MSTR Options History — July 2011

In July 2011, MSTR traded between $15.66 and $17.60. ATM implied volatility averaged 45.7%, placing in the 54.0% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 10.4% (HV 20d: 35.3%). Max pain ranged from $12.50 to $16.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.51.

Notable Days

  • 2011-07-21: Highest Volume — 14,280 contracts
  • 2011-07-14: Largest IV spike — 66.8% change
  • 2011-07-28: Highest IV Rank — 82.6%
  • 2011-07-28: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.66$15.66$17.60$16.64$15.94
Max Pain$15.82$12.50$16.50$12.50$16.50
ATM IV45.7%28.7%58.1%29.9%58.0%
Expected Move14.7%8.6%16.7%8.6%16.6%
HV 20d35.3%30.7%39.7%31.4%36.5%
HV 60d37.3%36.1%38.8%36.3%36.8%
IV Rank54.0%14.8%82.6%17.7%82.4%
IV Percentile77.9%21.8%98.8%34.1%98.4%
Term Structure-6.8%-10.9%15.2%15.2%-10.4%
VWIV51.7%28.4%58.7%28.4%58.7%
Skew 25d1.5%-2.3%4.4%2.9%4.3%
Skew 10d2.5%-17.0%9.7%8.1%9.0%
Call IV 25d51.1%28.5%58.9%28.5%56.9%
Put IV 25d52.7%31.4%61.2%31.4%61.2%
Bid-Ask Spread %43.5426.4187.2987.2955.96
Gamma HHI0.160.090.710.160.11
Net GEX716.6K-335.0K4.0M831.7K-335.0K
Net DEX-31.3M-59.6M4.7M-46.7M4.7M
Net VEX-145.7K-215.1K-115.9K-115.9K-215.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.127.310.230.43
Total Volume6,532.52,10014,2808,4302,370
Total OI100,900.564,170127,66096,830127,660

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$16.64$12.5029.9%8.6%31.4%17.7%28.4%2.9%15.2%831.7K-46.7M-115.9K0.2387.29N/AN/A6,8601,57044,48052,350
2011-07-05$16.77$15.0030.7%13.1%30.7%19.4%47.7%4.0%-5.3%1.0M-51.6M-121.3K1.1431.64N/AN/A1,9602,23048,97053,240
2011-07-06$16.57$15.0030.9%13.4%30.9%19.9%47.1%3.2%-5.8%970.1K-49.2M-119.2K0.8937.12N/AN/A1,4201,27049,96054,720
2011-07-07$16.64$15.0030.3%13.6%31.0%18.7%47.3%3.3%-6.6%1.0M-50.4M-122.8K7.3126.89N/AN/A3902,85050,91055,470
2011-07-08$16.47$16.0028.7%13.8%31.6%14.8%48.4%2.9%-7.6%856.0K-45.6M-126.9K0.4926.41N/AN/A1,47072051,28057,780
2011-07-11$15.99$16.0039.5%14.2%33.0%39.6%50.0%2.0%-7.7%585.4K-38.0M-121.9K0.1730.11N/AN/A4,79082052,16058,370
2011-07-12$15.66$16.0036.5%14.3%34.4%32.7%50.2%1.8%-7.1%376.5K-32.4M-126.3K0.1228.38N/AN/A2,42030055,86058,720
2011-07-13$16.32$16.0032.3%14.5%36.3%23.0%50.4%4.2%-8.7%811.5K-44.2M-129.2K0.8133.79N/AN/A2,6202,13056,22058,980
2011-07-14$17.13$16.0053.8%15.4%38.6%72.7%54.5%4.4%-10.8%1.8M-59.6M-127.6K0.2843.98N/AN/A8,0902,25056,77059,640
2011-07-15$16.97$16.0051.0%14.6%39.2%66.2%52.1%0.9%-8.2%4.0M-55.6M-126.0K0.5245.90N/AN/A5,4202,84057,85061,670
2011-07-18$16.88$16.0052.9%15.2%38.5%70.5%54.8%2.1%-7.3%279.5K-17.2M-128.8K0.7236.76N/AN/A3,8802,81029,80034,370
2011-07-19$17.60$16.0052.1%14.9%39.7%68.7%54.0%0.4%-4.5%445.5K-24.9M-132.3K0.5842.51N/AN/A5,2003,04032,89036,390
2011-07-20$17.41$16.0052.2%15.0%39.0%69.0%53.2%-0.4%-6.2%500.8K-26.8M-143.4K6.7853.67N/AN/A2701,83036,56038,320
2011-07-21$17.06$16.0053.4%15.3%39.5%71.7%53.6%0.1%-6.6%432.8K-23.0M-141.7K1.1354.64N/AN/A6,7207,56036,78039,020
2011-07-22$17.17$16.5054.9%15.7%34.3%75.3%56.1%-1.0%-8.0%371.9K-22.6M-169.6K3.9641.39N/AN/A4601,82042,82045,990
2011-07-25$16.94$16.5056.2%16.1%34.7%78.1%55.8%-2.3%-9.2%318.7K-20.7M-164.2K1.0447.10N/AN/A5,0205,22043,00046,830
2011-07-26$16.71$16.5055.4%15.9%34.9%76.3%55.7%-1.4%-10.2%182.2K-14.6M-179.4K1.1053.37N/AN/A6,7107,37047,77052,090
2011-07-27$16.31$16.5057.2%16.4%35.7%80.6%57.5%0.1%-10.7%2.0K-7.2M-198.7K0.9944.66N/AN/A3,6903,65054,16058,610
2011-07-28$15.95$16.5058.1%16.7%36.5%82.6%58.0%-0.5%-10.9%-154.4K-1.3M-203.4K1.4549.30N/AN/A4,3306,28057,57061,980
2011-07-29$15.94$16.5058.0%16.6%36.5%82.4%58.7%4.3%-10.4%-335.0K4.7M-215.1K0.4355.96N/AN/A1,66071060,27067,390