MSTR Options History — March 2011

In March 2011, MSTR traded between $11.24 and $13.45. ATM implied volatility averaged 30.2%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 1.5% (HV 20d: 28.8%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.13.

Notable Days

2011-03-30: Highest Volume — 13,680 contracts
2011-03-30: Largest IV spike — 16.0% change
2011-03-17: Highest IV Rank — 46.6%
2011-03-17: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.00	$11.24	$13.45	$11.50	$13.45
Max Pain	$10.13	$10.00	$11.00	$11.00	$10.00
ATM IV	30.2%	24.3%	36.0%	32.0%	27.2%
Expected Move	8.7%	7.0%	10.3%	9.2%	7.8%
HV 20d	28.8%	20.8%	40.5%	24.2%	39.1%
HV 60d	32.7%	30.4%	36.6%	30.4%	36.6%
IV Rank	27.1%	6.9%	46.6%	33.0%	16.7%
IV Percentile	34.0%	1.6%	67.5%	50.4%	11.1%
Term Structure	5.7%	-3.2%	15.9%	-3.2%	15.9%
VWIV	30.6%	24.8%	37.7%	29.2%	27.4%
Skew 25d	4.2%	0.7%	7.1%	0.7%	5.5%
Skew 10d	9.2%	0.2%	21.8%	0.2%	8.2%
Call IV 25d	28.8%	23.8%	34.1%	31.6%	26.8%
Put IV 25d	33.0%	28.3%	38.8%	32.2%	32.3%
Bid-Ask Spread %	79.41	64.28	90.04	89.83	87.76
Gamma HHI	0.24	0.17	0.30	0.29	0.18
Net GEX	608.5K	319.5K	959.2K	613.2K	782.0K
Net DEX	-26.8M	-43.6M	-16.7M	-22.6M	-43.6M
Net VEX	-70.7K	-78.9K	-58.5K	-62.5K	-67.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.30	3.22	1.00	0.42
Total Volume	3,398.261	360	13,680	12,440	9,160
Total OI	73,791.304	62,290	81,760	64,080	78,340

