MSTR Options History — August 2010

In August 2010, MSTR traded between $7.36 and $8.44. ATM implied volatility averaged 32.4%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 2.2% (HV 20d: 34.6%). Max pain ranged from $8.00 to $8.50. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2010-08-03: Highest Volume — 31,960 contracts
  • 2010-08-03: Largest IV drop — 33.4% change
  • 2010-08-02: Highest IV Rank — 100.0%
  • 2010-08-02: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.70$7.36$8.44$8.44$7.79
Max Pain$8.05$8.00$8.50$8.00$8.00
ATM IV32.4%28.9%51.8%51.8%31.2%
Expected Move9.4%8.5%14.8%14.8%9.0%
HV 20d34.6%19.4%39.7%30.0%19.4%
HV 60d30.3%27.3%33.0%30.3%27.3%
IV Rank31.7%19.7%100.0%100.0%27.7%
IV Percentile26.1%6.7%100.0%100.0%20.2%
Term Structure2.0%-10.2%4.5%-10.2%2.7%
VWIV32.7%29.1%53.5%53.5%32.8%
Skew 25d3.9%2.4%7.3%7.3%2.4%
Skew 10d8.8%5.2%13.6%13.6%5.2%
Call IV 25d31.4%28.5%49.7%49.7%31.3%
Put IV 25d35.3%32.9%57.0%57.0%33.7%
Bid-Ask Spread %29.0012.3645.6412.3625.31
Gamma HHI0.200.160.320.320.18
Net GEX16.5K-439.0K1.3M1.3M-174.4K
Net DEX5.0M-28.1M18.8M-28.1M2.4M
Net VEX-111.2K-153.9K-99.0K-153.9K-100.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.174.030.594.03
Total Volume6,200.90912031,96011,34015,630
Total OI162,389.091111,330192,580163,720116,120

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$8.44$8.0051.8%14.8%30.0%100.0%53.5%7.3%-10.2%1.3M-28.1M-153.9K0.5912.36N/AN/A7,1404,200104,60059,120
2010-08-03$7.93$8.0034.5%9.9%38.7%39.2%34.8%2.6%-0.7%802.6K-6.0M-128.1K0.2524.53N/AN/A25,5606,400108,58060,670
2010-08-04$7.91$8.0031.6%9.0%38.7%28.9%32.6%3.6%1.2%935.3K-5.6M-131.6K0.5222.66N/AN/A2,7001,410119,29063,010
2010-08-05$7.74$8.0032.4%9.3%39.7%31.8%31.5%2.9%1.4%365.0K2.9M-117.0K2.1326.51N/AN/A5,95012,670107,08062,400
2010-08-06$7.74$8.5029.6%9.5%39.7%22.0%31.9%4.2%1.4%237.5K5.1M-124.9K0.1723.27N/AN/A6,7801,140110,65072,470
2010-08-09$7.74$8.5031.1%9.2%38.8%27.3%31.4%3.7%2.7%246.9K4.8M-121.1K1.5730.52N/AN/A3,0004,700112,86072,570
2010-08-10$7.62$8.0028.9%9.1%38.0%19.7%30.5%3.6%4.5%-86.7K10.2M-117.7K1.0332.60N/AN/A3,4503,570112,93075,160
2010-08-11$7.51$8.0030.1%9.3%38.2%23.8%33.2%3.9%2.5%-189.1K12.9M-115.0K0.9833.08N/AN/A1,9801,950115,19075,270
2010-08-12$7.46$8.0031.8%9.1%38.0%29.6%31.4%4.4%3.1%-293.9K15.3M-110.3K0.4037.40N/AN/A810320115,51075,830
2010-08-13$7.43$8.0032.0%9.2%37.0%30.3%0.0%3.5%2.9%-320.3K15.6M-107.6K3.1732.85N/AN/A120380115,88075,420
2010-08-16$7.36$8.0032.6%9.3%36.3%32.6%33.2%4.4%2.9%-439.0K18.8M-99.0K0.3334.02N/AN/A2,220730115,87075,070
2010-08-17$7.59$8.0031.0%8.9%34.7%26.8%30.7%4.3%3.7%-191.5K12.0M-104.3K0.8630.80N/AN/A1,2901,110117,43075,150
2010-08-18$7.59$8.0030.6%8.8%34.3%25.7%30.7%4.1%3.1%-235.6K11.0M-104.4K3.1238.13N/AN/A5101,590117,12075,250
2010-08-19$7.59$8.0033.0%9.5%34.1%33.9%30.7%4.8%1.6%-285.3K11.0M-103.5K0.9845.64N/AN/A1,9601,930117,11075,040
2010-08-20$7.69$8.0031.0%8.9%33.7%27.0%30.0%4.6%2.8%-217.5K7.7M-101.1K0.2143.30N/AN/A2,210470116,80074,630
2010-08-23$7.69$8.0031.2%8.9%33.7%27.5%29.1%4.2%3.5%-195.7K3.5M-100.2K0.6222.84N/AN/A1,8101,12056,35054,980
2010-08-24$7.62$8.0033.3%9.5%32.8%34.9%33.1%3.1%2.1%-193.1K4.6M-101.5K1.5729.65N/AN/A1,0901,71057,04055,560
2010-08-25$7.73$8.0032.3%9.2%33.0%31.3%31.4%3.7%2.9%-162.6K3.1M-102.3K1.3222.35N/AN/A53070057,76055,950
2010-08-26$7.64$8.0032.6%9.3%32.6%32.4%30.8%3.1%2.5%-186.8K4.2M-101.1K0.3321.39N/AN/A903057,86056,420
2010-08-27$7.75$8.0029.5%8.5%30.0%21.8%31.0%3.2%3.5%-168.5K2.8M-100.2K0.4525.48N/AN/A2,9901,36057,92056,390
2010-08-30$7.76$8.0030.2%8.7%29.1%24.0%31.3%3.6%2.9%-160.6K2.2M-101.0K1.4723.38N/AN/A45066058,84057,410
2010-08-31$7.79$8.0031.2%9.0%19.4%27.7%32.8%2.4%2.7%-174.4K2.4M-100.1K4.0325.31N/AN/A3,11012,52058,75057,370