MSTR Options History — December 2009 In December 2009, MSTR traded between $8.28 and $9.54. ATM implied volatility averaged 32.2%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 1.5% (HV 20d: 30.7%). Max pain ranged from $6.50 to $8.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.73.
Notable Days 2009-12-18 : Highest Volume — 31,460 contracts2009-12-10 : Largest IV spike — 9.2% change2009-12-10 : Highest IV Rank — 17.7%2009-12-09 : Largest Expected Move — 10.0%Monthly Statistics Metric Avg Min Max Open Close Price $8.97 $8.28 $9.54 $8.95 $9.40 Max Pain $6.86 $6.50 $8.50 $8.50 $7.00 ATM IV 32.2% 30.4% 34.4% 33.3% 30.4% Expected Move 9.4% 8.7% 10.0% 9.6% 8.7% HV 20d 30.7% 21.8% 37.6% 32.4% 36.3% HV 60d 48.4% 46.5% 49.8% 47.9% 48.4% IV Rank 13.2% 9.5% 17.7% 15.4% 9.5% IV Percentile 16.0% 6.0% 28.2% 19.0% 6.0% Term Structure 4.6% 2.1% 7.4% 2.1% 7.4% VWIV 33.3% 30.5% 35.7% 35.1% 30.5% Skew 25d 1.7% 0.3% 3.4% 2.1% 0.4% Skew 10d 3.4% -0.6% 5.5% 4.8% -0.6% Call IV 25d 32.6% 30.9% 34.4% 32.9% 31.3% Put IV 25d 34.4% 31.7% 36.3% 35.0% 31.7% Bid-Ask Spread % 13.61 9.11 37.33 14.91 13.21 Gamma HHI 0.22 0.19 0.28 0.20 0.22 Net GEX 997.5K 440.9K 1.3M 1.0M 1.3M Net DEX -67.9M -85.5M -43.5M -70.8M -80.1M Net VEX -167.6K -192.1K -144.5K -192.1K -144.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.10 3.55 0.82 0.81 Total Volume 5,104.091 1,340 31,460 4,030 3,380 Total OI 303,460.455 287,450 311,650 306,110 297,730
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 2009-12-01 $8.95 $8.50 33.3% 9.6% 32.4% 15.4% 35.1% 2.1% 2.1% 1.0M -70.8M -192.1K 0.82 14.91 N/A N/A 2,220 1,810 157,670 148,440 2009-12-02 $8.94 $8.50 32.4% 9.3% 32.1% 13.7% 32.6% 2.8% 2.5% 1.1M -69.5M -187.6K 0.42 16.17 N/A N/A 2,920 1,240 155,920 148,100 2009-12-03 $8.84 $8.50 32.3% 9.2% 32.4% 13.4% 32.2% 3.4% 2.8% 973.1K -64.8M -189.2K 0.14 19.79 N/A N/A 3,090 440 156,190 148,260 2009-12-04 $8.98 $6.50 30.9% 9.9% 32.8% 10.6% 35.7% 2.3% 3.5% 1.1M -70.1M -187.6K 3.55 12.32 N/A N/A 770 2,730 158,010 148,310 2009-12-07 $8.91 $6.50 31.7% 9.9% 32.9% 12.2% 34.8% 1.8% 3.3% 1.0M -67.3M -182.0K 0.85 11.65 N/A N/A 1,480 1,260 157,850 150,170 2009-12-08 $8.80 $6.50 31.1% 9.9% 26.7% 11.0% 34.6% 2.2% 3.5% 958.5K -63.6M -178.5K 0.38 13.35 N/A N/A 1,460 550 157,940 150,670 2009-12-09 $8.64 $6.50 31.5% 10.0% 25.3% 11.8% 35.0% 1.6% 3.6% 808.4K -57.0M -179.0K 0.40 11.97 N/A N/A 1,340 530 157,960 150,590 2009-12-10 $8.69 $6.50 34.4% 9.9% 23.0% 17.7% 35.5% 2.3% 4.2% 854.1K -59.3M -173.7K 0.65 11.88 N/A N/A 810 530 158,520 150,540 2009-12-11 $8.71 $6.50 33.2% 9.5% 22.4% 15.3% 33.1% 2.0% 4.9% 841.3K -60.3M -170.7K 0.49 13.29 N/A N/A 920 450 158,810 150,850 2009-12-14 $8.82 $6.50 33.2% 9.5% 22.8% 15.3% 34.0% 2.5% 4.2% 968.7K -64.2M -165.8K 1.07 11.50 N/A N/A 1,340 1,440 158,930 150,940 2009-12-15 $8.80 $6.50 32.8% 9.4% 21.8% 14.5% 33.5% 1.4% 4.9% 966.9K -64.2M -161.8K 0.19 14.06 N/A N/A 3,720 700 158,480 150,480 2009-12-16 $8.63 $6.50 33.5% 9.6% 22.7% 16.0% 34.5% 2.0% 4.5% 653.9K -56.7M -161.0K 1.32 10.58 N/A N/A 1,980 2,610 157,290 150,760 2009-12-17 $8.28 $6.50 33.2% 9.5% 26.0% 15.3% 34.4% 2.7% 4.7% 440.9K -43.5M -162.8K 0.92 12.31 N/A N/A 3,610 3,310 158,130 152,720 2009-12-18 $8.82 $6.50 33.0% 9.5% 34.1% 15.0% 34.0% 1.6% 3.4% 948.3K -63.9M -156.8K 0.74 37.33 N/A N/A 18,030 13,430 158,880 152,770 2009-12-21 $8.88 $6.50 32.0% 9.2% 34.1% 12.9% 32.7% 2.2% 5.6% 874.7K -63.1M -162.2K 0.60 11.39 N/A N/A 5,710 3,410 144,180 143,270 2009-12-22 $8.93 $6.50 32.4% 9.3% 33.3% 13.6% 32.7% 0.3% 5.9% 925.0K -65.3M -166.5K 0.28 9.11 N/A N/A 2,440 690 147,590 145,990 2009-12-23 $9.37 $6.50 30.7% 8.8% 37.2% 10.1% 31.3% 0.9% 5.9% 1.2M -79.9M -158.4K 0.45 9.27 N/A N/A 8,690 3,930 148,830 146,230 2009-12-24 $9.54 $7.00 31.0% 8.9% 37.6% 10.7% 31.0% 0.9% 6.3% 1.3M -85.5M -156.1K 0.14 10.34 N/A N/A 2,840 390 150,370 147,060 2009-12-28 $9.46 $6.50 32.5% 9.3% 36.7% 13.9% 32.2% 1.1% 5.1% 1.2M -83.1M -150.8K 0.10 12.31 N/A N/A 1,880 190 149,860 146,870 2009-12-29 $9.49 $7.00 31.6% 9.1% 36.6% 12.0% 32.1% 1.1% 6.6% 1.2M -83.0M -150.1K 0.68 12.01 N/A N/A 920 630 150,130 147,080 2009-12-30 $9.37 $7.00 31.2% 9.0% 36.4% 11.3% 31.7% 0.9% 6.3% 1.2M -78.7M -150.4K 1.15 10.76 N/A N/A 1,150 1,320 149,600 147,160 2009-12-31 $9.40 $7.00 30.4% 8.7% 36.3% 9.5% 30.5% 0.4% 7.4% 1.3M -80.1M -144.5K 0.81 13.21 N/A N/A 1,870 1,510 149,910 147,820
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