MSTR Options History — August 2011

In August 2011, MSTR traded between $10.59 and $16.00. ATM implied volatility averaged 54.4%, placing in the 67.7% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded below realized volatility by 14.1% (HV 20d: 68.5%). Max pain ranged from $12.00 to $16.50. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.82.

Notable Days

2011-08-03: Highest Volume — 22,960 contracts
2011-08-10: Largest IV spike — 54.2% change
2011-08-02: Highest IV Rank — 100.0%
2011-08-02: Largest Expected Move — 19.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.32	$10.59	$16.00	$16.00	$12.29
Max Pain	$14.37	$12.00	$16.50	$16.50	$12.00
ATM IV	54.4%	38.9%	70.4%	61.5%	48.3%
Expected Move	15.3%	11.1%	19.6%	17.6%	13.8%
HV 20d	68.5%	35.5%	88.8%	35.5%	87.8%
HV 60d	51.6%	35.7%	58.8%	35.7%	58.8%
IV Rank	67.7%	36.0%	100.0%	90.4%	54.1%
IV Percentile	91.5%	78.2%	100.0%	98.8%	84.1%
Term Structure	-3.0%	-14.8%	3.1%	-14.5%	1.8%
VWIV	52.1%	29.5%	65.9%	61.8%	47.6%
Skew 25d	7.4%	-1.5%	17.8%	0.6%	5.4%
Skew 10d	12.6%	-4.6%	27.8%	2.1%	10.3%
Call IV 25d	50.0%	38.3%	64.7%	61.6%	46.3%
Put IV 25d	57.4%	41.3%	67.2%	62.2%	51.7%
Bid-Ask Spread %	70.75	53.38	80.46	53.38	80.46
Gamma HHI	0.10	0.07	0.13	0.12	0.09
Net GEX	-152.3K	-1.0M	220.5K	-319.5K	220.5K
Net DEX	30.3M	2.6M	52.5M	2.6M	2.7M
Net VEX	-106.5K	-207.1K	-77.8K	-207.1K	-104.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.23	2.59	0.42	0.36
Total Volume	6,614.783	950	22,960	5,170	3,600
Total OI	132,601.304	100,910	165,840	128,960	106,970

