MSTR Options History — April 2010

In April 2010, MSTR traded between $7.66 and $9.00. ATM implied volatility averaged 36.6%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 14.7% (HV 20d: 21.9%). Max pain ranged from $8.50 to $8.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 3.32.

Notable Days

  • 2010-04-30: Highest Volume — 33,190 contracts
  • 2010-04-15: Largest IV spike — 88.7% change
  • 2010-04-27: Highest IV Rank — 54.8%
  • 2010-04-27: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.59$7.66$9.00$8.55$7.66
Max Pain$8.50$8.50$8.50$8.50$8.50
ATM IV36.6%23.4%46.3%28.7%37.8%
Expected Move12.4%8.2%13.3%8.2%10.8%
HV 20d21.9%12.3%60.1%31.2%60.1%
HV 60d50.2%47.7%57.8%55.0%57.8%
IV Rank29.8%0.0%54.8%7.3%34.7%
IV Percentile49.1%0.0%92.5%2.8%67.1%
Term Structure-3.4%-6.0%15.0%15.0%-0.3%
VWIV45.3%29.1%51.1%29.1%38.4%
Skew 25d5.0%3.1%6.2%3.1%4.0%
Skew 10d10.4%5.6%12.2%5.6%8.3%
Call IV 25d41.5%27.5%45.5%27.5%36.1%
Put IV 25d46.5%30.6%49.8%30.6%40.1%
Bid-Ask Spread %16.417.8050.0750.0735.84
Gamma HHI0.170.140.240.160.21
Net GEX340.2K-309.5K686.9K578.5K-309.5K
Net DEX894.3K-4.9M13.4M-689.3K13.4M
Net VEX-95.8K-115.9K-63.7K-115.9K-63.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.320.1019.670.311.01
Total Volume4,22062033,1901,27033,190
Total OI188,133.333133,090229,770225,450152,880

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$8.55$8.5028.7%8.2%31.2%7.3%29.1%3.1%15.0%578.5K-689.3K-115.9K0.3150.07N/AN/A970300135,61089,840
2010-04-05$8.58$8.5029.9%12.9%29.9%10.5%49.2%6.1%-4.2%595.5K-977.5K-109.4K0.249.18N/AN/A1,530360136,16090,030
2010-04-06$8.59$8.5028.9%12.8%23.1%7.9%51.1%6.2%-3.8%669.9K-1.8M-111.4K12.828.72N/AN/A1101,410136,04089,750
2010-04-07$8.63$8.5029.0%12.9%22.6%8.3%47.1%5.5%-4.4%686.9K-2.2M-108.4K1.819.52N/AN/A1,1102,010136,01090,360
2010-04-08$8.60$8.5027.4%12.8%22.2%4.1%46.8%6.1%-4.0%625.2K-1.3M-100.7K0.607.80N/AN/A820490136,01090,360
2010-04-09$8.55$8.5025.3%12.6%22.3%0.0%45.3%5.6%-3.6%592.2K74.6K-101.2K19.679.17N/AN/A30590137,05092,490
2010-04-12$8.44$8.5026.0%12.9%22.3%2.0%48.2%5.4%-4.7%379.6K2.9M-92.0K2.438.90N/AN/A9102,210137,05092,700
2010-04-13$8.49$8.5024.5%12.6%22.4%0.0%43.8%5.7%-3.6%366.6K1.8M-91.0K1.0811.66N/AN/A370400137,03092,190
2010-04-14$8.52$8.5023.4%12.8%22.4%0.0%48.9%5.8%-4.6%405.1K495.8K-90.8K4.049.41N/AN/A230930136,95091,980
2010-04-15$8.47$8.5044.0%12.6%22.3%49.5%46.0%4.9%-4.5%450.8K1.8M-88.5K1.319.21N/AN/A8101,060137,09092,680
2010-04-16$8.43$8.5043.3%12.4%22.1%47.7%45.3%5.3%-4.5%474.1K4.6M-83.8K13.5913.01N/AN/A1702,310137,18092,590
2010-04-19$8.39$8.5043.0%12.3%12.3%47.1%43.1%5.1%-3.4%26.5K4.3M-81.3K0.4811.29N/AN/A2,1701,05099,29033,800
2010-04-20$8.67$8.5042.9%12.3%17.6%46.8%45.8%5.4%-3.3%99.7K2.0M-85.7K0.7015.19N/AN/A4,4903,140101,08034,410
2010-04-21$8.72$8.5043.6%12.5%17.7%48.5%45.0%4.9%-4.8%156.5K851.5K-89.9K5.4715.64N/AN/A6003,280103,60036,430
2010-04-22$8.75$8.5044.5%12.8%16.1%50.7%43.2%4.8%-4.4%135.3K906.7K-94.9K0.2616.20N/AN/A5,8901,560103,43038,750
2010-04-23$8.78$8.5042.6%12.2%15.3%46.1%45.6%4.7%-4.2%167.9K260.7K-98.0K0.6620.29N/AN/A2,5201,660104,68039,960
2010-04-26$8.84$8.5045.2%13.0%14.1%52.3%47.6%4.4%-5.9%210.2K-741.0K-99.2K0.2519.47N/AN/A510130105,88041,170
2010-04-27$8.79$8.5046.3%13.3%14.3%54.8%47.4%4.3%-6.0%197.2K-423.5K-99.8K0.1020.25N/AN/A2,080210106,07041,180
2010-04-28$8.87$8.5045.6%13.1%14.5%53.2%46.1%3.5%-5.7%247.3K-1.6M-102.0K0.2718.77N/AN/A3,9601,050107,42041,240
2010-04-29$9.00$8.5046.1%13.2%14.9%54.3%47.5%3.6%-5.9%388.4K-4.9M-104.2K2.6425.05N/AN/A5501,450110,78041,600
2010-04-30$7.66$8.5037.8%10.8%60.1%34.7%38.4%4.0%-0.3%-309.5K13.4M-63.7K1.0135.84N/AN/A16,53016,660110,77042,110