MSTR Options History — June 2012 In June 2012, MSTR traded between $11.76 and $12.99. ATM implied volatility averaged 39.5%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 7.8% (HV 20d: 31.7%). Max pain ranged from $12.50 to $13.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.13.
Notable Days 2012-06-08 : Highest Volume — 44,870 contracts2012-06-14 : Largest IV spike — 46.2% change2012-06-14 : Highest IV Rank — 33.4%2012-06-04 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $12.40 $11.76 $12.99 $11.89 $12.99 Max Pain $12.55 $12.50 $13.50 $13.50 $12.50 ATM IV 39.5% 30.4% 44.4% 44.2% 36.1% Expected Move 11.8% 10.4% 13.0% 12.7% 10.4% HV 20d 31.7% 27.6% 35.6% 27.6% 31.8% HV 60d 35.5% 34.5% 36.5% 36.2% 36.0% IV Rank 22.9% 3.6% 33.4% 32.9% 15.8% IV Percentile 28.6% 2.4% 45.6% 44.4% 12.3% Term Structure 6.0% 1.6% 9.8% 1.6% 8.3% VWIV 41.3% 35.0% 52.2% 43.4% 36.0% Skew 25d 4.3% -2.7% 13.7% 5.0% -0.2% Skew 10d 10.8% -7.3% 31.9% 10.7% 7.9% Call IV 25d 39.0% 34.8% 44.8% 42.8% 36.5% Put IV 25d 43.3% 33.4% 50.1% 47.8% 36.3% Bid-Ask Spread % 86.95 67.76 99.67 80.73 96.86 Gamma HHI 0.18 0.10 0.24 0.10 0.20 Net GEX 310.4K -525.7K 1.0M -29.4K 1.0M Net DEX -8.2M -23.9M 5.3M 5.3M -23.9M Net VEX -193.8K -235.1K -102.3K -102.3K -226.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.13 0.26 4.00 0.85 0.48 Total Volume 4,524.286 300 44,870 8,280 1,490 Total OI 127,536.667 88,170 151,270 88,170 139,230
Daily Data (21 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 2012-06-01 $11.89 $13.50 44.2% 12.7% 27.6% 32.9% 43.4% 5.0% 1.6% -29.4K 5.3M -102.3K 0.85 80.73 N/A N/A 4,480 3,800 50,470 37,700 2012-06-04 $11.99 $12.50 43.2% 13.0% 28.3% 30.7% 42.5% 2.9% 3.1% -46.6K 4.9M -120.1K 0.81 67.76 N/A N/A 630 510 54,230 41,110 2012-06-05 $12.01 $12.50 43.6% 12.9% 28.5% 31.7% 46.6% 4.3% 3.9% -41.4K 3.7M -119.0K 0.33 70.34 N/A N/A 1,200 400 54,160 41,400 2012-06-06 $12.36 $12.50 39.7% 12.4% 31.8% 23.4% 52.2% 10.6% 3.8% -28.7K 1.4M -116.4K 1.43 82.21 N/A N/A 470 670 55,030 41,800 2012-06-07 $12.20 $12.50 39.1% 12.1% 31.8% 22.1% 43.0% 1.9% 4.7% -60.0K 1.8M -117.6K 0.50 88.43 N/A N/A 1,690 850 55,500 42,230 2012-06-08 $12.22 $12.50 41.4% 12.5% 31.4% 27.0% 43.2% 4.2% 5.3% -90.9K 2.9M -114.2K 0.84 84.41 N/A N/A 24,330 20,540 55,570 42,170 2012-06-11 $12.06 $12.50 40.2% 12.8% 31.1% 24.4% 44.1% 4.6% 1.9% 12.0K -3.2M -222.7K 0.67 87.78 N/A N/A 1,080 720 79,350 62,430 2012-06-12 $11.95 $12.50 36.9% 12.3% 31.0% 17.4% 43.6% 2.5% 7.8% -75.3K -663.6K -218.9K 0.75 87.48 N/A N/A 1,260 940 79,580 62,780 2012-06-13 $11.76 $12.50 30.4% 12.7% 30.8% 3.6% 42.7% 2.6% 6.9% -54.8K 2.2M -213.4K 2.24 89.57 N/A N/A 2,880 6,450 80,390 62,860 2012-06-14 $12.01 $12.50 44.4% 12.7% 32.0% 33.4% 38.8% 2.1% 3.7% -480.1K 1.4M -228.5K 1.54 88.66 N/A N/A 1,510 2,330 81,850 68,510 2012-06-15 $12.43 $12.50 43.2% 12.4% 35.0% 30.9% 43.7% 13.7% 3.0% -525.7K -9.2M -231.7K 2.06 90.32 N/A N/A 360 740 82,820 68,450 2012-06-18 $12.50 $12.50 39.5% 11.3% 30.2% 22.9% 39.9% 7.6% 7.5% 590.4K -12.1M -225.5K 0.26 86.25 N/A N/A 1,210 310 76,710 58,720 2012-06-19 $12.74 $12.50 40.7% 11.7% 30.1% 25.4% 40.2% 8.8% 7.2% 745.5K -18.1M -232.6K 0.83 89.08 N/A N/A 1,280 1,060 77,560 58,750 2012-06-20 $12.89 $12.50 38.0% 10.9% 30.3% 19.9% 37.2% 6.2% 8.4% 805.7K -22.2M -229.9K 0.72 88.09 N/A N/A 2,690 1,930 78,210 59,440 2012-06-21 $12.46 $12.50 38.4% 11.0% 32.5% 20.6% 39.6% 0.0% 6.4% 701.8K -14.9M -235.1K 3.22 88.81 N/A N/A 360 1,160 79,100 60,430 2012-06-22 $12.91 $12.50 36.3% 10.4% 33.4% 16.1% 0.0% 6.4% 9.1% 836.0K -19.7M -228.8K 4.00 90.61 N/A N/A 100 400 77,700 59,490 2012-06-25 $12.53 $12.50 39.2% 11.2% 35.2% 22.4% 40.7% 5.4% 7.7% 709.7K -14.6M -221.5K 0.79 85.84 N/A N/A 520 410 77,800 59,530 2012-06-26 $12.70 $12.50 38.4% 11.0% 35.6% 20.6% 35.0% 0.7% 9.3% 762.0K -16.7M -222.8K 0.32 90.70 N/A N/A 2,500 790 78,150 59,540 2012-06-27 $12.96 $12.50 38.7% 11.1% 32.9% 21.3% 38.0% 3.2% 7.5% 892.7K -22.1M -221.9K 0.88 92.31 N/A N/A 160 140 78,850 59,850 2012-06-28 $12.81 $12.50 37.1% 10.6% 33.3% 18.0% 35.7% -2.7% 9.8% 875.7K -19.1M -220.2K 0.29 99.67 N/A N/A 510 150 78,960 59,860 2012-06-29 $12.99 $12.50 36.1% 10.4% 31.8% 15.8% 36.0% -0.2% 8.3% 1.0M -23.9M -226.3K 0.48 96.86 N/A N/A 1,010 480 79,290 59,940
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