MSTR Options History — November 2010

In November 2010, MSTR traded between $8.46 and $9.08. ATM implied volatility averaged 33.9%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 1.2% (HV 20d: 32.7%). Max pain ranged from $8.50 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2010-11-02: Highest Volume — 17,950 contracts
  • 2010-11-04: Largest IV drop — 16.7% change
  • 2010-11-01: Highest IV Rank — 88.1%
  • 2010-11-01: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.89$8.46$9.08$9.05$8.65
Max Pain$8.93$8.50$9.00$9.00$9.00
ATM IV33.9%29.6%48.2%48.2%34.9%
Expected Move9.8%8.5%13.8%13.8%10.0%
HV 20d32.7%19.7%35.0%19.7%34.6%
HV 60d25.4%20.8%26.5%20.8%26.4%
IV Rank39.3%24.8%88.1%88.1%43.0%
IV Percentile42.2%13.1%95.6%95.6%57.1%
Term Structure-0.9%-8.5%2.0%-8.5%-0.4%
VWIV34.2%29.7%48.4%48.4%35.0%
Skew 25d3.9%2.6%5.7%4.2%4.5%
Skew 10d8.6%5.8%12.4%8.3%9.8%
Call IV 25d32.7%28.8%46.4%46.4%33.3%
Put IV 25d36.6%31.6%50.5%50.5%37.8%
Bid-Ask Spread %67.3229.3386.0474.1029.33
Gamma HHI0.250.190.650.190.21
Net GEX614.9K144.3K2.0M604.5K448.8K
Net DEX-11.5M-15.4M-2.8M-15.4M-8.9M
Net VEX-68.6K-90.5K-54.1K-90.5K-57.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.105.361.711.28
Total Volume2,844.76219017,9504,4501,140
Total OI92,796.66764,350104,20098,40072,220

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$9.05$9.0048.2%13.8%19.7%88.1%48.4%4.2%-8.5%604.5K-15.4M-90.5K1.7174.10N/AN/A1,6402,81053,61044,790
2010-11-02$8.46$9.0040.8%11.7%30.5%63.0%41.0%3.4%-3.3%158.2K-2.8M-81.6K1.1675.31N/AN/A8,3009,65054,67046,380
2010-11-03$8.54$9.0039.1%11.2%30.7%57.1%38.8%5.3%-3.1%144.3K-3.5M-80.5K1.0571.88N/AN/A1,4601,53056,18047,860
2010-11-04$8.84$9.0032.6%9.3%33.0%35.0%33.6%3.0%2.0%464.7K-10.3M-83.5K1.6984.83N/AN/A1,3002,20056,35047,850
2010-11-05$8.95$9.0031.7%9.4%33.3%32.2%31.6%3.4%-1.4%666.6K-13.6M-80.2K0.3749.76N/AN/A1,36050056,14047,440
2010-11-08$9.02$9.0033.8%9.8%33.4%39.2%36.7%5.7%-2.2%750.1K-14.6M-78.2K0.4370.56N/AN/A1,41060055,99047,000
2010-11-09$9.03$9.0032.3%9.8%33.4%34.1%33.2%2.7%-1.5%762.2K-14.8M-76.6K0.6072.28N/AN/A1,9001,14055,97047,040
2010-11-10$9.07$9.0030.4%9.5%33.3%27.7%33.8%5.1%-1.1%831.5K-15.4M-72.0K2.2674.95N/AN/A5301,20055,50047,170
2010-11-11$9.00$8.5033.2%9.5%33.3%37.2%31.7%4.3%-0.5%766.4K-14.1M-72.2K0.9371.65N/AN/A92086055,50046,830
2010-11-12$8.85$8.5032.8%9.4%33.8%35.8%0.0%4.4%-0.5%470.8K-10.8M-69.4K1.1778.04N/AN/A30035055,08046,770
2010-11-15$8.95$8.5033.3%9.6%34.1%37.5%33.1%3.4%0.3%705.1K-13.4M-65.1K0.7353.66N/AN/A1,30095055,10046,660
2010-11-16$8.78$9.0035.0%10.0%33.9%43.4%33.4%2.6%-0.3%283.6K-9.3M-64.3K0.3865.34N/AN/A1,19045055,26046,740
2010-11-17$8.75$9.0033.0%9.5%33.9%36.5%32.4%3.1%0.6%318.7K-9.6M-62.6K0.5860.08N/AN/A1207056,00046,600
2010-11-18$8.97$9.0030.7%8.8%35.0%28.7%30.9%3.8%1.1%1.0M-13.6M-60.3K0.3977.41N/AN/A93036056,09046,590
2010-11-19$9.04$9.0032.0%9.2%32.2%33.0%29.7%5.5%0.7%2.0M-15.4M-59.9K0.1058.40N/AN/A1,73018056,56046,590
2010-11-22$9.08$9.0029.6%8.5%32.0%24.8%29.9%2.7%1.4%530.0K-12.6M-54.1K0.5174.77N/AN/A2,7601,40036,80027,550
2010-11-23$8.83$9.0031.7%9.1%33.6%32.2%32.1%2.9%-0.5%488.7K-10.2M-56.7K2.4977.02N/AN/A7201,79038,86028,440
2010-11-24$8.97$9.0031.5%9.0%34.0%31.3%33.4%3.7%-0.4%545.8K-12.0M-58.7K5.3686.04N/AN/A14075039,32029,500
2010-11-26$8.94$9.0031.4%9.0%34.0%30.9%32.1%3.1%-0.1%525.1K-11.6M-58.4K0.6761.76N/AN/A92062039,44030,020
2010-11-29$8.80$9.0032.6%9.3%34.2%35.1%34.0%5.0%-0.3%476.1K-9.9M-57.8K0.2346.61N/AN/A1,84042039,85030,420
2010-11-30$8.65$9.0034.9%10.0%34.6%43.0%35.0%4.5%-0.4%448.8K-8.9M-57.4K1.2829.33N/AN/A50064041,51030,710