MSTR Options History — October 2011

In October 2011, MSTR traded between $10.51 and $14.34. ATM implied volatility averaged 61.7%, placing in the 73.2% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded below realized volatility by 0.7% (HV 20d: 62.4%). Max pain ranged from $11.50 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2011-10-31: Highest Volume — 28,420 contracts
  • 2011-10-13: Largest IV spike — 21.3% change
  • 2011-10-03: Highest IV Rank — 100.0%
  • 2011-10-03: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.75$10.51$14.34$10.51$13.18
Max Pain$12.48$11.50$13.00$13.00$13.00
ATM IV61.7%51.1%75.8%75.8%69.3%
Expected Move18.3%16.4%21.7%21.7%19.9%
HV 20d62.4%54.8%69.8%64.4%56.5%
HV 60d69.2%67.3%70.4%67.3%69.7%
IV Rank73.2%53.1%100.0%100.0%87.6%
IV Percentile91.4%77.0%100.0%100.0%98.4%
Term Structure-3.4%-11.3%8.2%0.1%-11.3%
VWIV62.8%55.7%71.4%71.4%64.9%
Skew 25d9.2%5.7%13.2%8.1%10.3%
Skew 10d17.5%0.1%26.9%10.8%0.1%
Call IV 25d59.0%52.4%69.8%69.8%59.7%
Put IV 25d68.2%60.7%77.9%77.9%70.1%
Bid-Ask Spread %41.1121.7877.4868.8649.65
Gamma HHI0.110.060.300.080.07
Net GEX248.8K76.1K545.1K76.1K91.6K
Net DEX-5.0M-17.4M10.1M10.1M-6.7M
Net VEX-86.3K-92.9K-77.2K-77.2K-86.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.242.610.991.83
Total Volume4,841.4291,15028,4203,69028,420
Total OI82,090.47647,410101,82088,30056,390

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$10.51$13.0075.8%21.7%64.4%100.0%71.4%8.1%0.1%76.1K10.1M-77.2K0.9968.86N/AN/A1,8501,84053,35034,950
2011-10-04$11.26$13.0064.6%18.5%69.0%78.7%61.7%10.5%6.3%152.3K6.9M-83.8K0.2473.66N/AN/A3,32081054,19035,730
2011-10-05$11.70$12.5062.3%17.9%69.8%74.3%62.4%9.8%7.7%222.2K2.1M-89.7K1.8177.48N/AN/A7801,41054,69035,050
2011-10-06$11.70$12.5060.9%17.5%68.9%71.7%59.7%6.9%8.2%220.1K2.1M-89.4K1.9075.55N/AN/A48091054,69035,420
2011-10-07$11.60$11.5058.4%19.7%66.8%67.0%60.5%11.4%-5.4%213.6K2.6M-86.8K0.9821.78N/AN/A58057054,75035,770
2011-10-10$11.88$11.5055.0%19.1%67.1%60.5%70.3%11.5%-6.6%240.7K1.9M-83.3K0.8124.68N/AN/A80065054,94036,200
2011-10-11$12.20$11.5056.8%18.9%63.5%63.8%59.1%11.8%-6.5%302.7K-1.8M-85.2K0.3824.32N/AN/A2,59099055,35036,010
2011-10-12$12.45$11.5051.1%18.4%62.1%53.1%64.7%8.7%-5.2%379.0K-4.1M-85.2K1.0922.85N/AN/A9801,07056,01036,190
2011-10-13$12.90$12.0062.0%17.8%63.2%73.8%61.6%11.4%-5.9%458.0K-7.9M-85.6K0.8526.83N/AN/A1,9101,62055,99036,680
2011-10-14$13.58$12.0058.9%16.9%65.0%67.9%59.4%9.6%-4.2%545.1K-17.4M-92.9K0.5534.41N/AN/A4,0102,20057,21037,840
2011-10-17$13.11$12.0064.4%18.5%65.9%78.4%69.0%8.6%-5.4%441.5K-10.0M-86.8K2.1429.33N/AN/A2,7405,87057,37039,400
2011-10-18$13.24$12.0065.2%18.7%64.3%79.8%62.9%13.2%-8.6%385.2K-9.8M-85.3K2.6130.78N/AN/A2,3206,06057,21041,650
2011-10-19$13.05$13.0065.9%18.9%64.7%81.1%66.4%9.3%-6.2%237.6K-7.4M-88.7K0.9732.52N/AN/A1,0601,03057,87043,770
2011-10-20$13.11$13.0064.4%18.5%59.9%78.3%61.3%8.5%-5.3%175.1K-7.7M-87.7K0.2425.08N/AN/A2,03049057,82044,000
2011-10-21$13.30$13.0063.0%18.1%56.4%75.8%64.7%8.1%-5.4%378.8K-8.6M-85.0K0.5527.09N/AN/A1,50082056,47043,840
2011-10-24$13.82$13.0057.1%16.4%57.1%64.5%55.7%9.4%-2.8%127.2K-9.2M-83.0K0.6239.49N/AN/A1,04064024,21023,200
2011-10-25$13.35$13.0061.5%17.6%58.2%72.7%62.9%7.9%-3.5%93.6K-7.2M-82.0K1.1435.36N/AN/A2,5802,95024,66023,670
2011-10-26$13.40$13.0061.9%17.7%54.8%73.5%61.8%5.7%-3.7%101.3K-7.4M-88.8K0.9842.40N/AN/A3,3403,29026,21025,340
2011-10-27$14.16$13.0058.8%16.8%57.4%67.6%58.6%5.7%-4.4%182.0K-12.6M-89.7K0.3052.87N/AN/A2,01061027,68027,230
2011-10-28$14.34$13.0058.1%16.6%56.0%66.2%60.3%5.8%-4.0%201.0K-13.9M-90.2K1.3048.30N/AN/A1,5201,98027,61027,290
2011-10-31$13.18$13.0069.3%19.9%56.5%87.6%64.9%10.3%-11.3%91.6K-6.7M-86.9K1.8349.65N/AN/A10,04018,38028,48027,910