MSTR Options History — February 2011

In February 2011, MSTR traded between $11.02 and $11.88. ATM implied volatility averaged 29.2%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 11.5% (HV 20d: 40.7%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.19.

Notable Days

  • 2011-02-01: Highest Volume — 7,560 contracts
  • 2011-02-09: Largest IV spike — 10.2% change
  • 2011-02-23: Highest IV Rank — 31.5%
  • 2011-02-23: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.48$11.02$11.88$11.04$11.88
Max Pain$10.79$10.00$11.00$10.00$11.00
ATM IV29.2%26.2%31.5%28.6%29.0%
Expected Move8.5%8.0%9.0%8.2%8.3%
HV 20d40.7%19.3%45.7%44.5%19.9%
HV 60d30.3%29.4%31.0%30.9%29.5%
IV Rank23.6%13.5%31.5%21.5%22.9%
IV Percentile24.7%6.3%46.0%17.1%23.8%
Term Structure0.1%-1.3%2.4%2.2%-0.4%
VWIV29.7%27.8%33.3%29.5%28.6%
Skew 25d3.0%-1.5%5.6%3.0%2.8%
Skew 10d7.0%-3.5%12.3%4.3%6.1%
Call IV 25d28.3%26.5%31.7%27.1%28.4%
Put IV 25d31.3%28.9%32.9%30.1%31.2%
Bid-Ask Spread %69.2649.9190.2153.7183.39
Gamma HHI0.250.170.330.170.33
Net GEX637.8K352.2K848.9K352.2K722.5K
Net DEX-28.7M-37.4M-20.8M-20.8M-27.2M
Net VEX-68.4K-76.0K-59.5K-73.4K-59.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.136.600.430.70
Total Volume2,668.9473807,5607,5602,400
Total OI77,713.15860,26090,73073,06063,270

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$11.04$10.0028.6%8.2%44.5%21.5%29.5%3.0%2.2%352.2K-20.8M-73.4K0.4353.71N/AN/A5,3002,26035,05038,010
2011-02-02$11.02$10.0027.9%8.0%44.8%19.1%28.4%3.2%2.4%414.1K-21.7M-76.0K0.2582.86N/AN/A1,06027037,29039,260
2011-02-03$11.14$10.0027.8%8.0%44.7%18.9%27.8%2.4%2.2%430.1K-24.1M-74.2K1.5864.74N/AN/A53084038,02039,510
2011-02-04$11.18$10.5026.8%8.7%44.6%15.4%30.1%3.4%-0.6%423.3K-24.9M-72.8K0.4349.91N/AN/A2,06089038,04039,810
2011-02-07$11.34$10.5028.4%8.5%44.3%21.0%30.0%3.6%-0.4%511.0K-28.0M-69.9K1.0457.95N/AN/A1,0801,12039,20039,940
2011-02-08$11.33$11.0026.2%8.2%44.3%13.5%27.9%4.3%-0.4%520.8K-27.8M-68.6K0.1357.46N/AN/A5,98076039,49040,320
2011-02-09$11.28$11.0028.9%8.5%44.5%22.6%30.0%3.6%-0.6%690.3K-28.7M-74.8K1.0160.29N/AN/A1,1701,18044,67040,540
2011-02-10$11.51$11.0029.8%8.5%44.4%25.4%31.0%5.6%-0.3%746.6K-32.8M-72.9K1.5357.93N/AN/A1,1201,71045,39041,170
2011-02-11$11.74$11.0030.4%8.7%44.4%27.5%30.9%4.3%-0.2%848.9K-36.6M-69.2K0.4362.04N/AN/A2,12092045,81041,010
2011-02-14$11.70$11.0030.9%8.8%44.5%29.1%30.7%0.6%-0.9%838.8K-36.2M-66.9K0.6868.37N/AN/A2,1701,48045,71041,440
2011-02-15$11.63$11.0030.9%8.8%44.9%29.2%29.8%4.0%-0.3%786.0K-35.4M-68.2K0.8664.76N/AN/A1,11095046,40041,890
2011-02-16$11.79$11.0028.2%8.1%44.5%20.3%33.3%4.0%0.8%791.4K-37.4M-65.4K1.5468.68N/AN/A1,4302,20046,65042,330
2011-02-17$11.69$11.0029.9%8.6%44.7%26.0%30.0%3.0%-0.6%807.4K-36.7M-65.5K0.4373.32N/AN/A1,22052047,23043,500
2011-02-18$11.67$11.0029.8%8.5%44.8%25.5%29.3%3.6%0.1%750.1K-35.4M-65.8K0.6673.80N/AN/A91060046,74043,720
2011-02-22$11.63$11.0031.3%9.0%44.9%30.5%30.6%3.5%-1.3%616.3K-23.7M-64.3K1.6777.16N/AN/A24040034,79025,470
2011-02-23$11.47$11.0031.5%9.0%45.7%31.5%28.8%-1.5%-0.7%594.8K-22.7M-62.7K1.4990.21N/AN/A1,0801,61034,96025,830
2011-02-24$11.48$11.0029.7%8.5%19.3%25.1%29.7%1.6%1.0%606.8K-21.8M-65.8K6.6081.88N/AN/A5033035,33026,660
2011-02-25$11.70$11.0028.8%8.3%19.9%22.4%28.8%2.0%0.7%665.9K-23.8M-63.0K1.2587.52N/AN/A73091035,28026,820
2011-02-28$11.88$11.0029.0%8.3%19.9%22.9%28.6%2.8%-0.4%722.5K-27.2M-59.5K0.7083.39N/AN/A1,41099035,95027,320