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
2011-08-01	$16.00	$16.50	61.5%	17.6%	35.5%	90.4%	61.8%	0.6%	-14.5%	-319.5K	2.6M	-207.1K	0.42	53.38	N/A	N/A	3,650	1,520	61,160	67,800
2011-08-02	$15.19	$16.50	68.5%	19.6%	39.4%	100.0%	65.9%	2.6%	-14.8%	-412.3K	14.3M	-195.8K	0.65	63.12	N/A	N/A	11,550	7,520	64,090	67,800
2011-08-03	$14.74	$16.50	38.9%	11.1%	40.3%	36.0%	29.5%	3.0%	-0.0%	-1.0M	38.4M	-149.1K	1.59	73.77	N/A	N/A	8,880	14,080	72,110	71,580
2011-08-04	$13.70	$16.50	47.2%	13.5%	46.6%	54.0%	45.7%	-1.5%	-1.1%	-606.3K	40.8M	-126.6K	1.45	79.72	N/A	N/A	2,990	4,340	72,750	65,230
2011-08-05	$12.84	$16.50	53.5%	13.6%	50.5%	67.7%	48.2%	4.2%	-1.3%	-569.2K	50.0M	-101.6K	0.92	66.46	N/A	N/A	5,170	4,770	73,880	66,130
2011-08-08	$11.57	$16.50	70.2%	17.2%	60.0%	100.0%	58.7%	3.1%	-4.2%	-327.3K	51.9M	-80.1K	0.55	74.31	N/A	N/A	4,830	2,680	75,840	64,950
2011-08-09	$12.32	$16.50	45.6%	14.0%	66.2%	48.8%	51.2%	17.8%	-0.7%	-379.8K	52.3M	-83.8K	1.03	70.18	N/A	N/A	3,720	3,820	80,330	65,060
2011-08-10	$11.37	$16.50	70.4%	16.9%	67.3%	100.0%	60.4%	7.3%	-5.3%	-241.5K	51.2M	-78.8K	0.35	68.89	N/A	N/A	1,990	700	81,320	65,420
2011-08-11	$11.98	$16.50	51.2%	14.7%	67.8%	60.2%	48.5%	12.9%	-1.3%	-279.4K	52.5M	-80.9K	0.23	71.01	N/A	N/A	10,180	2,360	82,170	65,720
2011-08-12	$12.26	$15.50	48.4%	13.9%	69.3%	54.4%	47.5%	8.9%	-1.3%	-147.9K	44.6M	-102.2K	0.36	66.78	N/A	N/A	4,510	1,630	89,350	66,100
2011-08-15	$12.74	$14.00	44.9%	12.9%	71.9%	47.1%	45.1%	13.8%	3.1%	-184.9K	42.1M	-106.4K	0.61	65.63	N/A	N/A	1,530	930	90,890	66,540
2011-08-16	$12.47	$14.00	46.1%	13.2%	68.9%	49.6%	43.1%	7.4%	1.2%	-93.0K	42.8M	-105.5K	2.59	70.97	N/A	N/A	660	1,710	92,030	66,340
2011-08-17	$11.99	$14.00	49.1%	14.1%	69.3%	55.9%	42.7%	6.1%	-1.6%	33.3K	47.7M	-95.0K	1.88	68.23	N/A	N/A	1,760	3,300	92,280	67,370
2011-08-18	$10.80	$14.00	61.9%	17.8%	75.7%	82.4%	60.3%	4.8%	-5.3%	-61.3K	51.0M	-77.8K	0.64	73.78	N/A	N/A	7,960	5,110	91,800	66,720
2011-08-19	$10.59	$13.00	64.8%	18.6%	74.9%	88.4%	59.8%	3.3%	-7.8%	6.3K	49.9M	-84.9K	0.45	67.73	N/A	N/A	3,560	1,600	97,150	68,690
2011-08-22	$10.72	$13.00	62.0%	17.8%	75.9%	82.6%	59.4%	9.7%	-1.5%	53.2K	13.8M	-83.3K	0.80	75.71	N/A	N/A	960	770	66,630	34,280
2011-08-23	$11.35	$12.50	52.8%	15.1%	81.0%	63.5%	51.3%	11.6%	-0.8%	98.7K	11.3M	-91.6K	0.59	73.91	N/A	N/A	2,220	1,300	67,200	34,790
2011-08-24	$11.62	$12.00	54.4%	15.6%	82.4%	66.8%	55.5%	12.0%	-4.2%	132.8K	8.3M	-97.4K	1.05	71.71	N/A	N/A	860	900	68,020	34,520
2011-08-25	$11.09	$12.00	59.4%	17.0%	83.1%	77.2%	60.4%	8.5%	-3.9%	95.2K	10.6M	-93.6K	0.68	73.03	N/A	N/A	1,600	1,080	68,170	34,680
2011-08-26	$11.48	$12.00	52.5%	15.1%	84.9%	62.9%	53.9%	11.6%	-1.7%	130.7K	9.9M	-94.8K	0.53	75.80	N/A	N/A	1,490	790	69,060	35,230
2011-08-29	$12.17	$12.00	51.5%	14.8%	88.8%	60.9%	51.5%	9.7%	-2.6%	192.6K	4.2M	-102.6K	0.41	67.99	N/A	N/A	4,700	1,910	69,350	35,430
2011-08-30	$12.12	$12.00	48.8%	14.0%	87.7%	55.2%	49.4%	7.0%	-1.2%	204.7K	3.6M	-105.3K	0.83	74.77	N/A	N/A	520	430	70,200	36,700
2011-08-31	$12.29	$12.00	48.3%	13.8%	87.8%	54.1%	47.6%	5.4%	1.8%	220.5K	2.7M	-104.9K	0.36	80.46	N/A	N/A	2,640	960	69,980	36,990