MSTR Options History — September 2010

In September 2010, MSTR traded between $8.00 and $8.77. ATM implied volatility averaged 29.4%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 10.2% (HV 20d: 19.2%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2010-09-22: Highest Volume — 6,610 contracts
  • 2010-09-09: Largest IV spike — 36.3% change
  • 2010-09-10: Highest IV Rank — 33.9%
  • 2010-09-07: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.43$8.00$8.77$8.00$8.66
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV29.4%22.3%32.3%28.1%29.5%
Expected Move8.7%8.1%9.3%8.1%8.5%
HV 20d19.2%15.5%22.0%21.6%21.0%
HV 60d27.2%26.8%28.0%27.6%28.0%
IV Rank23.8%0.0%33.9%16.7%24.6%
IV Percentile10.5%0.0%27.8%3.2%8.7%
Term Structure8.6%3.9%13.8%4.7%13.8%
VWIV30.6%27.7%34.3%28.4%28.8%
Skew 25d3.4%0.5%5.2%2.6%3.5%
Skew 10d7.3%0.6%11.6%9.7%11.6%
Call IV 25d28.7%26.4%30.2%28.0%27.2%
Put IV 25d32.1%29.4%34.2%30.6%30.7%
Bid-Ask Spread %50.9819.5880.4122.4741.91
Gamma HHI0.190.140.310.310.20
Net GEX188.1K-427.0K686.6K-427.0K634.3K
Net DEX-11.7M-18.3M-503.7K-503.7K-16.1M
Net VEX-92.7K-106.8K-85.3K-106.8K-85.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.156.620.271.52
Total Volume2,7005806,6102,5401,540
Total OI121,389.524103,250133,140128,430114,180

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$8.00$8.0028.1%8.1%21.6%16.7%28.4%2.6%4.7%-427.0K-503.7K-106.8K0.2722.47N/AN/A2,00054059,57068,860
2010-09-02$8.12$8.0028.2%8.1%20.4%17.1%28.7%1.9%3.9%-259.4K-4.6M-105.1K1.8721.25N/AN/A46086060,27068,510
2010-09-03$8.20$8.0027.0%8.9%20.6%12.9%32.5%3.3%6.7%-168.4K-6.6M-101.1K1.2153.90N/AN/A1,6501,99060,03068,330
2010-09-07$8.17$8.0029.9%9.3%20.7%22.9%31.3%4.0%6.2%-191.3K-6.0M-97.0K1.3038.29N/AN/A1,2001,56059,93067,440
2010-09-08$8.25$8.0022.3%8.9%19.6%0.0%33.7%3.8%6.8%-93.9K-8.2M-95.6K0.5546.12N/AN/A1,03057060,67067,780
2010-09-09$8.26$8.0030.3%8.7%18.4%27.4%32.5%3.8%7.0%5.7K-8.2M-91.0K0.5155.36N/AN/A1,35069060,54067,940
2010-09-10$8.23$8.0032.3%9.2%18.3%33.9%30.3%3.9%6.3%-85.6K-7.4M-89.1K0.1819.58N/AN/A2,25041060,22068,120
2010-09-13$8.40$8.0030.4%8.7%18.7%27.7%34.3%4.8%6.5%91.7K-11.1M-86.1K0.1527.03N/AN/A5,61084059,26067,880
2010-09-14$8.39$8.0029.5%8.5%18.0%24.6%31.2%3.7%8.0%134.3K-12.8M-95.3K0.2671.46N/AN/A76020064,36067,890
2010-09-15$8.43$8.0029.8%8.6%15.5%25.7%31.8%3.7%7.8%132.7K-13.6M-92.8K4.8067.41N/AN/A10048064,46068,090
2010-09-16$8.40$8.0028.9%8.3%15.7%22.4%28.7%2.6%8.1%-12.8K-12.9M-91.3K0.9856.45N/AN/A59058064,48068,360
2010-09-17$8.44$8.0030.1%8.6%15.6%26.5%29.5%3.2%6.8%-96.5K-13.5M-89.9K0.4980.41N/AN/A2,3301,14064,64068,500
2010-09-20$8.69$8.0030.6%8.8%17.4%28.5%29.3%3.6%9.4%492.9K-15.8M-88.5K1.1644.76N/AN/A2,7603,19055,59047,660
2010-09-21$8.57$8.0030.7%8.8%18.7%28.7%30.1%3.8%9.9%461.7K-14.8M-92.2K0.5063.93N/AN/A1,33067057,12049,170
2010-09-22$8.53$8.0031.3%9.0%18.3%30.8%29.9%3.4%9.6%424.7K-13.7M-93.0K0.8449.63N/AN/A3,5903,02057,84049,410
2010-09-23$8.43$8.0030.5%8.7%19.1%28.0%33.6%0.5%11.3%381.6K-11.9M-92.8K2.0658.77N/AN/A1,3802,84060,10051,070
2010-09-24$8.72$8.0029.7%8.5%21.0%25.2%31.0%5.2%10.7%595.5K-16.9M-90.5K3.3877.70N/AN/A26088059,70051,990
2010-09-27$8.77$8.0028.8%8.3%20.7%22.2%29.5%2.5%12.3%686.6K-18.3M-88.3K1.5854.15N/AN/A1,0501,66059,79052,250
2010-09-28$8.65$8.0029.8%8.6%21.9%25.8%27.7%3.5%13.0%599.6K-16.1M-88.2K6.6277.71N/AN/A2901,92060,33052,890
2010-09-29$8.72$8.0030.3%8.7%22.0%27.2%29.1%3.3%11.7%643.2K-17.2M-86.5K0.2242.37N/AN/A93020060,51053,450
2010-09-30$8.66$8.0029.5%8.5%21.0%24.6%28.8%3.5%13.8%634.3K-16.1M-85.3K1.5241.91N/AN/A61093060,73053,450