MSTR Options History — November 2009

In November 2009, MSTR traded between $8.57 and $9.18. ATM implied volatility averaged 37.4%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 29.8% (HV 20d: 67.2%). Max pain ranged from $8.00 to $8.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2009-11-12: Highest Volume — 19,130 contracts
  • 2009-11-05: Largest IV drop — 7.9% change
  • 2009-11-02: Highest IV Rank — 31.6%
  • 2009-11-02: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.91$8.57$9.18$8.65$8.76
Max Pain$8.40$8.00$8.50$8.00$8.50
ATM IV37.4%32.6%43.5%43.5%34.2%
Expected Move10.7%9.3%12.5%12.5%9.8%
HV 20d67.2%31.7%71.7%71.7%31.7%
HV 60d46.9%45.6%48.0%45.6%48.0%
IV Rank21.2%13.9%31.6%31.6%17.3%
IV Percentile34.8%15.5%50.8%50.8%24.6%
Term Structure-0.1%-4.3%2.3%-4.3%1.8%
VWIV37.5%32.4%43.3%43.3%34.6%
Skew 25d2.2%1.2%3.9%1.9%2.3%
Skew 10d4.4%2.0%7.0%4.3%4.2%
Call IV 25d36.5%32.0%42.8%42.8%34.3%
Put IV 25d38.7%33.4%44.7%44.7%36.6%
Bid-Ask Spread %16.9013.4320.5916.6815.46
Gamma HHI0.190.140.230.150.20
Net GEX1.1M694.7K1.8M738.8K917.5K
Net DEX-76.8M-93.9M-62.3M-65.7M-62.9M
Net VEX-215.4K-232.4K-196.6K-229.6K-199.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.151.210.640.93
Total Volume8,961.51,15019,13015,3804,470
Total OI332,624299,360361,730323,550305,000

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$8.65$8.0043.5%12.5%71.7%31.6%43.3%1.9%-4.3%738.8K-65.7M-229.6K0.6416.68N/AN/A9,3806,000160,470163,080
2009-11-03$8.57$8.0041.5%11.9%70.0%28.0%42.0%2.0%-2.9%694.7K-62.3M-232.4K0.6014.47N/AN/A7,6204,550161,470164,540
2009-11-04$8.64$8.0041.5%11.9%68.1%28.0%40.7%1.2%-3.2%708.2K-65.2M-225.0K0.4515.69N/AN/A5,1902,360160,540165,890
2009-11-05$8.68$8.0038.2%11.0%67.3%22.1%37.7%2.5%-1.5%765.5K-67.8M-224.8K0.2713.43N/AN/A3,020820162,940165,910
2009-11-06$8.63$8.5037.8%10.6%67.5%21.4%37.0%3.9%0.3%715.7K-65.9M-223.7K0.7417.19N/AN/A7,7105,670163,340165,950
2009-11-09$9.11$8.5038.6%10.7%68.7%22.9%37.1%3.0%-0.1%1.2M-87.1M-217.4K0.5816.51N/AN/A11,8006,860168,590166,130
2009-11-10$8.83$8.5038.2%10.7%70.1%22.1%37.2%2.9%0.2%1.1M-78.3M-228.5K0.4014.45N/AN/A3,7401,490173,730169,200
2009-11-11$9.08$8.5036.4%10.6%70.3%18.9%37.2%2.8%-0.1%1.3M-87.5M-222.8K0.1517.59N/AN/A8,4901,290173,930169,360
2009-11-12$8.93$8.5036.5%10.5%70.0%19.1%36.8%1.8%0.8%1.2M-82.2M-218.5K0.7520.59N/AN/A10,9208,210175,470170,050
2009-11-13$8.99$8.5036.6%10.5%69.7%19.3%35.8%2.1%0.3%1.4M-84.9M-217.8K1.2115.36N/AN/A3,6104,350178,580172,280
2009-11-16$9.14$8.5037.8%10.8%69.7%21.3%38.5%2.0%0.0%1.6M-89.9M-211.0K0.6617.47N/AN/A7,0404,640178,820173,220
2009-11-17$9.10$8.5038.1%10.9%69.8%22.0%40.5%1.7%-0.1%1.6M-90.1M-219.1K0.6019.04N/AN/A2,7901,680182,890173,940
2009-11-18$9.18$8.5037.9%10.9%67.4%21.6%39.3%2.6%0.0%1.8M-93.9M-210.3K0.8017.67N/AN/A3,8703,110183,050174,390
2009-11-19$8.92$8.5037.9%10.9%68.8%21.6%38.0%1.5%-0.1%1.3M-81.3M-216.0K0.6518.11N/AN/A5,2303,400183,400175,310
2009-11-20$8.95$8.5036.6%10.5%68.5%19.2%37.9%1.5%0.5%1.4M-81.2M-209.7K0.8218.93N/AN/A5,2404,310185,720176,010
2009-11-23$9.14$8.5035.3%10.1%68.6%18.6%34.9%2.6%0.5%1.0M-78.0M-199.7K0.9015.22N/AN/A3,5703,210154,570144,790
2009-11-24$9.04$8.5034.6%9.9%68.7%18.0%33.5%2.2%1.0%976.5K-73.9M-203.6K0.8616.64N/AN/A4,5103,870155,650146,630
2009-11-25$9.00$8.5032.6%9.3%68.1%13.9%32.4%1.5%2.3%971.1K-72.0M-196.6K0.7119.50N/AN/A2,3701,690155,110148,200
2009-11-27$8.81$8.5033.9%9.7%68.7%16.7%34.7%2.0%1.7%928.0K-65.5M-202.4K0.2218.09N/AN/A940210156,050148,280
2009-11-30$8.76$8.5034.2%9.8%31.7%17.3%34.6%2.3%1.8%917.5K-62.9M-199.3K0.9315.46N/AN/A2,3202,150156,580148,420