MSTR Options History — May 2011

In May 2011, MSTR traded between $13.10 and $14.62. ATM implied volatility averaged 38.9%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 1.3% (HV 20d: 37.6%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.21.

Notable Days

2011-05-05: Highest Volume — 13,380 contracts
2011-05-05: Largest IV drop — 42.0% change
2011-05-02: Highest IV Rank — 100.0%
2011-05-04: Largest Expected Move — 18.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.69	$13.10	$14.62	$14.07	$14.62
Max Pain	$13.00	$13.00	$13.00	$13.00	$13.00
ATM IV	38.9%	31.1%	65.6%	63.7%	33.7%
Expected Move	11.4%	8.9%	18.8%	18.3%	9.7%
HV 20d	37.6%	32.9%	41.2%	32.9%	41.2%
HV 60d	35.0%	32.4%	37.6%	32.4%	37.2%
IV Rank	38.9%	20.4%	100.0%	100.0%	26.5%
IV Percentile	68.6%	43.7%	100.0%	100.0%	61.9%
Term Structure	0.4%	-10.7%	4.4%	-10.7%	2.0%
VWIV	40.5%	32.0%	65.6%	63.3%	35.1%
Skew 25d	1.9%	-3.0%	3.8%	2.4%	1.6%
Skew 10d	3.8%	-6.5%	11.9%	4.0%	2.7%
Call IV 25d	39.6%	31.2%	63.5%	61.8%	33.4%
Put IV 25d	41.5%	32.5%	66.6%	64.1%	35.0%
Bid-Ask Spread %	64.24	48.69	79.62	48.69	77.45
Gamma HHI	0.22	0.14	0.55	0.14	0.18
Net GEX	1.3M	534.9K	2.5M	1.0M	944.3K
Net DEX	-34.6M	-47.9M	-20.8M	-44.5M	-37.1M
Net VEX	-109.4K	-138.7K	-95.6K	-128.9K	-99.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.14	3.71	0.74	0.14
Total Volume	4,670	690	13,380	7,700	10,500
Total OI	102,008.571	74,860	117,150	96,990	82,850

Daily Data (21 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
2011-05-02	$14.07	$13.00	63.7%	18.3%	32.9%	100.0%	63.3%	2.4%	-10.7%	1.0M	-44.5M	-128.9K	0.74	48.69	N/A	N/A	4,420	3,280	61,030	35,960
2011-05-03	$13.67	$13.00	62.2%	17.8%	34.5%	96.5%	61.4%	-3.0%	-9.3%	1.0M	-38.4M	-134.2K	1.17	53.53	N/A	N/A	2,120	2,480	64,460	37,760
2011-05-04	$14.03	$13.00	65.6%	18.8%	35.7%	100.0%	65.6%	3.3%	-10.6%	1.1M	-42.6M	-138.7K	0.72	56.35	N/A	N/A	2,690	1,930	65,530	38,370
2011-05-05	$13.48	$13.00	38.1%	10.9%	37.8%	36.5%	38.6%	3.7%	0.8%	1.3M	-33.1M	-118.9K	1.09	79.62	N/A	N/A	6,410	6,970	66,740	39,290
2011-05-06	$13.53	$13.00	37.7%	11.8%	37.8%	35.6%	41.6%	2.2%	-0.4%	1.4M	-36.1M	-126.6K	0.75	50.85	N/A	N/A	2,440	1,830	69,000	41,290
2011-05-09	$13.49	$13.00	35.4%	11.6%	37.6%	30.4%	41.0%	2.5%	1.0%	1.4M	-34.4M	-120.3K	0.54	52.53	N/A	N/A	3,050	1,640	69,390	41,510
2011-05-10	$13.66	$13.00	32.1%	11.0%	37.7%	22.8%	39.5%	2.8%	2.3%	1.6M	-38.7M	-117.0K	3.08	56.78	N/A	N/A	750	2,310	71,050	42,100
2011-05-11	$13.64	$13.00	31.5%	10.7%	37.1%	21.4%	37.2%	3.2%	1.5%	1.5M	-38.6M	-113.3K	0.54	53.47	N/A	N/A	1,570	840	70,950	43,170
2011-05-12	$13.80	$13.00	36.0%	10.3%	37.2%	31.6%	37.3%	0.9%	3.2%	1.6M	-43.3M	-108.7K	1.56	59.35	N/A	N/A	1,050	1,640	71,070	43,410
2011-05-13	$13.53	$13.00	35.6%	10.2%	38.0%	30.8%	35.8%	-0.4%	3.2%	1.5M	-37.3M	-104.4K	0.28	58.30	N/A	N/A	4,180	1,150	71,150	42,890
2011-05-16	$13.18	$13.00	37.5%	10.8%	39.2%	35.2%	38.7%	0.8%	1.7%	1.4M	-27.8M	-105.9K	1.30	61.45	N/A	N/A	1,010	1,310	74,200	42,580
2011-05-17	$13.10	$13.00	35.7%	10.2%	38.7%	31.1%	37.2%	2.0%	2.8%	1.5M	-26.6M	-99.9K	1.20	63.48	N/A	N/A	1,840	2,200	73,890	42,090
2011-05-18	$13.15	$13.00	35.1%	10.1%	38.6%	29.5%	35.5%	1.4%	3.4%	1.6M	-28.8M	-98.1K	0.79	65.50	N/A	N/A	2,040	1,620	74,660	42,480
2011-05-19	$13.83	$13.00	33.2%	9.5%	39.2%	25.3%	36.0%	3.8%	4.4%	2.2M	-47.9M	-99.6K	0.59	68.17	N/A	N/A	4,990	2,930	73,850	41,250
2011-05-20	$13.88	$13.00	34.2%	9.8%	39.2%	27.5%	37.0%	3.4%	2.8%	2.5M	-45.6M	-97.3K	1.17	68.75	N/A	N/A	2,220	2,590	74,560	42,590
2011-05-23	$13.54	$13.00	36.0%	10.3%	40.1%	31.7%	37.2%	1.3%	1.8%	571.7K	-22.6M	-95.7K	2.14	67.85	N/A	N/A	990	2,120	45,480	29,380
2011-05-24	$13.41	$13.00	34.1%	9.8%	40.2%	27.2%	33.8%	-0.2%	2.9%	534.9K	-20.8M	-95.6K	1.07	73.98	N/A	N/A	1,150	1,230	46,010	31,370
2011-05-25	$13.64	$13.00	34.0%	9.8%	33.4%	27.1%	34.1%	3.8%	1.6%	613.8K	-23.4M	-98.9K	2.14	76.20	N/A	N/A	220	470	46,840	32,250
2011-05-26	$13.60	$13.00	31.1%	8.9%	33.3%	20.4%	32.0%	1.3%	3.0%	627.4K	-23.2M	-97.4K	3.71	78.03	N/A	N/A	350	1,300	46,940	32,420
2011-05-27	$14.57	$13.00	35.0%	10.0%	41.2%	29.3%	33.4%	3.2%	0.2%	874.3K	-35.2M	-99.0K	0.62	78.69	N/A	N/A	2,620	1,620	47,250	33,120
2011-05-31	$14.62	$13.00	33.7%	9.7%	41.2%	26.5%	35.1%	1.6%	2.0%	944.3K	-37.1M	-99.5K	0.14	77.45	N/A	N/A	9,220	1,280	48,640	34,210