MSTR Options History — January 2012

In January 2012, MSTR traded between $10.46 and $11.55. ATM implied volatility averaged 51.1%, placing in the 52.3% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 13.2% (HV 20d: 37.9%). Max pain ranged from $10.00 to $11.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2012-01-30: Highest Volume — 32,560 contracts
  • 2012-01-12: Largest IV spike — 41.5% change
  • 2012-01-17: Highest IV Rank — 70.2%
  • 2012-01-09: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.96$10.46$11.55$11.13$11.51
Max Pain$10.22$10.00$11.50$11.00$10.00
ATM IV51.1%38.5%60.4%45.8%38.5%
Expected Move15.5%11.0%17.7%13.1%11.0%
HV 20d37.9%31.3%44.7%44.7%34.3%
HV 60d52.9%43.5%55.8%55.2%43.5%
IV Rank52.3%27.8%70.2%42.1%27.8%
IV Percentile66.2%38.1%86.9%55.6%38.1%
Term Structure-4.4%-10.5%12.2%11.1%1.8%
VWIV54.6%39.0%63.3%46.4%39.0%
Skew 25d5.1%-0.4%8.8%4.2%1.5%
Skew 10d9.6%-1.3%15.4%8.2%2.7%
Call IV 25d51.3%37.9%57.9%43.8%38.0%
Put IV 25d56.4%39.5%65.3%48.0%39.5%
Bid-Ask Spread %63.4133.5189.0485.2781.70
Gamma HHI0.190.120.680.150.21
Net GEX528.9K75.0K2.3M211.6K1.2M
Net DEX-6.6M-25.7M4.5M1.1M-25.7M
Net VEX-64.3K-94.2K-48.0K-51.2K-92.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.117.170.180.78
Total Volume8,31422032,5602,01014,150
Total OI76,23555,04099,21063,64099,210

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$11.13$11.0045.8%13.1%44.7%42.1%46.4%4.2%11.1%211.6K1.1M-51.2K0.1885.27N/AN/A1,70031035,12028,520
2012-01-04$10.70$11.0047.0%13.5%43.6%44.5%48.0%2.2%8.4%102.0K4.3M-48.0K0.8883.73N/AN/A1,6001,41035,79028,590
2012-01-05$10.57$11.0045.6%13.1%43.6%41.8%46.2%-0.4%12.2%75.0K4.5M-49.9K2.8189.04N/AN/A3701,04036,91029,070
2012-01-06$10.74$11.5044.3%16.5%44.3%39.3%60.1%8.2%-5.4%142.2K3.9M-49.9K0.2833.51N/AN/A6,2501,75037,25029,320
2012-01-09$10.50$10.0046.1%17.7%43.9%42.8%63.3%8.4%-10.3%105.4K3.6M-50.9K0.2246.82N/AN/A5,8401,31042,13030,190
2012-01-10$10.62$10.0043.8%17.0%43.5%38.4%59.8%6.0%-8.1%237.2K-111.5K-59.4K0.5344.72N/AN/A2,4701,31047,22030,870
2012-01-11$10.63$10.0041.7%16.7%43.6%34.3%61.1%7.0%-7.3%257.0K-405.2K-59.5K1.3947.80N/AN/A44061048,18031,450
2012-01-12$10.53$10.0059.0%16.9%40.4%67.6%60.2%4.7%-8.6%208.5K221.3K-59.3K0.3853.44N/AN/A1606048,51031,520
2012-01-13$10.62$10.0058.7%16.8%31.3%67.0%59.3%6.5%-8.9%215.7K-90.7K-56.4K0.8654.49N/AN/A1,4101,21048,56031,520
2012-01-17$10.46$10.0060.4%17.3%31.7%70.2%58.6%5.8%-10.5%147.3K1.2M-53.0K0.1854.42N/AN/A2,48044049,13031,980
2012-01-18$10.86$10.0059.9%17.2%33.9%69.2%60.9%7.9%-10.4%531.6K-3.8M-56.2K0.8454.92N/AN/A3,2602,73050,77031,810
2012-01-19$11.09$10.0058.3%16.7%32.6%66.2%58.1%5.4%-9.9%806.0K-7.2M-57.8K0.6959.29N/AN/A1,7801,23052,18032,090
2012-01-20$11.52$10.0057.1%16.4%34.6%63.8%55.3%4.2%-7.5%2.3M-15.0M-56.6K0.1153.27N/AN/A14,9001,71053,26031,650
2012-01-23$11.13$10.0056.6%16.2%36.1%62.9%54.9%8.8%-6.6%485.3K-13.2M-68.9K0.1964.32N/AN/A7,6401,43037,08017,960
2012-01-24$11.16$10.0054.9%15.7%35.3%59.6%58.0%7.6%-5.9%552.0K-13.3M-71.4K7.1770.22N/AN/A3502,51041,89018,660
2012-01-25$11.24$10.0056.0%16.1%35.4%61.8%53.9%3.3%-7.8%532.8K-14.2M-72.1K0.9470.62N/AN/A14,03013,21042,09020,660
2012-01-26$11.16$10.0055.4%15.9%35.5%60.5%55.5%4.3%-6.6%603.9K-15.1M-90.5K0.7470.88N/AN/A6,9705,14051,58030,590
2012-01-27$11.46$10.0053.3%15.3%35.9%56.4%53.8%4.9%-8.5%706.2K-18.1M-94.2K0.1770.46N/AN/A9,0001,51053,88033,900
2012-01-30$11.55$10.0039.4%11.3%34.4%29.6%39.3%2.4%0.5%1.2M-23.9M-89.0K0.2579.19N/AN/A26,1506,41058,89034,720
2012-01-31$11.51$10.0038.5%11.0%34.3%27.8%39.0%1.5%1.8%1.2M-25.7M-92.3K0.7881.70N/AN/A7,9406,21062,48036,730