MSTR Options History — December 2010

In December 2010, MSTR traded between $8.49 and $8.94. ATM implied volatility averaged 27.9%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 9.3% (HV 20d: 18.5%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.60.

Notable Days

  • 2010-12-30: Highest Volume — 4,250 contracts
  • 2010-12-15: Largest IV spike — 24.4% change
  • 2010-12-01: Highest IV Rank — 31.0%
  • 2010-12-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.73$8.49$8.94$8.77$8.55
Max Pain$8.14$8.00$9.00$9.00$8.00
ATM IV27.9%23.2%31.4%31.4%28.1%
Expected Move8.2%7.8%9.0%9.0%8.1%
HV 20d18.5%10.5%25.2%25.0%10.5%
HV 60d25.4%23.4%26.6%26.5%23.5%
IV Rank19.0%3.1%31.0%31.0%20.0%
IV Percentile8.8%0.4%28.6%28.6%9.9%
Term Structure7.8%-0.0%12.1%-0.0%12.1%
VWIV28.9%24.0%34.3%31.4%28.5%
Skew 25d2.9%1.2%5.2%4.1%1.2%
Skew 10d7.1%4.9%15.1%11.5%5.0%
Call IV 25d27.7%26.0%31.1%31.1%27.5%
Put IV 25d30.7%28.5%35.2%35.2%28.7%
Bid-Ask Spread %52.2026.0981.2139.0465.09
Gamma HHI0.260.230.330.230.24
Net GEX545.9K460.3K664.1K499.8K471.6K
Net DEX-10.0M-12.8M-7.1M-10.3M-7.3M
Net VEX-53.2K-56.7K-50.2K-56.7K-55.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.058.661.480.30
Total Volume1,297.7271704,250620860
Total OI72,517.27364,18076,68072,62074,740

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$8.77$9.0031.4%9.0%25.0%31.0%31.4%4.1%-0.0%499.8K-10.3M-56.7K1.4839.04N/AN/A25037041,71030,910
2010-12-02$8.89$9.0029.3%8.4%25.2%23.8%30.5%5.2%1.3%562.3K-11.4M-55.7K2.1334.46N/AN/A16034041,74031,200
2010-12-03$8.84$9.0027.9%8.0%22.3%19.0%30.5%2.0%2.3%538.6K-10.7M-56.2K0.8426.09N/AN/A37031041,76031,370
2010-12-06$8.80$8.0029.0%8.7%21.8%22.8%28.8%3.5%6.2%532.5K-10.1M-53.8K1.2165.86N/AN/A14017041,97031,630
2010-12-07$8.82$8.0027.7%8.5%21.6%18.5%28.6%3.8%6.6%556.5K-10.6M-52.0K0.0554.68N/AN/A2,26012042,03031,690
2010-12-08$8.81$8.0026.5%8.4%21.6%14.4%0.0%2.8%6.9%585.9K-11.2M-55.5K0.0763.41N/AN/A3002043,88031,680
2010-12-09$8.83$8.0025.9%8.4%21.6%12.5%31.4%3.2%6.9%603.1K-11.3M-54.5K2.1162.30N/AN/A9019043,55030,020
2010-12-10$8.94$8.0025.3%8.5%22.0%10.3%31.4%3.4%6.5%664.1K-12.8M-53.4K4.8053.86N/AN/A10048043,59030,060
2010-12-13$8.83$8.0029.1%8.3%21.5%23.2%34.3%2.8%7.1%617.7K-11.7M-51.6K2.4062.40N/AN/A5012043,59030,540
2010-12-14$8.84$8.0023.2%8.1%21.1%3.1%27.7%3.3%8.1%633.1K-11.3M-50.2K0.0771.98N/AN/A2,16016043,59030,510
2010-12-15$8.80$8.0028.8%8.3%19.9%22.3%31.6%3.6%7.5%625.8K-11.5M-54.7K1.8039.70N/AN/A25045045,69030,510
2010-12-16$8.82$8.0029.2%8.4%19.9%23.4%29.1%2.8%6.8%626.2K-11.5M-53.6K0.6243.04N/AN/A21013045,79030,730
2010-12-17$8.80$8.0027.5%7.9%17.8%17.7%27.9%2.9%7.9%545.3K-11.5M-53.4K1.4163.32N/AN/A56079045,90030,780
2010-12-20$8.75$8.0028.4%8.1%17.6%20.8%28.0%2.2%9.8%542.9K-10.7M-51.4K0.5639.57N/AN/A2,2901,28038,33025,850
2010-12-21$8.64$8.0027.1%7.8%17.8%16.4%27.2%2.4%10.2%511.5K-9.1M-51.4K1.0464.21N/AN/A1,6301,69039,52026,830
2010-12-22$8.56$8.0027.7%7.9%15.2%18.3%24.8%1.7%10.6%492.4K-8.5M-52.5K1.3946.71N/AN/A57079040,45028,270
2010-12-23$8.52$8.0027.8%8.0%13.9%18.6%27.1%2.6%10.4%471.1K-7.7M-52.9K1.0051.67N/AN/A67067041,02028,650
2010-12-27$8.53$8.0028.5%8.2%13.9%21.1%27.2%2.6%11.2%472.7K-7.7M-50.7K0.5581.21N/AN/A66036041,03029,170
2010-12-28$8.49$8.0027.7%8.0%13.1%18.6%28.3%1.8%11.4%460.3K-7.1M-50.5K1.1550.75N/AN/A55063041,40029,520
2010-12-29$8.53$8.0028.2%8.1%12.0%20.2%0.0%3.1%11.3%482.8K-7.7M-51.4K1.5032.75N/AN/A44066041,75030,040
2010-12-30$8.61$8.0028.6%8.2%11.5%21.5%24.0%3.7%11.1%513.7K-8.9M-52.1K8.6636.23N/AN/A4403,81041,75030,640
2010-12-31$8.55$8.0028.1%8.1%10.5%20.0%28.5%1.2%12.1%471.6K-7.3M-55.7K0.3065.09N/AN/A66020042,09032,650