MSTR Options History — February 2012

In February 2012, MSTR traded between $11.92 and $13.84. ATM implied volatility averaged 37.8%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 3.5% (HV 20d: 34.4%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.28.

Notable Days

  • 2012-02-21: Highest Volume — 16,730 contracts
  • 2012-02-09: Largest IV spike — 14.1% change
  • 2012-02-21: Highest IV Rank — 34.2%
  • 2012-02-21: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.85$11.92$13.84$11.92$13.56
Max Pain$11.68$10.00$12.50$10.00$12.50
ATM IV37.8%33.3%41.7%39.2%35.9%
Expected Move11.1%10.2%12.0%11.2%10.3%
HV 20d34.4%31.5%37.4%35.1%37.2%
HV 60d42.4%38.9%44.8%44.1%38.9%
IV Rank26.6%17.8%34.2%29.3%22.9%
IV Percentile34.3%21.4%42.1%40.1%24.2%
Term Structure0.0%-3.2%2.2%1.2%2.2%
VWIV38.8%35.8%44.4%38.2%35.8%
Skew 25d6.1%2.8%9.6%3.4%8.0%
Skew 10d11.7%6.8%17.9%8.2%12.8%
Call IV 25d35.6%31.8%40.5%37.0%31.8%
Put IV 25d41.7%39.8%44.0%40.4%39.8%
Bid-Ask Spread %65.4143.4780.7179.2780.71
Gamma HHI0.200.140.500.170.15
Net GEX1.4M763.3K1.8M1.4M971.2K
Net DEX-42.6M-60.6M-31.7M-32.1M-36.7M
Net VEX-99.0K-109.5K-89.0K-103.8K-97.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.085.790.450.49
Total Volume4,776.51,26016,7303,8701,910
Total OI104,58973,990128,850106,29083,470

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$11.92$10.0039.2%11.2%35.1%29.3%38.2%3.4%1.2%1.4M-32.1M-103.8K0.4579.27N/AN/A2,6601,21064,96041,330
2012-02-02$12.36$10.0038.4%11.0%33.1%27.7%38.8%4.7%0.8%1.5M-41.0M-100.1K0.7878.43N/AN/A2,7302,13065,09041,350
2012-02-03$12.64$11.0033.3%11.0%32.7%17.8%39.6%7.1%0.1%1.6M-48.0M-94.7K0.1152.99N/AN/A4,66052066,22042,320
2012-02-06$12.51$11.0035.8%11.1%33.4%22.8%37.2%7.7%-0.4%1.8M-46.3M-92.7K0.9549.44N/AN/A1,3701,30068,13042,400
2012-02-07$12.38$11.0037.2%11.2%32.2%25.4%0.0%6.5%-0.9%1.7M-43.3M-93.2K2.4451.14N/AN/A4501,10068,35043,290
2012-02-08$12.35$11.0033.3%11.0%32.4%17.9%41.7%6.0%0.9%1.8M-42.5M-89.3K5.7943.47N/AN/A5803,36068,52043,280
2012-02-09$12.53$11.0038.0%10.9%32.3%26.9%38.3%6.3%0.6%1.6M-46.4M-89.0K0.5653.56N/AN/A7,1104,01068,64045,240
2012-02-10$12.27$12.0038.8%11.1%33.4%28.4%38.7%5.6%0.6%1.6M-41.7M-109.5K3.1656.73N/AN/A9302,94073,37048,580
2012-02-13$12.49$12.0040.0%11.5%33.6%30.8%36.1%6.8%-1.2%1.7M-47.0M-101.2K0.3461.79N/AN/A1,00034073,65050,290
2012-02-14$12.37$12.0038.2%11.0%33.1%27.3%37.7%6.1%-0.9%1.8M-44.1M-98.7K0.1070.11N/AN/A2,46025073,52050,210
2012-02-15$12.36$12.0039.8%11.4%31.5%30.4%38.1%6.1%0.1%1.6M-45.8M-101.0K0.0875.02N/AN/A4,43035074,72050,120
2012-02-16$12.91$12.0038.7%11.1%33.8%28.3%39.7%9.6%-1.5%1.3M-60.6M-100.2K0.6169.47N/AN/A2,9401,79077,33050,370
2012-02-17$12.61$12.0039.0%11.2%33.4%28.9%37.9%5.6%-0.6%1.6M-55.8M-101.0K1.0762.04N/AN/A3,1403,37078,24050,610
2012-02-21$13.44$12.0041.7%12.0%36.3%34.2%38.0%2.8%-3.2%763.3K-31.7M-95.0K0.3770.50N/AN/A12,2504,48044,93029,060
2012-02-22$13.46$12.5039.1%11.2%36.3%29.1%41.7%7.0%0.2%885.1K-34.6M-107.4K1.4967.64N/AN/A65097050,27031,980
2012-02-23$13.84$12.5035.7%10.2%36.9%22.5%44.4%7.9%1.3%903.0K-39.4M-103.4K5.2567.08N/AN/A1,3507,09050,27032,170
2012-02-24$13.78$12.0036.8%10.5%36.7%24.6%38.5%5.7%0.7%970.0K-39.5M-100.8K0.2970.72N/AN/A4,7101,38050,40030,940
2012-02-27$13.63$12.5039.7%11.4%36.9%30.2%38.4%5.0%-0.8%1.1M-39.3M-102.8K0.1373.23N/AN/A2,08027053,22032,130
2012-02-28$13.53$12.5038.3%11.0%37.4%27.6%38.1%4.6%0.8%962.9K-35.9M-98.9K1.1074.83N/AN/A60066050,48032,330
2012-02-29$13.56$12.5035.9%10.3%37.2%22.9%35.8%8.0%2.2%971.2K-36.7M-97.5K0.4980.71N/AN/A1,28063050,74032,730