MSTR Options History — June 2011

In June 2011, MSTR traded between $13.97 and $16.34. ATM implied volatility averaged 36.1%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 2.7% (HV 20d: 38.9%). Max pain ranged from $10.50 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.48.

Notable Days

2011-06-29: Highest Volume — 12,870 contracts
2011-06-23: Largest IV spike — 13.5% change
2011-06-06: Highest IV Rank — 40.4%
2011-06-08: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.77	$13.97	$16.34	$14.97	$16.27
Max Pain	$11.14	$10.50	$13.00	$13.00	$12.50
ATM IV	36.1%	31.7%	39.8%	34.5%	31.7%
Expected Move	10.3%	9.1%	11.1%	9.9%	9.1%
HV 20d	38.9%	30.9%	42.9%	40.2%	30.9%
HV 60d	37.7%	36.4%	40.0%	37.3%	36.4%
IV Rank	32.0%	21.8%	40.4%	28.3%	21.8%
IV Percentile	71.2%	50.8%	79.4%	67.1%	50.8%
Term Structure	7.6%	1.0%	13.6%	1.4%	13.6%
VWIV	36.6%	31.4%	40.6%	34.1%	31.4%
Skew 25d	2.6%	-0.1%	4.9%	3.3%	0.4%
Skew 10d	6.0%	-1.8%	17.4%	4.5%	1.4%
Call IV 25d	35.2%	31.4%	38.1%	33.7%	31.4%
Put IV 25d	37.8%	31.8%	40.6%	36.9%	31.8%
Bid-Ask Spread %	71.31	63.69	83.05	79.13	83.05
Gamma HHI	0.16	0.12	0.23	0.16	0.14
Net GEX	728.7K	359.1K	1.1M	1.1M	684.0K
Net DEX	-32.1M	-44.7M	-19.8M	-42.2M	-41.6M
Net VEX	-90.5K	-119.0K	-74.2K	-98.9K	-119.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	0.02	7.10	0.39	1.04
Total Volume	4,231.818	990	12,870	6,610	1,100
Total OI	82,983.182	63,020	96,210	84,470	96,210

Daily Data (22 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
2011-06-01	$14.97	$13.00	34.5%	9.9%	40.2%	28.3%	34.1%	3.3%	1.4%	1.1M	-42.2M	-98.9K	0.39	79.13	N/A	N/A	4,740	1,870	49,760	34,710
2011-06-02	$14.32	$13.00	36.3%	10.4%	42.9%	32.4%	36.6%	2.2%	1.0%	884.7K	-33.3M	-100.2K	0.48	79.95	N/A	N/A	2,420	1,170	50,220	35,730
2011-06-03	$14.34	$10.50	36.6%	10.6%	40.1%	33.0%	38.1%	4.9%	4.6%	869.4K	-32.4M	-104.5K	3.24	63.77	N/A	N/A	450	1,460	50,510	36,480
2011-06-06	$14.20	$10.50	39.8%	10.8%	40.3%	40.4%	37.3%	2.9%	4.5%	832.6K	-31.1M	-96.6K	0.02	68.57	N/A	N/A	5,150	110	50,750	37,100
2011-06-07	$14.07	$10.50	39.0%	10.9%	40.5%	38.5%	40.6%	2.8%	3.6%	831.0K	-31.1M	-96.5K	0.54	63.69	N/A	N/A	2,160	1,170	51,840	37,100
2011-06-08	$14.14	$10.50	38.9%	11.1%	40.3%	38.4%	36.4%	3.6%	1.7%	763.5K	-28.0M	-95.8K	2.19	65.11	N/A	N/A	310	680	49,600	37,740
2011-06-09	$14.24	$10.50	37.4%	10.7%	40.3%	34.9%	39.7%	2.9%	4.0%	802.9K	-29.5M	-91.9K	7.10	64.84	N/A	N/A	200	1,420	49,590	37,970
2011-06-10	$13.98	$10.50	37.1%	10.6%	40.8%	34.1%	38.8%	0.7%	6.0%	613.2K	-25.5M	-89.2K	0.36	69.14	N/A	N/A	1,770	640	49,720	38,520
2011-06-13	$13.98	$10.50	36.2%	10.4%	40.1%	32.1%	35.1%	3.4%	7.0%	677.9K	-27.2M	-86.0K	0.21	70.56	N/A	N/A	5,890	1,250	50,600	39,020
2011-06-14	$14.27	$10.50	33.7%	9.7%	39.2%	26.5%	34.4%	3.0%	7.3%	699.7K	-27.6M	-79.3K	0.39	68.88	N/A	N/A	950	370	45,800	39,450
2011-06-15	$14.14	$10.50	36.8%	10.5%	39.4%	33.4%	36.5%	2.5%	6.8%	598.0K	-26.0M	-78.4K	0.37	67.95	N/A	N/A	1,420	530	45,720	39,650
2011-06-16	$14.28	$10.50	36.0%	10.3%	39.4%	31.7%	36.7%	1.1%	6.5%	696.5K	-27.2M	-74.2K	1.43	71.95	N/A	N/A	610	870	45,240	38,720
2011-06-17	$14.05	$10.50	37.1%	10.6%	36.0%	34.1%	37.0%	2.5%	7.2%	689.1K	-24.8M	-75.9K	0.75	71.25	N/A	N/A	1,620	1,220	45,390	39,070
2011-06-20	$13.97	$10.50	34.9%	10.0%	36.1%	29.1%	35.8%	2.5%	12.5%	359.1K	-19.8M	-75.6K	0.46	64.23	N/A	N/A	2,930	1,360	33,580	29,440
2011-06-21	$14.53	$10.50	36.2%	10.4%	37.4%	32.2%	38.1%	4.6%	8.8%	509.9K	-24.5M	-79.4K	3.33	79.26	N/A	N/A	1,660	5,530	35,180	30,380
2011-06-22	$14.97	$11.00	34.0%	9.8%	38.1%	27.1%	33.9%	3.3%	11.1%	550.9K	-28.9M	-83.0K	0.70	74.50	N/A	N/A	1,910	1,340	35,740	35,100
2011-06-23	$15.88	$11.00	38.6%	11.1%	42.5%	37.8%	37.5%	1.1%	8.7%	616.8K	-36.7M	-86.2K	0.60	72.19	N/A	N/A	5,880	3,550	36,230	36,300
2011-06-24	$15.77	$11.50	36.4%	10.4%	42.6%	32.6%	38.3%	-0.1%	12.5%	725.0K	-38.4M	-91.6K	0.78	74.04	N/A	N/A	5,370	4,200	39,800	38,100
2011-06-27	$16.02	$12.00	36.4%	10.4%	36.1%	32.7%	38.2%	3.4%	12.0%	804.9K	-41.7M	-97.0K	1.34	71.50	N/A	N/A	880	1,180	42,400	41,240
2011-06-28	$16.28	$12.00	34.6%	9.9%	36.3%	28.4%	35.3%	2.3%	13.3%	900.5K	-44.7M	-94.2K	2.40	71.25	N/A	N/A	850	2,040	42,800	41,780
2011-06-29	$16.34	$12.50	33.1%	9.5%	35.6%	24.9%	35.6%	3.3%	12.0%	862.5K	-44.0M	-98.1K	4.48	74.09	N/A	N/A	2,350	10,520	42,810	42,540
2011-06-30	$16.27	$12.50	31.7%	9.1%	30.9%	21.8%	31.4%	0.4%	13.6%	684.0K	-41.6M	-119.0K	1.04	83.05	N/A	N/A	540	560	44,190	52,020