MSTR Options History — June 2010 In June 2010, MSTR traded between $7.23 and $7.92. ATM implied volatility averaged 37.7%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 4.4% (HV 20d: 33.3%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.80.
Notable Days 2010-06-29 : Highest Volume — 34,220 contracts2010-06-09 : Largest IV drop — 14.1% change2010-06-08 : Highest IV Rank — 82.6%2010-06-08 : Largest Expected Move — 13.1%Monthly Statistics Metric Avg Min Max Open Close Price $7.61 $7.23 $7.92 $7.51 $7.51 Max Pain $8.23 $7.00 $9.00 $7.00 $8.00 ATM IV 37.7% 33.5% 46.0% 43.6% 37.4% Expected Move 10.9% 9.6% 13.1% 12.5% 10.7% HV 20d 33.3% 26.3% 39.1% 39.1% 26.3% HV 60d 43.6% 43.0% 44.4% 44.2% 43.6% IV Rank 52.5% 36.9% 82.6% 73.8% 51.1% IV Percentile 59.6% 37.7% 92.9% 83.3% 57.1% Term Structure 8.2% 1.7% 12.5% 1.7% 12.5% VWIV 37.8% 33.3% 43.9% 42.0% 36.8% Skew 25d 5.1% 3.0% 7.5% 6.9% 3.7% Skew 10d 10.6% 6.1% 15.5% 15.0% 7.6% Call IV 25d 36.3% 32.4% 41.9% 40.3% 36.3% Put IV 25d 41.5% 36.4% 49.2% 47.2% 40.0% Bid-Ask Spread % 42.88 16.49 73.89 68.18 20.83 Gamma HHI 0.19 0.12 0.50 0.13 0.32 Net GEX 103.4K -78.5K 458.3K 56.7K 303.3K Net DEX 4.3M -2.3M 10.4M 7.3M -2.3M Net VEX -69.2K -102.0K -53.4K -63.8K -102.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.04 5.38 0.47 0.19 Total Volume 4,630.909 830 34,220 1,650 6,020 Total OI 175,377.273 162,500 205,830 166,090 205,830
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 2010-06-01 $7.51 $7.00 43.6% 12.5% 39.1% 73.8% 42.0% 6.9% 1.7% 56.7K 7.3M -63.8K 0.47 68.18 N/A N/A 1,120 530 126,300 39,790 2010-06-02 $7.61 $7.00 40.2% 11.5% 38.7% 61.5% 38.7% 7.5% 2.9% 108.5K 6.0M -65.3K 0.60 55.94 N/A N/A 890 530 126,600 39,820 2010-06-03 $7.75 $7.00 35.8% 10.3% 37.5% 45.3% 36.0% 5.3% 3.9% 150.9K 5.3M -64.1K 0.17 60.67 N/A N/A 2,160 360 127,160 39,770 2010-06-04 $7.46 $9.00 40.0% 11.9% 37.8% 60.5% 41.9% 6.2% 6.4% 98.2K 7.2M -62.2K 0.87 71.39 N/A N/A 1,120 970 128,610 40,100 2010-06-07 $7.32 $9.00 42.5% 12.2% 38.1% 69.7% 42.5% 7.2% 5.4% 6.3K 9.5M -55.4K 1.01 73.11 N/A N/A 1,720 1,730 128,930 40,340 2010-06-08 $7.23 $9.00 46.0% 13.1% 36.5% 82.6% 42.5% 7.3% 4.3% -21.2K 10.2M -55.5K 0.76 50.44 N/A N/A 1,260 960 129,850 41,170 2010-06-09 $7.27 $9.00 39.5% 11.8% 35.7% 58.9% 43.9% 6.7% 6.9% -40.9K 10.4M -53.4K 0.75 32.36 N/A N/A 3,740 2,790 130,290 41,500 2010-06-10 $7.50 $8.50 39.9% 11.4% 33.6% 60.4% 41.2% 7.0% 7.5% 24.5K 7.8M -57.5K 0.53 29.16 N/A N/A 2,030 1,070 132,040 42,580 2010-06-11 $7.57 $8.50 39.0% 11.2% 33.1% 57.1% 40.0% 4.6% 7.6% 106.2K 6.6M -56.9K 0.34 34.12 N/A N/A 8,430 2,830 132,650 42,170 2010-06-14 $7.58 $8.50 39.4% 11.3% 33.0% 58.4% 37.6% 4.5% 7.7% 147.5K 4.1M -70.0K 0.51 65.01 N/A N/A 1,500 760 139,090 43,520 2010-06-15 $7.74 $8.50 38.1% 10.9% 33.9% 53.9% 36.6% 5.1% 8.0% 282.9K 1.8M -70.8K 5.38 73.89 N/A N/A 130 700 140,000 43,630 2010-06-16 $7.81 $8.50 34.0% 9.8% 34.0% 38.9% 35.4% 4.8% 9.9% 403.5K 212.6K -70.1K 0.55 56.20 N/A N/A 740 410 140,060 42,610 2010-06-17 $7.86 $8.50 34.1% 9.8% 34.0% 39.2% 34.4% 4.3% 10.1% 458.3K 126.0K -67.3K 0.47 47.79 N/A N/A 1,770 840 140,150 42,680 2010-06-18 $7.85 $8.50 33.5% 9.6% 31.7% 36.9% 33.3% 4.0% 10.0% 294.7K -356.6K -68.9K 0.42 46.15 N/A N/A 620 260 140,970 42,720 2010-06-21 $7.92 $8.50 34.2% 9.8% 30.9% 39.4% 34.2% 3.0% 11.5% -78.5K 2.9M -66.8K 0.10 32.02 N/A N/A 11,370 1,080 124,230 38,270 2010-06-22 $7.77 $8.00 34.8% 10.0% 31.7% 41.6% 36.5% 3.6% 9.4% 30.4K 2.0M -81.1K 0.84 16.49 N/A N/A 1,020 860 133,550 39,080 2010-06-23 $7.77 $8.00 33.9% 9.7% 31.7% 38.3% 34.8% 4.3% 10.1% 41.6K 1.9M -82.3K 0.77 24.25 N/A N/A 690 530 134,030 39,410 2010-06-24 $7.57 $8.00 36.3% 10.4% 32.5% 47.2% 36.6% 4.1% 10.8% -407 4.1M -78.4K 1.53 18.75 N/A N/A 810 1,240 134,720 39,850 2010-06-25 $7.60 $8.00 35.1% 10.1% 28.4% 42.8% 35.1% 4.0% 11.5% -30.8K 4.4M -77.5K 0.09 26.27 N/A N/A 760 70 135,000 40,500 2010-06-28 $7.64 $8.00 35.1% 10.1% 28.0% 42.9% 35.1% 4.3% 11.7% -31.5K 3.7M -76.8K 1.30 17.37 N/A N/A 540 700 135,670 40,170 2010-06-29 $7.55 $8.00 38.1% 10.9% 26.7% 53.7% 36.2% 4.6% 10.7% -34.2K 1.9M -76.7K 0.04 22.94 N/A N/A 32,810 1,410 135,710 37,180 2010-06-30 $7.51 $8.00 37.4% 10.7% 26.3% 51.1% 36.8% 3.7% 12.5% 303.3K -2.3M -102.0K 0.19 20.83 N/A N/A 5,050 970 167,790 38,040
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