MSTR Options History — November 2011

In November 2011, MSTR traded between $10.97 and $13.30. ATM implied volatility averaged 51.9%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 15.9% (HV 20d: 67.7%). Max pain ranged from $13.00 to $13.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.69.

Notable Days

  • 2011-11-01: Highest Volume — 22,990 contracts
  • 2011-11-29: Largest IV drop — 15.2% change
  • 2011-11-01: Highest IV Rank — 84.9%
  • 2011-11-01: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.12$10.97$13.30$11.65$12.31
Max Pain$13.38$13.00$13.50$13.00$13.00
ATM IV51.9%41.6%67.9%67.9%41.6%
Expected Move14.9%11.9%19.5%19.5%11.9%
HV 20d67.7%51.9%72.0%70.0%51.9%
HV 60d64.8%61.4%71.0%71.0%63.1%
IV Rank54.5%35.1%84.9%84.9%35.1%
IV Percentile71.4%54.8%97.6%97.6%54.8%
Term Structure0.3%-4.8%4.0%-4.8%4.0%
VWIV51.3%46.3%66.5%66.5%47.5%
Skew 25d6.9%2.5%11.2%11.2%3.9%
Skew 10d13.7%5.5%25.1%17.8%10.4%
Call IV 25d48.7%41.8%61.9%61.9%41.8%
Put IV 25d55.6%45.7%73.1%73.1%45.7%
Bid-Ask Spread %64.8147.9680.8154.3880.81
Gamma HHI0.140.110.300.120.11
Net GEX-350.1K-799.6K-45.5K-305.2K-45.5K
Net DEX6.2M-11.3M15.6M13.6M-556.9K
Net VEX-96.7K-111.6K-75.2K-99.3K-84.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.059.711.419.71
Total Volume5,675.23861022,99022,99010,710
Total OI93,726.1974,520118,18080,05081,000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$11.65$13.0067.9%19.5%70.0%84.9%66.5%11.2%-4.8%-305.2K13.6M-99.3K1.4154.38N/AN/A9,53013,46037,17042,880
2011-11-02$11.73$13.0064.8%18.6%68.7%79.1%63.9%9.5%-2.7%-316.7K13.9M-106.6K0.5061.98N/AN/A1,95098040,53048,060
2011-11-03$11.77$13.0059.4%17.0%68.7%68.8%53.1%11.2%-0.7%-328.1K13.5M-106.1K0.2369.22N/AN/A2,00047042,11048,810
2011-11-04$11.64$13.5058.2%16.9%68.7%66.5%55.0%10.3%-2.6%-342.2K14.2M-103.5K0.2547.96N/AN/A1,83045042,48049,040
2011-11-07$11.63$13.5055.9%15.3%68.1%62.1%55.4%8.4%-0.1%-353.1K15.6M-95.9K1.8349.70N/AN/A1,4102,58043,83049,100
2011-11-08$11.99$13.5048.7%14.8%68.4%48.5%51.1%7.8%-0.0%-362.5K11.3M-101.1K1.1253.01N/AN/A3,0903,46044,54049,980
2011-11-09$11.80$13.5049.1%15.1%68.1%49.2%52.1%7.2%-0.4%-424.5K13.4M-101.5K5.8254.41N/AN/A7604,42046,14052,380
2011-11-10$12.40$13.5048.9%14.0%69.4%48.9%47.8%7.4%1.0%-515.5K6.2M-107.2K1.2758.81N/AN/A6,0507,66046,63056,130
2011-11-11$12.98$13.5047.1%13.5%68.8%45.5%50.2%6.9%1.5%-526.6K-3.0M-111.6K3.0959.06N/AN/A9703,00049,65061,630
2011-11-14$12.93$13.5049.6%14.2%67.8%50.2%48.9%7.4%0.8%-493.6K-3.1M-109.1K1.2659.95N/AN/A1,6902,13050,18062,560
2011-11-15$13.30$13.5046.6%13.3%68.5%44.4%47.9%7.3%2.2%-138.1K-11.3M-108.6K0.6860.80N/AN/A2,9001,96050,93063,440
2011-11-16$13.14$13.5049.0%14.0%68.4%49.0%46.3%5.4%0.5%-314.2K-8.6M-109.4K5.2469.24N/AN/A9705,08051,61064,900
2011-11-17$12.70$13.5050.8%14.6%69.5%52.5%48.9%6.2%0.1%-799.6K1.3M-104.2K0.9566.38N/AN/A3,9503,74052,35065,170
2011-11-18$12.45$13.5048.6%13.9%69.5%48.3%47.5%5.8%0.4%-723.3K4.5M-100.7K0.1162.46N/AN/A8,97099054,32063,860
2011-11-21$12.21$13.5051.0%14.6%67.9%52.8%48.1%6.2%0.2%-183.6K4.9M-87.5K0.7569.29N/AN/A79059035,42039,130
2011-11-22$11.90$13.5047.0%13.5%67.5%45.2%48.4%3.8%3.2%-232.1K7.0M-84.0K0.6574.08N/AN/A37024035,57038,950
2011-11-23$11.30$13.5050.2%14.4%69.3%51.4%47.8%7.1%2.3%-295.8K11.6M-75.4K0.1477.92N/AN/A2,81040035,74038,940
2011-11-25$10.97$13.5051.6%14.8%65.4%54.1%51.8%5.6%2.1%-272.8K12.5M-75.2K0.3875.28N/AN/A53020038,03039,050
2011-11-28$11.82$13.5055.9%16.0%72.0%62.2%52.2%3.3%-3.2%-209.0K7.0M-79.7K0.0678.89N/AN/A1,59010038,52039,000
2011-11-29$11.81$13.0047.4%13.6%66.4%46.1%47.0%2.5%2.4%-169.4K5.6M-80.0K0.0577.46N/AN/A4,20020039,40039,090
2011-11-30$12.31$13.0041.6%11.9%51.9%35.1%47.5%3.9%4.0%-45.5K-556.9K-84.3K9.7180.81N/AN/A1,0009,71041,82039,180