MSTR Options History — July 2010

In July 2010, MSTR traded between $7.43 and $8.30. ATM implied volatility averaged 40.9%, placing in the 63.9% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 17.5% (HV 20d: 23.3%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2010-07-08: Highest Volume — 41,630 contracts
  • 2010-07-15: Largest IV spike — 57.3% change
  • 2010-07-16: Highest IV Rank — 94.0%
  • 2010-07-06: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.83$7.43$8.30$7.43$8.30
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV40.9%29.4%49.1%37.6%48.5%
Expected Move13.2%10.2%14.6%10.8%13.9%
HV 20d23.3%16.6%29.8%25.5%29.8%
HV 60d41.7%30.9%45.4%43.6%31.2%
IV Rank63.9%22.2%94.0%52.1%91.7%
IV Percentile67.0%9.5%98.8%57.5%97.6%
Term Structure-2.4%-8.1%14.4%13.3%-8.1%
VWIV45.7%35.5%50.3%37.3%50.3%
Skew 25d6.0%2.1%7.2%4.2%6.4%
Skew 10d11.1%5.6%14.3%8.8%13.8%
Call IV 25d43.9%35.5%48.0%36.8%46.9%
Put IV 25d49.9%37.5%53.6%40.9%53.3%
Bid-Ask Spread %12.727.2719.8617.4517.25
Gamma HHI0.320.250.410.300.33
Net GEX534.0K250.5K1.2M295.6K1.2M
Net DEX-6.9M-21.6M2.4M-1.4M-21.6M
Net VEX-127.8K-155.5K-92.9K-100.6K-155.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.095.260.490.32
Total Volume8,886.66793041,6301,62021,820
Total OI185,905.238122,250242,280207,300160,000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$7.43$8.0037.6%10.8%25.5%52.1%37.3%4.2%13.3%295.6K-1.4M-100.6K0.4917.45N/AN/A1,090530169,23038,070
2010-07-02$7.45$8.0035.6%10.2%21.6%44.7%35.5%2.1%14.4%282.4K-1.2M-100.5K0.9419.86N/AN/A480450169,66038,340
2010-07-06$7.46$8.0037.3%14.6%20.4%50.6%48.9%5.5%-2.4%273.1K-724.6K-94.0K0.507.30N/AN/A1,590790169,96038,340
2010-07-07$7.50$8.0034.5%14.2%19.8%40.7%47.8%5.0%-2.3%295.6K-1.0M-93.6K0.177.38N/AN/A2,260380170,92037,900
2010-07-08$7.50$8.0031.6%13.9%19.7%30.1%45.5%5.0%-2.4%312.9K-856.4K-92.9K0.098.04N/AN/A38,3703,260172,51037,930
2010-07-09$7.54$8.0031.4%14.0%16.6%29.5%47.6%6.6%-3.3%427.8K-2.8M-104.1K5.268.97N/AN/A4,03021,210181,52040,320
2010-07-12$7.72$8.0031.0%13.8%18.3%27.9%46.7%6.8%-3.3%275.6K-158.6K-127.3K0.147.27N/AN/A6,350920183,75057,170
2010-07-13$7.92$8.0031.1%13.2%20.3%28.3%45.4%6.5%-2.9%263.0K-6.8M-132.4K4.079.50N/AN/A6002,440183,66057,620
2010-07-14$7.87$8.0029.4%13.2%19.4%22.2%46.9%6.4%-3.2%250.5K-5.2M-129.5K0.2712.95N/AN/A1,550420183,82057,180
2010-07-15$7.76$8.0046.3%13.3%19.7%83.7%44.9%7.1%-3.4%320.1K-1.8M-125.2K0.5513.96N/AN/A960530184,36057,570
2010-07-16$7.57$8.0049.1%14.1%21.4%94.0%47.9%7.2%-4.4%480.3K2.4M-115.6K0.6913.94N/AN/A8,2905,720184,65057,630
2010-07-19$7.72$8.0047.8%13.7%22.8%88.9%46.9%6.1%-2.8%514.5K-5.0M-126.1K1.9816.51N/AN/A9,03017,91081,34040,910
2010-07-20$8.05$8.0044.2%12.7%27.3%75.9%45.1%6.3%-3.7%666.1K-10.6M-149.9K0.8014.87N/AN/A2,2001,76086,58051,140
2010-07-21$7.92$8.0046.1%13.2%27.1%82.8%45.3%6.3%-4.6%562.0K-8.3M-148.4K0.7315.23N/AN/A1,5901,16086,45051,890
2010-07-22$8.00$8.0045.7%13.1%27.2%81.3%43.8%6.6%-4.4%601.8K-9.3M-148.4K0.2013.79N/AN/A2,80057087,27052,870
2010-07-23$8.15$8.0044.6%12.8%25.9%77.6%43.8%6.4%-4.3%748.8K-12.8M-150.7K0.1711.79N/AN/A2,77048088,67053,100
2010-07-26$8.14$8.0047.2%13.5%26.0%86.8%50.1%6.2%-5.5%781.3K-13.5M-148.1K1.3511.72N/AN/A1,5702,12090,12053,390
2010-07-27$8.29$8.0044.4%12.7%26.5%76.7%43.9%6.7%-5.2%899.4K-16.8M-147.8K0.0914.93N/AN/A8,91081089,78054,830
2010-07-28$8.16$8.0047.1%13.5%26.9%86.5%46.6%6.3%-5.5%966.7K-15.7M-150.4K0.1911.66N/AN/A2,11041097,20055,120
2010-07-29$8.01$8.0047.7%13.7%28.0%88.8%48.8%6.5%-6.1%798.9K-10.9M-141.9K1.2012.74N/AN/A2,9003,48096,29054,950
2010-07-30$8.30$8.0048.5%13.9%29.8%91.7%50.3%6.4%-8.1%1.2M-21.6M-155.5K0.3217.25N/AN/A16,4805,340103,07056,930