MSTR Options History — January 2011

In January 2011, MSTR traded between $8.84 and $10.64. ATM implied volatility averaged 33.2%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 11.3% (HV 20d: 21.9%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.62.

Notable Days

  • 2011-01-26: Highest Volume — 36,040 contracts
  • 2011-01-13: Largest IV spike — 68.7% change
  • 2011-01-24: Highest IV Rank — 70.7%
  • 2011-01-24: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.36$8.84$10.64$8.84$10.64
Max Pain$8.95$8.00$10.00$8.00$10.00
ATM IV33.2%23.8%43.1%26.3%31.3%
Expected Move10.4%7.2%12.4%7.5%9.0%
HV 20d21.9%15.1%44.7%16.2%44.2%
HV 60d25.7%22.9%34.0%24.4%30.7%
IV Rank37.2%5.4%70.7%13.8%30.6%
IV Percentile39.2%1.2%78.6%4.4%36.9%
Term Structure-0.6%-7.0%13.2%12.0%1.1%
VWIV36.8%25.2%43.2%29.7%30.7%
Skew 25d4.0%1.1%5.4%4.1%4.4%
Skew 10d8.5%-1.2%12.7%8.4%7.9%
Call IV 25d34.6%24.5%40.9%26.0%29.0%
Put IV 25d38.6%26.4%45.9%30.2%33.5%
Bid-Ask Spread %53.3223.2178.6423.2145.30
Gamma HHI0.320.180.530.290.18
Net GEX620.3K97.0K1.1M601.1K335.9K
Net DEX-13.4M-17.0M-2.5M-11.4M-15.9M
Net VEX-61.8K-76.1K-52.5K-57.7K-76.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.3010.502.341.18
Total Volume4,20323036,0403,1103,710
Total OI74,888.544,54090,11075,08071,580

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$8.84$8.0026.3%7.5%16.2%13.8%29.7%4.1%12.0%601.1K-11.4M-57.7K2.3423.21N/AN/A9302,18042,33032,750
2011-01-04$8.90$8.0027.6%7.9%16.3%18.2%27.8%2.6%10.6%628.5K-12.6M-59.3K0.6330.11N/AN/A1,03065043,03034,060
2011-01-05$8.94$8.0026.4%7.6%16.4%14.1%0.0%2.4%12.8%673.3K-12.8M-59.7K0.7723.70N/AN/A13010043,72034,550
2011-01-06$8.94$8.0025.3%7.2%16.4%10.2%25.2%2.0%13.2%688.3K-12.9M-59.0K1.1066.86N/AN/A31034043,82034,650
2011-01-07$8.92$9.0024.8%11.0%16.4%8.7%36.3%4.7%-2.3%697.8K-12.9M-58.6K10.5045.11N/AN/A2002,10043,87034,880
2011-01-10$8.90$9.0025.8%11.5%15.7%12.1%41.1%4.9%-3.2%675.4K-11.5M-61.5K0.5947.88N/AN/A51030044,00036,960
2011-01-11$9.10$9.0025.6%11.5%16.8%11.2%38.1%5.2%-4.0%744.5K-14.6M-60.9K0.4657.87N/AN/A97045044,22037,260
2011-01-12$9.11$9.0023.8%11.6%16.9%5.4%40.3%5.4%-4.7%784.3K-15.5M-61.4K0.3758.47N/AN/A1,55058044,68037,580
2011-01-13$9.15$9.0040.2%11.5%16.8%61.0%39.4%4.9%-4.6%819.6K-16.2M-61.2K0.3049.61N/AN/A88026045,49038,110
2011-01-14$9.14$9.0040.6%11.6%16.8%62.3%39.8%5.1%-4.8%877.7K-16.3M-61.0K1.3654.56N/AN/A69094045,91037,960
2011-01-18$9.18$9.0041.8%12.0%16.7%66.2%42.2%5.1%-6.3%828.0K-17.0M-57.8K3.6661.72N/AN/A2901,06045,69038,320
2011-01-19$9.15$9.0041.8%12.0%16.6%66.4%41.6%4.8%-6.1%835.5K-15.6M-60.7K1.1860.43N/AN/A73086045,81041,600
2011-01-20$9.10$9.0041.8%12.0%15.9%66.3%41.6%4.2%-7.0%1.1M-15.3M-60.1K1.6457.96N/AN/A8001,31046,14042,420
2011-01-21$9.10$9.0041.4%11.9%15.4%64.8%43.0%3.6%-6.8%834.3K-15.8M-60.4K0.3065.39N/AN/A1,14034046,57043,540
2011-01-24$9.10$9.0043.1%12.4%15.1%70.7%43.2%5.0%-6.0%97.0K-2.5M-59.1K3.2153.00N/AN/A6702,15022,18022,360
2011-01-25$9.30$9.0041.0%11.8%16.5%63.5%41.4%5.4%-6.7%150.6K-3.9M-59.7K0.8158.14N/AN/A2,2001,79022,64024,190
2011-01-26$10.50$9.0032.8%9.4%44.4%35.8%33.9%1.1%-0.1%367.3K-15.7M-52.5K0.9876.81N/AN/A18,23017,81023,64025,040
2011-01-27$10.59$10.0031.4%9.0%44.4%31.1%32.0%1.9%1.2%346.2K-15.7M-72.8K0.4878.64N/AN/A7,1803,43032,48034,450
2011-01-28$10.54$10.0031.7%9.1%44.7%32.0%31.0%2.6%0.4%297.4K-14.8M-76.1K0.4651.65N/AN/A3,6101,65033,22036,070
2011-01-31$10.64$10.0031.3%9.0%44.2%30.6%30.7%4.4%1.1%335.9K-15.9M-76.1K1.1845.30N/AN/A1,7002,01034,65036,930