spread % 17.51 11.08 38.40 18.43 38.40 Gamma HHI 0.33 0.22 0.38 0.35 0.22 Net GEX 594.4K 373.7K 1.3M 654.2K 1.1M Net DEX -44.1M -98.4M -27.2M -45.2M -98.4M Net VEX -126.1K -223.9K -109.6K -125.6K -223.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.10 0.22 4.59 1.24 0.76 Total Volume 16,827.273 1,780 125,440 13,910 104,040 Total OI 250,480.455 199,740 321,550 256,610 321,550
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 2009-10-01 $7.05 $5.50 35.4% 10.2% 28.8% 14.9% 35.1% 2.4% 7.0% 654.2K -45.2M -125.6K 1.24 18.43 N/A N/A 6,210 7,700 139,620 116,990 2009-10-02 $6.96 $5.50 33.5% 9.6% 29.5% 11.9% 34.1% 3.1% 8.2% 582.9K -41.7M -126.5K 1.83 13.80 N/A N/A 630 1,150 141,730 119,470 2009-10-05 $7.11 $7.00 35.7% 12.2% 29.2% 15.3% 44.3% 4.7% -5.3% 670.9K -46.3M -124.4K 4.59 16.24 N/A N/A 2,860 13,120 141,700 120,190 2009-10-06 $7.51 $7.00 35.0% 12.0% 34.2% 14.3% 44.6% 4.2% -5.0% 697.4K -58.0M -126.5K 1.72 17.10 N/A N/A 5,260 9,060 141,440 128,820 2009-10-07 $7.24 $7.00 38.6% 12.6% 37.2% 19.8% 42.8% 3.8% -5.7% 587.6K -48.6M -133.6K 0.42 16.81 N/A N/A 3,130 1,300 142,270 130,730 2009-10-08 $7.09 $7.00 36.5% 12.4% 38.1% 16.5% 42.7% 3.9% -5.6% 530.1K -43.9M -132.6K 0.83 20.89 N/A N/A 2,750 2,280 143,180 131,100 2009-10-09 $7.20 $7.00 34.6% 12.3% 37.6% 13.6% 43.0% 4.1% -6.0% 618.3K -47.1M -127.1K 0.67 11.85 N/A N/A 2,430 1,640 142,980 130,230 2009-10-12 $7.10 $7.00 38.9% 12.6% 37.8% 20.2% 43.9% 4.2% -6.3% 568.9K -44.0M -126.2K 0.64 11.43 N/A N/A 2,660 1,700 144,080 131,090 2009-10-13 $7.04 $7.00 38.2% 12.6% 38.0% 19.1% 43.1% 3.7% -6.5% 473.6K -41.4M -125.6K 0.48 17.21 N/A N/A 3,260 1,560 144,540 131,990 2009-10-14 $7.13 $7.00 34.2% 12.4% 38.2% 12.9% 42.6% 4.1% -6.1% 528.7K -44.8M -124.8K 0.22 16.75 N/A N/A 2,870 620 146,540 132,220 2009-10-15 $7.44 $7.00 41.5% 11.9% 40.7% 24.2% 42.9% 2.5% -5.3% 1.3M -57.5M -115.4K 0.80 20.85 N/A N/A 6,250 5,000 145,980 132,440 2009-10-16 $7.37 $7.00 40.7% 11.7% 40.9% 22.9% 41.6% 2.2% -4.8% 681.1K -51.9M -115.2K 0.85 22.21 N/A N/A 4,030 3,440 145,960 135,970 2009-10-19 $7.49 $7.00 41.1% 11.8% 34.5% 23.6% 40.8% 3.3% -5.3% 495.7K -36.4M -109.6K 0.57 21.57 N/A N/A 3,530 2,010 108,040 91,700 2009-10-20 $7.48 $7.00 40.4% 11.6% 34.2% 22.4% 40.0% 2.5% -4.3% 499.7K -35.6M -110.6K 2.73 11.35 N/A N/A 1,800 4,910 109,400 92,610 2009-10-21 $7.20 $8.00 42.0% 12.0% 36.6% 25.0% 41.4% 1.9% -4.9% 373.7K -27.2M -115.3K 0.60 11.08 N/A N/A 4,440 2,680 110,300 96,900 2009-10-22 $7.36 $7.50 39.8% 11.4% 37.4% 21.5% 40.5% 3.5% -4.3% 412.7K -30.8M -115.5K 1.95 14.79 N/A N/A 2,790 5,430 111,950 98,120 2009-10-23 $7.57 $7.50 41.4% 11.9% 38.4% 24.1% 40.7% 1.9% -4.6% 400.2K -35.8M -115.3K 0.22 12.22 N/A N/A 9,080 2,040 113,070 102,480 2009-10-26 $7.59 $7.50 42.8% 12.3% 38.4% 26.2% 42.6% 2.8% -5.2% 506.2K -37.1M -117.9K 0.51 18.36 N/A N/A 3,490 1,790 118,840 103,520 2009-10-27 $7.54 $8.00 43.2% 12.4% 38.5% 26.8% 42.8% 2.3% -5.6% 501.9K -35.7M -118.5K 1.07 18.33 N/A N/A 1,260 1,350 119,080 103,760 2009-10-28 $7.39 $7.50 45.1% 12.9% 39.3% 31.1% 43.9% 2.1% -6.5% 461.3K -32.0M -121.2K 0.98 15.97 N/A N/A 1,620 1,590 119,600 103,960 2009-10-29 $7.34 $8.00 43.3% 12.4% 38.9% 28.0% 43.7% 2.1% -6.1% 462.2K -30.2M -121.9K 0.61 19.54 N/A N/A 77,950 47,490 120,140 104,290 2009-10-30 $8.73 $7.50 42.5% 12.2% 71.5% 29.6% 42.9% 0.1% -3.3% 1.1M -98.4M -223.9K 0.76 38.40 N/A N/A 59,230 44,810 176,870 144,680
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