MSTR Options History — March 2012

In March 2012, MSTR traded between $12.89 and $14.14. ATM implied volatility averaged 36.5%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 0.4% (HV 20d: 36.8%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.94.

Notable Days

2012-03-30: Highest Volume — 30,640 contracts
2012-03-06: Largest IV spike — 9.9% change
2012-03-06: Highest IV Rank — 34.8%
2012-03-06: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.52	$12.89	$14.14	$13.94	$14.00
Max Pain	$12.09	$11.00	$13.00	$12.50	$13.00
ATM IV	36.5%	32.8%	42.1%	36.9%	34.0%
Expected Move	10.8%	9.4%	12.2%	10.6%	9.8%
HV 20d	36.8%	31.6%	41.6%	36.6%	32.0%
HV 60d	36.5%	33.8%	39.5%	39.2%	33.8%
IV Rank	23.9%	16.8%	34.8%	24.9%	19.3%
IV Percentile	23.8%	8.3%	42.1%	29.4%	12.3%
Term Structure	7.5%	0.4%	12.7%	0.4%	12.6%
VWIV	38.2%	32.5%	44.7%	39.1%	36.6%
Skew 25d	3.0%	0.9%	5.8%	0.9%	5.1%
Skew 10d	7.4%	0.8%	21.2%	21.2%	9.0%
Call IV 25d	36.1%	31.8%	41.2%	37.2%	31.8%
Put IV 25d	39.1%	33.8%	44.7%	38.1%	36.9%
Bid-Ask Spread %	72.58	55.43	83.15	82.45	79.75
Gamma HHI	0.18	0.12	0.55	0.13	0.13
Net GEX	1.0M	391.0K	2.5M	934.0K	791.4K
Net DEX	-32.0M	-43.8M	-22.0M	-42.9M	-34.7M
Net VEX	-118.8K	-146.2K	-92.7K	-92.7K	-146.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.07	3.14	0.07	0.32
Total Volume	6,047.273	950	30,640	21,120	30,640
Total OI	91,905.909	73,530	103,480	83,670	101,520

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-03-01	$13.94	$12.50	36.9%	10.6%	36.6%	24.9%	39.1%	0.9%	0.4%	934.0K	-42.9M	-92.7K	0.07	82.45	N/A	N/A	19,770	1,350	50,610	33,060
2012-03-02	$13.55	$12.50	38.1%	10.9%	37.1%	27.1%	38.0%	2.4%	1.8%	1.2M	-39.6M	-122.0K	0.62	81.87	N/A	N/A	4,050	2,530	59,540	33,930
2012-03-05	$13.26	$11.00	38.3%	11.8%	37.5%	27.5%	42.0%	3.5%	3.7%	1.1M	-34.4M	-121.9K	0.94	66.22	N/A	N/A	1,020	960	60,500	35,490
2012-03-06	$12.91	$11.00	42.1%	12.2%	38.7%	34.8%	44.5%	3.4%	3.6%	1.0M	-26.2M	-119.7K	0.70	55.43	N/A	N/A	1,670	1,170	60,390	35,340
2012-03-07	$12.89	$11.00	39.8%	12.0%	38.5%	30.4%	40.6%	2.9%	3.9%	1.0M	-26.2M	-115.8K	0.62	59.00	N/A	N/A	1,440	890	60,450	36,030
2012-03-08	$13.13	$11.00	37.8%	11.7%	38.9%	26.6%	39.6%	5.8%	4.8%	1.2M	-31.5M	-116.2K	0.67	61.62	N/A	N/A	570	380	61,130	35,940
2012-03-09	$13.13	$11.00	36.3%	11.6%	38.7%	23.6%	42.1%	4.4%	4.7%	1.2M	-31.0M	-113.0K	1.54	66.87	N/A	N/A	390	600	61,100	35,810
2012-03-12	$13.20	$11.00	37.6%	11.6%	37.7%	26.2%	40.5%	4.7%	5.7%	1.3M	-33.6M	-107.7K	0.14	61.81	N/A	N/A	5,030	700	61,230	35,710
2012-03-13	$13.65	$11.00	36.4%	11.3%	38.9%	23.7%	44.7%	5.8%	5.1%	1.2M	-43.8M	-107.6K	0.72	68.35	N/A	N/A	2,030	1,470	62,430	35,980
2012-03-14	$13.15	$11.00	34.7%	11.5%	41.5%	20.5%	39.3%	1.5%	5.8%	1.8M	-34.7M	-106.6K	0.58	69.64	N/A	N/A	1,490	870	63,090	36,840
2012-03-15	$13.10	$11.00	37.9%	10.9%	41.6%	26.8%	38.0%	1.6%	7.7%	1.9M	-34.0M	-103.0K	3.01	69.81	N/A	N/A	1,360	4,090	62,110	37,060
2012-03-16	$13.07	$12.00	37.9%	10.9%	38.7%	26.8%	37.8%	1.0%	7.3%	2.5M	-31.4M	-109.2K	3.14	72.99	N/A	N/A	740	2,320	62,650	40,830
2012-03-19	$13.45	$13.00	35.9%	10.3%	38.9%	22.9%	36.6%	3.2%	10.3%	402.5K	-22.7M	-109.2K	1.54	75.65	N/A	N/A	3,240	4,990	44,890	28,640
2012-03-20	$13.41	$13.00	37.5%	10.8%	31.6%	26.0%	37.3%	2.8%	8.6%	391.0K	-22.0M	-121.5K	0.16	76.99	N/A	N/A	4,250	690	47,540	31,420
2012-03-21	$14.02	$13.00	36.1%	10.4%	35.3%	23.3%	35.7%	3.2%	9.6%	566.9K	-31.3M	-122.8K	0.60	74.81	N/A	N/A	3,400	2,050	48,780	32,020
2012-03-22	$13.80	$13.00	36.7%	10.5%	34.5%	24.5%	36.3%	1.7%	10.1%	471.6K	-27.9M	-125.7K	0.48	74.03	N/A	N/A	1,090	520	49,160	33,130
2012-03-23	$13.89	$13.00	34.5%	9.9%	34.5%	20.1%	34.7%	3.6%	10.7%	524.6K	-28.9M	-125.6K	0.54	78.03	N/A	N/A	1,720	930	49,520	33,500
2012-03-26	$14.14	$13.00	34.5%	9.9%	34.8%	20.3%	33.8%	3.1%	11.0%	581.9K	-32.4M	-123.8K	0.55	78.06	N/A	N/A	940	520	50,470	34,130
2012-03-27	$13.99	$13.00	33.2%	9.5%	34.9%	17.6%	35.3%	2.0%	12.3%	545.9K	-30.5M	-121.9K	0.25	82.71	N/A	N/A	10,510	2,610	50,910	34,250
2012-03-28	$13.89	$13.00	32.9%	9.4%	35.0%	17.1%	32.5%	1.8%	11.7%	748.6K	-32.6M	-140.6K	0.63	83.15	N/A	N/A	1,850	1,160	60,980	35,680
2012-03-29	$13.88	$13.00	32.8%	9.4%	33.6%	16.8%	35.4%	2.3%	12.7%	786.3K	-32.6M	-142.0K	2.85	77.57	N/A	N/A	1,310	3,730	61,910	36,230
2012-03-30	$14.00	$13.00	34.0%	9.8%	32.0%	19.3%	36.6%	5.1%	12.6%	791.4K	-34.7M	-146.2K	0.32	79.75	N/A	N/A	23,230	7,410	62,330	39,190