MSTR Options History — October 2010

In October 2010, MSTR traded between $8.56 and $9.06. ATM implied volatility averaged 37.6%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 14.7% (HV 20d: 22.9%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.77.

Notable Days

  • 2010-10-29: Highest Volume — 9,680 contracts
  • 2010-10-14: Largest IV spike — 73.7% change
  • 2010-10-28: Highest IV Rank — 88.3%
  • 2010-10-28: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.86$8.56$9.06$8.78$9.06
Max Pain$8.52$8.00$9.00$8.00$9.00
ATM IV37.6%25.0%48.3%26.3%47.3%
Expected Move12.6%7.5%13.9%7.5%13.6%
HV 20d22.9%20.9%24.2%20.9%22.0%
HV 60d25.9%20.8%28.6%28.0%20.8%
IV Rank52.1%9.4%88.3%13.8%85.0%
IV Percentile52.2%1.2%96.4%2.0%94.0%
Term Structure-4.9%-8.0%14.9%14.9%-5.1%
VWIV44.9%26.5%49.7%26.5%47.7%
Skew 25d4.8%2.7%6.8%2.7%3.6%
Skew 10d9.9%5.2%12.3%7.3%8.9%
Call IV 25d42.4%26.2%46.5%26.2%46.5%
Put IV 25d47.2%28.9%53.1%28.9%50.1%
Bid-Ask Spread %47.6221.0370.7121.0370.71
Gamma HHI0.290.160.690.240.18
Net GEX778.4K337.0K3.3M770.2K561.5K
Net DEX-15.3M-23.3M-8.8M-18.4M-15.0M
Net VEX-86.4K-92.2K-81.5K-83.5K-92.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.068.280.120.55
Total Volume4,067.6198609,6808609,680
Total OI106,019.04875,270134,080115,24096,340

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$8.78$8.0026.3%7.5%20.9%13.8%26.5%2.7%14.9%770.2K-18.4M-83.5K0.1221.03N/AN/A7709061,31053,930
2010-10-04$8.56$8.5029.7%12.5%23.2%25.3%44.0%5.7%-5.1%565.5K-14.2M-81.5K8.2825.72N/AN/A7406,13061,78053,980
2010-10-05$8.76$8.5025.7%12.2%24.2%11.7%44.9%6.1%-7.2%709.3K-16.5M-87.1K2.8348.90N/AN/A5801,64061,60059,590
2010-10-06$8.79$8.5028.2%12.5%24.1%20.3%43.7%5.3%-8.0%722.0K-17.0M-87.5K1.1848.01N/AN/A2,9703,49061,79060,770
2010-10-07$8.87$8.5026.7%12.5%24.2%15.1%46.7%5.2%-7.2%809.9K-19.3M-88.4K0.7532.66N/AN/A1,18088063,36062,570
2010-10-08$8.83$8.5025.0%12.4%24.2%9.4%44.3%5.2%-4.7%827.7K-17.5M-86.5K0.2633.38N/AN/A2,01052062,51062,630
2010-10-11$8.80$8.5029.3%12.8%23.4%24.0%48.1%4.6%-6.2%820.3K-17.2M-84.0K4.6735.79N/AN/A2401,12062,55063,030
2010-10-12$8.80$8.5028.4%12.7%23.4%20.9%46.6%5.4%-7.9%876.0K-16.8M-82.1K6.8539.70N/AN/A3902,67062,82063,410
2010-10-13$8.85$8.5025.4%12.9%23.4%10.5%43.9%4.5%-7.3%998.9K-18.2M-82.9K0.0637.14N/AN/A5,42035063,09064,880
2010-10-14$8.94$8.5044.0%12.6%23.4%73.8%43.9%4.6%-7.4%1.4M-21.5M-86.2K0.1455.80N/AN/A5,73082068,11064,940
2010-10-15$8.99$8.5044.4%12.7%23.4%75.0%44.1%4.6%-7.0%3.3M-23.3M-87.9K0.2553.52N/AN/A2,42061068,84065,240
2010-10-18$8.95$8.5045.2%13.0%21.6%77.8%47.3%5.0%-3.6%387.5K-11.8M-86.1K1.6446.10N/AN/A1,0501,72041,26034,010
2010-10-19$8.76$8.5045.5%13.0%22.5%78.7%45.5%3.1%-4.7%337.0K-9.5M-84.6K1.6761.16N/AN/A36060041,70035,480
2010-10-20$8.75$8.5045.4%13.0%22.4%78.4%45.9%4.3%-4.5%344.4K-9.8M-83.4K0.0857.32N/AN/A1,27010041,85035,450
2010-10-21$8.71$8.5044.8%12.8%21.9%76.2%44.7%4.4%-4.2%347.2K-8.8M-82.3K0.4660.20N/AN/A4,4802,04043,00035,550
2010-10-22$9.06$8.5043.3%12.4%22.7%71.2%45.0%4.7%-3.8%548.2K-14.3M-87.3K1.6360.68N/AN/A2,8304,61046,74036,530
2010-10-25$8.95$8.5045.7%13.1%23.2%79.5%46.5%6.3%-5.7%507.2K-13.3M-89.7K1.8750.15N/AN/A1,1702,19048,36039,840
2010-10-26$8.99$8.5046.3%13.3%22.5%81.6%46.4%4.5%-5.8%498.1K-13.3M-90.0K0.6751.95N/AN/A1,9601,32049,16041,700
2010-10-27$8.95$9.0045.1%12.9%22.4%77.5%46.9%4.5%-5.5%516.4K-12.7M-90.8K1.4061.05N/AN/A1,1901,67050,57042,490
2010-10-28$8.96$8.5048.3%13.9%22.2%88.3%49.7%6.8%-7.9%531.9K-13.2M-91.2K1.8749.09N/AN/A2,2304,18051,17042,470
2010-10-29$9.06$9.0047.3%13.6%22.0%85.0%47.7%3.6%-5.1%561.5K-15.0M-92.2K0.5570.71N/AN/A6,2503,43052,11044,230