MSTR Options History — February 2010

In February 2010, MSTR traded between $7.90 and $9.66. ATM implied volatility averaged 39.3%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 35.4% (HV 20d: 74.7%). Max pain ranged from $8.50 to $9.50. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.11.

Notable Days

  • 2010-02-04: Highest Volume — 68,580 contracts
  • 2010-02-09: Largest IV drop — 12.3% change
  • 2010-02-03: Highest IV Rank — 61.1%
  • 2010-02-03: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.63$7.90$9.66$9.44$8.86
Max Pain$8.79$8.50$9.50$9.50$8.50
ATM IV39.3%30.0%49.8%48.9%30.0%
Expected Move11.5%8.6%14.3%14.0%8.6%
HV 20d74.7%50.8%87.6%51.5%75.7%
HV 60d53.9%40.2%57.9%40.2%56.1%
IV Rank34.4%10.7%61.1%58.6%10.7%
IV Percentile53.2%5.2%89.3%87.3%5.2%
Term Structure-0.5%-7.2%2.5%-6.7%1.5%
VWIV40.7%31.9%49.9%49.6%32.0%
Skew 25d3.6%0.4%6.6%2.7%2.9%
Skew 10d7.2%1.1%11.2%5.6%5.6%
Call IV 25d38.5%29.8%49.7%48.4%29.8%
Put IV 25d42.1%32.6%51.1%51.1%32.6%
Bid-Ask Spread %32.4020.1850.4624.5020.18
Gamma HHI0.170.130.240.170.13
Net GEX562.9K-253.4K1.1M832.6K645.5K
Net DEX-3.7M-26.1M16.1M-18.6M-10.4M
Net VEX-160.6K-221.9K-129.1K-217.1K-143.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.134.400.441.44
Total Volume9,160.52657068,5805,6203,420
Total OI247,305.789208,230283,620214,610215,440

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$9.44$9.5048.9%14.0%51.5%58.6%49.6%2.7%-6.7%832.6K-18.6M-217.1K0.4424.50N/AN/A3,9001,720133,86080,750
2010-02-02$9.47$9.5049.0%14.1%50.8%59.1%49.8%1.8%-7.0%919.1K-20.5M-215.0K0.1630.18N/AN/A2,320360135,66080,840
2010-02-03$9.66$9.5049.8%14.3%51.0%61.1%49.9%0.4%-7.2%1.1M-26.1M-221.9K0.2831.99N/AN/A5,8701,670135,71080,910
2010-02-04$7.90$9.5046.0%13.2%87.6%51.3%46.4%2.7%-1.2%-85.6K12.7M-137.8K0.7642.73N/AN/A39,07029,510138,34081,600
2010-02-05$7.91$9.5043.0%12.9%86.9%43.7%44.1%4.6%-1.4%-253.4K16.1M-156.1K0.7933.62N/AN/A5,8404,620161,000101,380
2010-02-08$8.13$9.0044.4%12.7%86.9%47.3%44.4%6.6%0.7%-17.5K10.7M-157.1K1.4333.57N/AN/A5,6007,980162,690103,430
2010-02-09$8.24$8.5038.9%12.3%86.0%33.4%43.0%5.9%1.4%154.1K7.0M-164.4K0.9028.54N/AN/A4,1203,690166,310107,770
2010-02-10$8.40$8.5035.6%11.8%78.7%24.9%41.2%4.5%0.3%371.4K2.6M-165.0K0.8950.46N/AN/A4,9304,400167,630109,470
2010-02-11$8.45$8.5039.2%11.2%78.8%34.1%39.9%3.9%1.4%617.1K539.6K-167.6K0.3237.80N/AN/A5,5101,740168,410112,300
2010-02-12$8.48$8.5039.0%11.2%78.6%33.5%39.6%3.7%0.8%704.8K556.0K-162.6K0.4032.21N/AN/A2,8601,150169,560113,020
2010-02-16$8.61$8.5040.1%11.5%76.7%36.4%40.9%4.7%1.1%1.1M-5.0M-162.9K1.4828.65N/AN/A2,4603,640169,810112,730
2010-02-17$8.60$8.5038.8%11.1%76.3%33.0%37.7%4.1%0.1%1.1M-5.0M-159.2K0.7231.72N/AN/A1,100790170,610112,550
2010-02-18$8.50$8.5037.8%10.8%76.1%30.5%41.9%4.6%0.9%760.4K-3.6M-145.7K2.9526.43N/AN/A1,7205,070170,570109,830
2010-02-19$8.57$8.5035.3%10.1%75.9%24.2%35.8%3.2%0.1%923.7K-7.5M-141.6K1.1849.52N/AN/A3,6904,340170,970112,650
2010-02-22$8.64$8.5033.5%9.6%75.8%19.6%35.4%4.0%1.6%452.7K-5.6M-139.7K0.5625.65N/AN/A2,4601,370125,35082,880
2010-02-23$8.61$8.5033.9%9.7%75.7%20.7%35.7%3.8%0.8%445.0K-4.9M-133.1K4.4028.70N/AN/A5502,420127,22083,080
2010-02-24$8.72$8.5032.3%9.3%75.4%16.7%34.4%2.3%1.0%442.9K-6.5M-132.3K1.8526.66N/AN/A200370127,37084,760
2010-02-25$8.72$8.5031.8%9.1%75.5%15.3%31.9%3.0%2.5%515.9K-7.0M-129.1K0.1332.51N/AN/A3,190400127,36084,990
2010-02-26$8.86$8.5030.0%8.6%75.7%10.7%32.0%2.9%1.5%645.5K-10.4M-143.1K1.4420.18N/AN/A1,4002,020130,32085,120