MSTR Options History — September 2011

In September 2011, MSTR traded between $10.42 and $12.23. ATM implied volatility averaged 58.1%, placing in the 74.1% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 9.2% (HV 20d: 67.2%). Max pain ranged from $12.00 to $14.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2011-09-14: Highest Volume — 6,260 contracts
  • 2011-09-14: Largest IV drop — 24.0% change
  • 2011-09-12: Highest IV Rank — 98.6%
  • 2011-09-30: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.44$10.42$12.23$11.84$11.41
Max Pain$13.26$12.00$14.50$12.00$13.00
ATM IV58.1%48.9%69.7%48.9%64.6%
Expected Move16.3%14.0%18.5%14.0%18.5%
HV 20d67.2%58.1%85.3%85.3%61.7%
HV 60d62.7%59.2%65.5%59.2%65.5%
IV Rank74.1%55.3%98.6%55.3%87.7%
IV Percentile92.3%83.3%99.2%85.7%97.2%
Term Structure3.1%-3.4%7.7%1.1%5.9%
VWIV56.8%50.3%65.4%50.4%64.0%
Skew 25d8.0%3.9%11.8%6.5%9.4%
Skew 10d15.7%3.3%25.9%7.8%14.5%
Call IV 25d53.6%46.6%62.0%46.6%60.4%
Put IV 25d61.6%52.5%69.8%53.2%69.8%
Bid-Ask Spread %66.6060.4385.8180.5867.83
Gamma HHI0.110.070.220.090.07
Net GEX191.3K-74.0K589.6K181.0K172.1K
Net DEX6.3M-4.1M17.2M6.3M4.9M
Net VEX-89.3K-99.9K-75.5K-99.5K-91.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.143.971.510.65
Total Volume3,160.9528406,2602,8401,880
Total OI99,099.52478,860117,540107,87088,380

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$11.84$12.0048.9%14.0%85.3%55.3%50.4%6.5%1.1%181.0K6.3M-99.5K1.5180.58N/AN/A1,1301,71070,65037,220
2011-09-02$11.10$12.0053.1%15.2%85.2%64.2%50.3%3.9%-3.4%52.0K12.9M-89.2K0.6085.81N/AN/A1,9201,15071,34038,310
2011-09-06$10.94$14.5060.3%15.7%77.2%79.0%58.0%10.1%0.4%-7.6K15.1M-80.9K0.3663.14N/AN/A3,7801,37072,21038,210
2011-09-07$11.20$14.5056.7%15.6%73.9%71.6%54.3%8.8%-0.3%111.1K11.1M-88.8K0.6560.92N/AN/A51033073,58037,980
2011-09-08$10.88$14.5054.7%15.9%69.0%66.8%55.8%8.1%-1.0%26.5K13.4M-82.9K0.8061.29N/AN/A1,13090073,74038,010
2011-09-09$10.42$14.5062.9%17.2%67.3%84.2%57.6%9.8%-2.5%-74.0K17.2M-75.5K0.1862.87N/AN/A3,69066074,24038,310
2011-09-12$10.58$14.5069.7%17.3%66.9%98.6%56.9%9.5%-0.6%-48.6K15.7M-76.1K0.2364.32N/AN/A3,26076075,29038,330
2011-09-13$11.33$13.0066.1%16.0%70.4%91.0%55.0%9.6%-0.2%268.6K7.2M-91.3K0.3361.33N/AN/A3,9101,28078,28038,370
2011-09-14$11.83$13.0050.2%15.5%72.2%57.4%54.7%9.3%1.2%547.6K946.9K-95.0K0.2560.76N/AN/A5,0101,25079,48038,060
2011-09-15$11.88$13.0052.9%15.2%70.9%62.9%58.0%8.8%2.3%589.6K104.7K-93.9K2.5161.73N/AN/A39098079,32036,960
2011-09-16$12.16$13.0050.6%14.5%59.7%58.1%53.4%7.5%2.8%525.1K-4.1M-96.6K0.5060.43N/AN/A4,0602,01079,17037,170
2011-09-19$11.91$13.0052.1%14.9%59.7%61.2%53.4%7.4%7.7%203.1K1.6M-91.9K0.6365.05N/AN/A1,36086048,32030,540
2011-09-20$11.51$13.0054.8%15.7%61.3%66.9%52.3%6.1%6.0%157.5K4.2M-87.6K0.1464.87N/AN/A3,98055048,59031,140
2011-09-21$11.47$13.0055.2%15.8%58.1%67.9%55.1%6.8%6.5%170.0K4.6M-87.7K1.1365.14N/AN/A64072050,45031,380
2011-09-22$10.82$13.0063.7%18.3%61.0%85.8%63.1%5.8%4.2%108.3K8.2M-81.4K0.4565.95N/AN/A1,02046050,68031,290
2011-09-23$11.54$13.0061.2%17.5%63.3%80.5%60.3%8.7%4.9%179.2K4.6M-87.4K3.9767.68N/AN/A9003,57050,93031,100
2011-09-26$11.84$13.0059.7%17.1%62.8%77.4%54.7%11.8%7.4%209.5K2.7M-93.5K1.0365.95N/AN/A87090051,26033,370
2011-09-27$12.23$13.0059.1%16.9%60.3%76.1%59.3%7.4%7.4%266.3K-1.0M-99.9K0.7370.76N/AN/A1,28094051,84034,200
2011-09-28$11.66$13.0062.4%17.9%62.7%83.1%60.6%4.3%7.6%201.9K2.8M-94.3K0.6174.55N/AN/A67041052,04034,590
2011-09-29$11.69$13.0060.5%17.3%62.5%79.1%65.4%9.1%7.7%178.3K4.5M-90.4K0.8967.66N/AN/A2,2101,97051,89034,870
2011-09-30$11.41$13.0064.6%18.5%61.7%87.7%64.0%9.4%5.9%172.1K4.9M-91.1K0.6567.83N/AN/A1,14074053,06035,320