MSTR Options History — January 2010

In January 2010, MSTR traded between $9.08 and $10.51. ATM implied volatility averaged 42.5%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 5.7% (HV 20d: 48.2%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.86.

Notable Days

  • 2010-01-13: Highest Volume — 179,020 contracts
  • 2010-01-11: Largest IV spike — 13.4% change
  • 2010-01-29: Highest IV Rank — 57.6%
  • 2010-01-26: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.75$9.08$10.51$9.62$9.37
Max Pain$9.42$9.00$10.00$9.00$10.00
ATM IV42.5%32.5%49.2%33.3%48.4%
Expected Move12.8%11.1%14.1%11.2%13.9%
HV 20d48.2%36.6%55.5%36.6%51.4%
HV 60d50.0%40.1%53.3%47.9%40.2%
IV Rank37.1%13.8%57.6%15.6%57.6%
IV Percentile64.6%20.6%86.9%26.6%86.9%
Term Structure-4.9%-7.1%-2.4%-2.4%-6.1%
VWIV44.7%38.9%49.2%39.6%49.2%
Skew 25d1.6%0.4%2.7%2.1%1.7%
Skew 10d3.2%1.4%5.1%5.1%2.6%
Call IV 25d44.1%38.2%48.1%38.5%48.1%
Put IV 25d45.7%40.6%49.8%40.6%49.8%
Bid-Ask Spread %20.1912.6442.4517.7128.08
Gamma HHI0.230.180.290.210.18
Net GEX1.3M818.8K2.7M1.4M818.8K
Net DEX-62.2M-112.7M-19.0M-87.2M-19.0M
Net VEX-200.2K-317.8K-135.2K-138.7K-217.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.093.330.620.51
Total Volume18,095.7892,300179,0202,6806,790
Total OI267,959.474188,180409,470299,160211,790

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$9.62$9.0033.3%11.2%36.6%15.6%39.6%2.1%-2.4%1.4M-87.2M-138.7K0.6217.71N/AN/A1,6501,030151,180147,980
2010-01-05$9.78$9.0032.5%11.1%36.7%13.8%38.9%2.6%-2.9%1.5M-93.4M-135.2K0.2721.81N/AN/A9,0702,490152,000148,570
2010-01-06$9.63$9.0033.4%11.6%37.1%15.7%39.9%1.7%-3.5%1.6M-89.2M-140.9K1.7613.54N/AN/A3,7306,580156,720149,220
2010-01-07$9.25$9.0034.5%11.6%40.0%18.0%39.4%2.6%-3.4%1.3M-76.1M-152.1K2.2214.84N/AN/A4,2909,510157,700152,870
2010-01-08$9.50$9.5033.0%11.6%40.1%14.8%40.5%1.8%-3.7%1.4M-81.9M-155.4K0.8613.32N/AN/A3,6603,160158,810156,750
2010-01-11$9.08$9.0037.4%11.9%43.9%23.9%42.9%1.6%-4.1%1.1M-66.9M-152.6K3.3316.38N/AN/A1,8506,160159,800157,270
2010-01-12$9.96$9.0041.0%12.2%54.3%31.5%42.7%0.4%-5.7%1.7M-101.2M-142.0K0.3522.31N/AN/A18,3906,480160,460159,230
2010-01-13$9.81$9.0044.1%12.5%54.8%38.0%44.3%0.6%-5.7%1.9M-96.6M-146.1K0.0926.65N/AN/A164,66014,360166,410160,900
2010-01-14$9.91$9.5043.6%12.5%54.8%36.8%44.4%2.7%-5.9%2.7M-111.5M-247.8K0.9419.23N/AN/A3,2803,070226,240165,520
2010-01-15$10.36$9.5046.2%13.2%55.5%42.1%46.9%0.7%-7.1%1.7M-112.7M-317.8K0.7742.45N/AN/A13,60010,440242,510166,960
2010-01-19$10.51$9.5046.4%13.3%52.3%42.5%46.6%0.9%-4.7%1.3M-45.8M-255.5K0.3916.96N/AN/A5,1702,040117,88070,300
2010-01-20$10.24$9.5047.0%13.5%50.2%43.8%47.6%1.5%-5.2%1.2M-39.9M-248.6K1.2115.05N/AN/A2,0402,460119,73071,040
2010-01-21$9.95$9.5047.3%13.6%51.9%44.5%47.7%0.9%-4.9%1.1M-33.2M-235.3K0.3112.64N/AN/A4,7201,460120,50072,210
2010-01-22$9.70$9.5047.8%13.7%53.0%45.5%47.3%1.4%-4.9%970.1K-27.8M-225.9K0.3512.85N/AN/A6,5002,280123,10073,100
2010-01-25$9.55$10.0048.3%13.8%50.9%54.7%48.3%1.7%-5.9%871.3K-23.4M-215.9K0.7022.33N/AN/A2,8301,970124,34074,240
2010-01-26$9.73$10.0049.2%14.1%50.9%56.9%48.9%1.7%-5.8%981.4K-27.9M-224.5K0.6222.56N/AN/A3,3202,070125,78075,020
2010-01-27$9.68$9.5047.1%13.5%50.9%53.7%46.7%1.8%-5.1%961.8K-26.4M-224.5K0.7424.22N/AN/A5,9904,420127,79076,160
2010-01-28$9.55$10.0047.9%13.7%51.2%56.1%47.9%1.9%-5.7%914.0K-22.4M-227.4K0.3420.76N/AN/A1,710590131,62079,530
2010-01-29$9.37$10.0048.4%13.9%51.4%57.6%49.2%1.7%-6.1%818.8K-19.0M-217.5K0.5128.08N/AN/A4,4902,300132,08079,710