MSTR Options History — December 2011

In December 2011, MSTR traded between $10.48 and $12.59. ATM implied volatility averaged 44.3%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 6.9% (HV 20d: 51.2%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.00.

Notable Days

  • 2011-12-28: Highest Volume — 5,530 contracts
  • 2011-12-13: Largest IV spike — 18.6% change
  • 2011-12-14: Highest IV Rank — 54.8%
  • 2011-12-14: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.32$10.48$12.59$12.23$10.83
Max Pain$11.55$11.00$13.00$13.00$11.00
ATM IV44.3%37.4%52.3%45.5%45.3%
Expected Move13.0%12.2%14.6%13.1%13.0%
HV 20d51.2%43.1%55.4%52.0%43.1%
HV 60d60.4%54.9%62.9%62.9%54.9%
IV Rank39.7%27.0%54.8%42.5%41.4%
IV Percentile55.1%46.4%71.8%57.1%53.6%
Term Structure6.7%0.9%12.8%2.7%9.3%
VWIV45.8%41.9%53.8%53.8%46.1%
Skew 25d5.1%2.0%8.0%7.3%3.9%
Skew 10d9.7%0.9%20.5%13.5%5.7%
Call IV 25d42.9%40.3%45.6%42.1%43.9%
Put IV 25d48.0%44.4%52.1%49.4%47.8%
Bid-Ask Spread %70.0121.2683.7881.0121.26
Gamma HHI0.190.110.410.110.13
Net GEX-191.1K-755.1K145.2K-166.4K117.9K
Net DEX7.7M-2.7M25.2M932.9K3.4M
Net VEX-60.7K-85.3K-45.7K-85.3K-52.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.000.0825.2025.201.09
Total Volume2,343.812405,5301,3101,670
Total OI75,610.47654,38092,32083,20063,190

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$12.23$13.0045.5%13.1%52.0%42.5%53.8%7.3%2.7%-166.4K932.9K-85.3K25.2081.01N/AN/A501,26042,27040,930
2011-12-02$12.13$13.0045.4%13.0%52.1%42.2%47.9%8.0%1.8%-176.1K2.8M-81.9K2.8983.78N/AN/A5401,56042,23040,740
2011-12-05$12.59$11.5045.0%13.2%53.3%41.5%44.5%5.3%4.8%-121.7K-2.7M-80.6K2.7568.56N/AN/A1,2803,52042,73041,190
2011-12-06$12.45$11.5042.1%13.2%53.5%36.0%44.4%5.6%4.1%-313.8K773.3K-79.6K3.3468.90N/AN/A6102,04043,08043,960
2011-12-07$12.29$11.5042.2%12.8%52.8%36.1%41.9%5.1%4.3%-416.1K4.3M-78.5K3.0521.64N/AN/A6101,86043,27045,570
2011-12-08$11.94$11.5045.0%13.5%53.6%41.4%47.5%5.4%3.7%-511.6K9.8M-76.1K2.4877.99N/AN/A8001,98043,65047,010
2011-12-09$12.15$11.5037.4%12.5%50.8%27.0%43.8%6.3%7.1%-735.1K9.3M-73.2K0.9174.53N/AN/A74067043,47048,620
2011-12-12$12.05$11.5038.9%13.0%47.7%29.9%45.7%6.1%3.9%-755.1K10.9M-68.1K1.1874.90N/AN/A11013043,74048,580
2011-12-13$11.46$11.5046.2%12.7%50.5%43.7%46.3%4.6%5.2%-541.5K17.4M-60.8K1.3382.34N/AN/A57076043,68047,130
2011-12-14$10.65$11.5052.3%14.6%54.1%54.8%47.0%7.2%0.9%-414.2K25.2M-50.3K1.7977.80N/AN/A1,9703,53043,96046,680
2011-12-15$10.69$11.5046.5%13.3%54.4%43.6%47.6%5.7%5.7%-303.6K24.5M-48.8K0.5279.25N/AN/A1,80093044,52044,800
2011-12-16$10.87$11.5043.3%12.4%54.4%37.4%42.9%5.1%6.4%-544.7K20.5M-50.3K1.5279.17N/AN/A31047045,85043,090
2011-12-19$10.54$11.5045.9%13.2%54.9%42.4%45.9%2.0%5.1%91.2K4.3M-47.4K0.5976.80N/AN/A1,47087030,88023,500
2011-12-20$10.71$11.5044.2%12.7%55.4%39.2%43.2%3.9%11.6%112.4K4.4M-47.8K1.8077.45N/AN/A9401,69030,96024,160
2011-12-21$10.48$11.5042.9%12.3%55.3%36.7%43.9%5.0%12.8%53.5K6.2M-45.7K1.6580.70N/AN/A9601,58031,74025,080
2011-12-22$10.73$11.5043.0%12.3%53.5%36.7%42.4%2.7%11.0%105.5K4.2M-49.8K0.0881.73N/AN/A1,73014032,14025,390
2011-12-23$10.73$11.5042.5%12.2%52.5%36.0%45.6%4.6%12.5%124.6K4.0M-49.4K2.2376.91N/AN/A4701,05033,07025,370
2011-12-27$10.72$11.0044.1%12.7%44.2%39.0%50.2%4.8%10.1%145.2K3.3M-49.1K1.0081.33N/AN/A43043033,48025,900
2011-12-28$10.55$11.0046.5%13.3%44.4%43.6%47.3%3.7%8.4%97.1K4.7M-47.7K7.2578.40N/AN/A6704,86033,90025,920
2011-12-29$10.90$11.0045.6%13.1%43.1%41.9%43.5%4.2%8.7%139.8K3.2M-51.6K0.4125.76N/AN/A1,53063034,46027,930
2011-12-30$10.83$11.0045.3%13.0%43.1%41.4%46.1%3.9%9.3%117.9K3.4M-52.7K1.0921.26N/AN/A80087034,81028,380