MSTR Options History — May 2010

In May 2010, MSTR traded between $6.88 and $7.83. ATM implied volatility averaged 41.9%, placing in the 65.5% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 21.7% (HV 20d: 63.6%). Max pain ranged from $7.00 to $8.50. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2010-05-03: Highest Volume — 16,810 contracts
  • 2010-05-20: Largest IV spike — 18.3% change
  • 2010-05-20: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.51$6.88$7.83$7.61$7.71
Max Pain$7.42$7.00$8.50$8.50$7.00
ATM IV41.9%36.0%50.8%38.2%38.5%
Expected Move12.0%10.5%14.6%11.0%11.0%
HV 20d63.6%38.0%68.8%60.0%38.0%
HV 60d42.7%40.7%44.2%40.7%44.2%
IV Rank65.5%35.6%100.0%35.6%55.3%
IV Percentile79.2%58.7%100.0%70.2%67.5%
Term Structure0.6%-1.4%3.1%0.5%3.1%
VWIV42.1%36.8%51.1%39.5%39.5%
Skew 25d6.1%2.9%9.3%3.2%5.2%
Skew 10d12.3%4.6%24.9%9.5%11.3%
Call IV 25d39.5%35.0%48.6%37.6%36.8%
Put IV 25d45.6%40.8%56.1%40.8%42.0%
Bid-Ask Spread %36.8015.9468.4424.6942.11
Gamma HHI0.160.120.200.190.16
Net GEX-83.2K-299.2K167.3K-299.2K167.3K
Net DEX9.6M3.8M17.6M12.8M3.8M
Net VEX-69.9K-78.1K-60.3K-69.4K-71.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.083.201.271.42
Total Volume4,829.556016,81016,8102,830
Total OI175,978159,060186,100166,260164,900

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$7.61$8.5038.2%11.0%60.0%35.6%39.5%3.2%0.5%-299.2K12.8M-69.4K1.2724.69N/AN/A7,3909,420119,88046,380
2010-05-04$7.46$8.0039.5%11.3%60.1%38.7%41.2%3.8%1.0%-260.2K13.0M-74.1K0.4315.94N/AN/A7,4703,210124,06048,310
2010-05-05$7.25$8.0042.9%12.3%60.5%46.7%41.7%2.9%-0.6%-263.6K15.1M-68.2K0.7537.56N/AN/A2,8902,170129,51047,510
2010-05-06$6.99$8.0041.4%11.9%61.2%68.3%39.7%3.0%-1.1%-263.6K17.6M-60.3K0.6168.44N/AN/A3,7602,300131,75047,660
2010-05-07$6.88$7.0044.3%12.5%61.2%79.0%43.2%4.2%0.8%-230.3K17.2M-62.5K0.6535.77N/AN/A3,5802,310134,17047,630
2010-05-10$7.13$7.0043.2%12.0%63.3%74.9%42.0%3.7%-0.4%-245.4K15.8M-64.7K1.2344.73N/AN/A750920134,17047,630
2010-05-11$7.29$7.0036.0%10.9%64.1%47.6%38.3%4.9%1.0%-233.9K14.0M-64.1K0.4920.14N/AN/A2,8301,390134,34047,540
2010-05-12$7.62$7.0037.2%11.1%66.6%52.2%36.8%7.9%-0.6%-124.9K9.0M-73.2K0.3941.05N/AN/A1,900740135,37048,170
2010-05-13$7.76$7.0038.3%11.0%67.2%56.3%41.3%6.5%0.4%-64.9K6.5M-78.1K0.4620.96N/AN/A4,5402,100134,33048,300
2010-05-14$7.71$7.0042.9%12.3%67.2%73.7%37.8%7.3%-0.8%-88.3K7.5M-75.1K1.2135.60N/AN/A580700133,98048,730
2010-05-17$7.74$7.0043.0%12.3%67.2%74.4%40.3%8.2%0.4%-67.1K6.8M-73.4K1.1632.79N/AN/A9301,080134,17048,740
2010-05-18$7.71$7.5043.7%12.5%65.9%76.8%44.4%6.7%1.0%-83.6K7.1M-71.6K0.9638.86N/AN/A900860134,34048,940
2010-05-19$7.71$7.5043.0%12.3%65.8%74.0%39.8%6.9%0.1%-54.0K7.4M-69.9K0.0837.96N/AN/A5,010410134,13048,810
2010-05-20$7.47$7.5050.8%14.6%66.3%100.0%51.1%7.4%-1.4%-28.4K8.6M-73.8K1.1533.46N/AN/A1,2201,400137,54048,560
2010-05-21$7.64$7.5044.4%12.7%67.1%76.7%46.6%9.1%2.5%74.4K6.8M-70.9K3.2043.14N/AN/A2,2307,130137,29048,290
2010-05-24$7.60$7.5044.8%12.8%66.9%78.1%46.1%8.4%1.0%88.4K6.0M-69.8K0.8340.20N/AN/A1,7901,480121,73037,330
2010-05-25$7.61$7.5045.3%13.0%67.0%80.0%49.2%9.3%0.6%97.2K5.9M-70.7K1.0743.86N/AN/A270290122,61038,120
2010-05-26$7.50$7.5043.7%12.5%66.8%74.0%44.8%6.4%0.7%59.1K7.0M-66.3K0.7935.39N/AN/A2,1701,720122,76038,260
2010-05-27$7.83$7.5036.5%10.5%68.8%47.9%38.7%6.6%2.8%157.2K4.1M-70.8K0.1543.35N/AN/A3,420500124,45039,170
2010-05-28$7.71$7.0038.5%11.0%38.0%55.3%39.5%5.2%3.1%167.3K3.8M-71.3K1.4242.11N/AN/A1,1701,660125,74039,160