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-03-01	$11.50	$11.00	32.0%	9.2%	24.2%	33.0%	29.2%	0.7%	-3.2%	613.2K	-22.6M	-62.5K	1.00	89.83	N/A	N/A	6,230	6,210	36,230	27,850
2011-03-02	$11.58	$11.00	29.9%	8.6%	20.8%	25.9%	29.8%	0.7%	1.3%	627.5K	-22.6M	-74.3K	1.57	80.66	N/A	N/A	1,150	1,810	40,130	31,290
2011-03-03	$12.00	$11.00	29.7%	8.5%	23.8%	25.2%	29.9%	1.5%	0.6%	757.5K	-28.7M	-73.0K	0.30	86.13	N/A	N/A	1,990	590	40,630	32,390
2011-03-04	$12.35	$10.00	29.4%	8.7%	25.2%	24.1%	30.7%	7.1%	5.3%	872.8K	-34.3M	-71.7K	0.78	71.14	N/A	N/A	3,630	2,820	41,780	32,670
2011-03-07	$12.18	$10.00	32.7%	9.3%	26.1%	35.3%	31.4%	5.5%	4.1%	852.7K	-32.5M	-77.5K	0.87	69.48	N/A	N/A	1,390	1,210	43,450	34,230
2011-03-08	$12.18	$10.00	29.6%	8.9%	25.9%	24.8%	32.6%	5.2%	5.0%	927.6K	-32.8M	-78.1K	0.40	67.37	N/A	N/A	620	250	44,150	34,530
2011-03-09	$12.16	$10.00	30.1%	9.1%	25.9%	26.5%	34.6%	5.3%	3.6%	959.2K	-32.6M	-78.3K	3.22	68.44	N/A	N/A	180	580	44,410	34,530
2011-03-10	$11.91	$10.00	32.0%	9.2%	27.2%	33.0%	33.8%	3.7%	3.8%	848.3K	-27.9M	-78.9K	1.48	64.28	N/A	N/A	330	490	44,430	34,830
2011-03-11	$11.74	$10.00	33.4%	9.6%	27.0%	37.7%	31.0%	3.7%	3.5%	802.2K	-25.7M	-78.1K	0.48	74.20	N/A	N/A	1,120	540	44,560	35,200
2011-03-14	$11.61	$10.00	34.3%	9.8%	26.4%	40.9%	34.3%	4.8%	3.2%	710.6K	-22.3M	-77.5K	0.55	73.15	N/A	N/A	1,360	750	45,510	35,140
2011-03-15	$11.45	$10.00	34.4%	9.9%	26.8%	41.3%	34.9%	5.0%	3.8%	564.7K	-19.6M	-78.4K	1.00	73.49	N/A	N/A	180	180	46,390	35,270
2011-03-16	$11.28	$10.00	35.4%	10.1%	27.2%	44.4%	37.7%	4.6%	2.8%	364.5K	-16.7M	-75.5K	1.08	79.14	N/A	N/A	780	840	46,490	35,260
2011-03-17	$11.24	$10.00	36.0%	10.3%	26.7%	46.6%	32.4%	5.0%	2.0%	354.3K	-16.8M	-73.2K	1.93	76.98	N/A	N/A	150	290	46,500	35,180
2011-03-18	$11.32	$10.00	32.2%	9.2%	26.8%	33.6%	32.5%	3.8%	3.8%	319.5K	-18.4M	-70.2K	1.70	78.02	N/A	N/A	980	1,670	46,640	35,120
2011-03-21	$11.91	$10.00	28.4%	8.1%	32.6%	20.7%	30.3%	4.2%	7.1%	353.4K	-23.0M	-62.6K	1.00	82.94	N/A	N/A	2,730	2,720	34,000	28,290
2011-03-22	$11.98	$10.00	27.5%	7.9%	32.6%	17.8%	24.8%	4.2%	7.3%	412.8K	-24.5M	-65.3K	1.12	82.78	N/A	N/A	430	480	35,340	29,390
2011-03-23	$11.95	$10.00	28.4%	8.1%	32.1%	20.8%	29.1%	5.4%	8.5%	387.6K	-23.8M	-65.8K	0.87	90.04	N/A	N/A	470	410	35,420	29,830
2011-03-24	$12.10	$10.00	28.4%	8.1%	32.3%	20.9%	27.9%	5.4%	8.1%	416.1K	-25.6M	-63.8K	0.67	85.60	N/A	N/A	1,550	1,040	35,800	30,140
2011-03-25	$12.11	$10.00	25.7%	7.4%	31.7%	11.6%	26.6%	4.8%	10.8%	503.7K	-27.3M	-64.4K	1.20	86.09	N/A	N/A	1,870	2,250	36,470	30,530
2011-03-28	$12.28	$10.00	26.7%	7.7%	31.7%	15.2%	28.3%	4.4%	11.6%	508.1K	-28.0M	-66.0K	2.02	86.40	N/A	N/A	500	1,010	37,250	31,540
2011-03-29	$12.30	$10.00	24.3%	7.0%	28.9%	6.9%	25.1%	4.5%	13.0%	570.0K	-28.4M	-64.1K	2.02	89.78	N/A	N/A	510	1,030	37,700	31,780
2011-03-30	$13.37	$10.00	28.2%	8.1%	40.5%	20.1%	29.5%	1.8%	9.3%	486.1K	-39.4M	-58.5K	0.34	82.76	N/A	N/A	10,230	3,450	38,000	32,590
2011-03-31	$13.45	$10.00	27.2%	7.8%	39.1%	16.7%	27.4%	5.5%	15.9%	782.0K	-43.6M	-67.3K	0.42	87.76	N/A	N/A	6,450	2,710	43,780	34,560