MSTR Options History — April 2011

In April 2011, MSTR traded between $12.59 and $14.13. ATM implied volatility averaged 40.8%, placing in the 59.3% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 3.2% (HV 20d: 37.6%). Max pain ranged from $10.00 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.53.

Notable Days

  • 2011-04-27: Highest Volume — 32,310 contracts
  • 2011-04-14: Largest IV spike — 90.8% change
  • 2011-04-26: Highest IV Rank — 100.0%
  • 2011-04-26: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.30$12.59$14.13$13.77$14.13
Max Pain$12.85$10.00$13.00$10.00$13.00
ATM IV40.8%24.1%57.4%30.1%57.3%
Expected Move13.5%8.6%16.5%8.6%16.4%
HV 20d37.6%33.4%43.9%38.8%33.7%
HV 60d35.7%30.4%38.8%36.8%32.3%
IV Rank59.3%6.1%100.0%26.7%99.5%
IV Percentile65.1%1.2%100.0%36.9%99.6%
Term Structure-6.4%-14.9%8.9%8.9%-7.1%
VWIV47.0%28.5%56.9%28.5%56.9%
Skew 25d2.6%-1.0%6.1%-1.0%1.8%
Skew 10d6.2%2.0%10.6%2.8%5.9%
Call IV 25d45.6%30.1%56.1%30.1%56.1%
Put IV 25d48.3%29.1%57.9%29.1%57.9%
Bid-Ask Spread %52.1341.9387.4387.4352.97
Gamma HHI0.140.110.180.180.14
Net GEX613.8K267.4K1.0M933.0K1.0M
Net DEX-33.4M-51.8M-12.1M-49.6M-43.9M
Net VEX-84.4K-133.0K-71.4K-71.4K-133.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.289.780.330.66
Total Volume5,752.597032,3106,6003,750
Total OI82,012.551,940102,50084,91095,700

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$13.77$10.0030.1%8.6%38.8%26.7%28.5%-1.0%8.9%933.0K-49.6M-71.4K0.3387.43N/AN/A4,9501,65048,44036,470
2011-04-04$13.79$13.0030.1%12.5%38.1%26.7%43.6%4.2%-5.9%935.9K-51.8M-75.5K0.5544.30N/AN/A2,8001,54050,74036,920
2011-04-05$13.73$13.0030.5%12.3%38.2%27.9%43.6%5.6%-4.9%911.2K-50.9M-79.8K0.8044.47N/AN/A2,0901,67051,98038,030
2011-04-06$13.45$13.0030.0%11.8%39.4%26.1%44.8%0.0%-2.4%898.9K-47.1M-79.0K0.4344.37N/AN/A3,2601,39051,92038,930
2011-04-07$13.35$13.0030.8%12.7%38.5%28.9%45.8%4.6%-5.8%999.6K-44.7M-82.1K9.7845.44N/AN/A9088053,39038,370
2011-04-08$13.21$13.0026.1%13.2%38.2%13.2%43.8%0.1%-8.5%986.3K-43.1M-82.0K5.4552.81N/AN/A1,4007,63053,46039,110
2011-04-11$13.14$13.0028.2%13.4%37.9%20.3%44.9%2.7%-9.0%428.6K-38.9M-82.8K1.0644.12N/AN/A1,8201,93054,03045,450
2011-04-12$12.91$13.0028.1%13.1%38.2%19.9%44.5%2.8%-7.1%324.3K-32.9M-81.9K0.3841.93N/AN/A2,15082054,67046,420
2011-04-13$13.00$13.0024.1%13.1%37.4%6.1%45.4%2.4%-6.4%267.4K-33.9M-80.9K1.3148.37N/AN/A59077055,77046,290
2011-04-14$13.00$13.0045.9%13.2%37.3%80.1%46.2%3.7%-6.7%287.1K-34.0M-78.5K0.6448.67N/AN/A64041055,91046,200
2011-04-15$12.90$13.0045.4%13.0%37.7%78.3%46.1%2.4%-8.0%292.6K-31.1M-76.1K1.2148.55N/AN/A2,0402,46056,14046,360
2011-04-18$12.69$13.0049.1%14.1%34.7%90.9%48.4%3.3%-6.3%310.5K-13.0M-73.2K1.8851.41N/AN/A1,7903,36030,81021,130
2011-04-19$12.59$13.0047.1%13.5%34.9%84.3%47.3%-0.3%-5.2%287.9K-12.1M-75.7K1.7153.75N/AN/A1,0601,81031,36022,640
2011-04-20$13.18$13.0047.8%13.7%38.0%86.6%47.6%2.7%-6.6%383.8K-16.5M-74.5K1.1167.30N/AN/A2,7503,06031,60022,960
2011-04-21$13.17$13.0048.5%13.9%38.0%89.1%47.9%3.0%-8.7%392.9K-17.7M-79.9K0.7954.14N/AN/A1,4701,16033,38024,410
2011-04-25$13.00$13.0051.5%14.8%38.4%99.1%51.0%2.0%-8.9%366.2K-16.4M-79.4K0.2858.26N/AN/A6,1501,71033,96025,090
2011-04-26$13.14$13.0057.4%16.5%38.3%100.0%53.6%6.1%-14.9%537.0K-19.6M-87.6K1.1954.15N/AN/A9801,17039,39026,100
2011-04-27$14.00$13.0052.4%15.0%43.9%85.7%53.9%3.7%-7.3%664.2K-30.7M-87.5K0.3948.66N/AN/A23,3009,01040,15026,530
2011-04-28$13.90$13.0056.0%16.1%33.4%96.0%56.4%2.6%-6.9%1.0M-40.0M-127.5K0.6851.49N/AN/A5,6903,85057,69032,350
2011-04-29$14.13$13.0057.3%16.4%33.7%99.5%56.9%1.8%-7.1%1.0M-43.9M-133.0K0.6652.97N/AN/A2,2601,49060,42035,280