MSTR Options History — July 2012

In July 2012, MSTR traded between $11.33 and $13.49. ATM implied volatility averaged 48.6%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 3.1% (HV 20d: 51.7%). Max pain ranged from $11.00 to $12.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2012-07-31: Highest Volume — 16,020 contracts
  • 2012-07-31: Largest IV drop — 43.9% change
  • 2012-07-30: Highest IV Rank — 72.2%
  • 2012-07-30: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.85$11.33$13.49$13.03$11.65
Max Pain$11.71$11.00$12.50$12.50$11.00
ATM IV48.6%32.6%62.9%37.2%35.3%
Expected Move14.6%9.3%18.0%10.7%10.1%
HV 20d51.7%31.3%56.6%31.8%54.9%
HV 60d43.0%36.0%45.6%36.0%40.8%
IV Rank41.7%8.3%72.2%18.0%12.8%
IV Percentile55.0%4.4%92.9%16.7%8.7%
Term Structure-4.3%-17.1%12.5%9.0%3.9%
VWIV50.9%27.8%58.8%27.8%37.5%
Skew 25d6.8%-0.5%15.9%2.6%15.9%
Skew 10d15.4%-12.4%30.6%4.5%13.7%
Call IV 25d46.6%25.6%54.3%35.3%25.6%
Put IV 25d53.4%32.6%64.5%38.0%41.5%
Bid-Ask Spread %84.4570.89101.0193.54101.01
Gamma HHI0.250.200.320.210.24
Net GEX382.8K-94.6K1.2M969.5K475.8K
Net DEX-4.0M-34.9M9.0M-23.2M-3.6M
Net VEX-186.4K-209.6K-155.3K-209.6K-155.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.0211.862.590.03
Total Volume4,285.71453016,02079016,020
Total OI140,282.381108,930161,610139,880119,590

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$13.03$12.5037.2%10.7%31.8%18.0%27.8%2.6%9.0%969.5K-23.2M-209.6K2.5993.54N/AN/A22057079,71060,170
2012-07-03$13.29$12.5033.8%9.7%32.3%10.8%37.1%5.9%12.5%1.0M-29.7M-202.1K2.0291.71N/AN/A43087079,85060,500
2012-07-05$13.49$12.5032.6%9.3%31.3%8.3%32.1%-0.5%11.9%1.2M-34.9M-203.7K11.86100.69N/AN/A2102,49080,26060,930
2012-07-06$11.96$12.5032.7%14.9%54.3%8.5%52.0%0.5%-3.5%486.8K-1.9M-196.5K0.6675.80N/AN/A4,2402,80080,41062,540
2012-07-09$11.82$12.5046.9%15.5%54.4%38.8%54.1%4.2%-7.1%390.9K134.7K-201.5K0.3971.47N/AN/A5,8602,27083,13063,930
2012-07-10$11.33$11.5043.8%16.1%56.2%31.2%56.6%4.0%-6.6%158.5K6.4M-192.6K1.3877.45N/AN/A2,3803,29088,32065,570
2012-07-11$11.35$11.5046.1%15.9%56.1%36.1%57.4%8.6%-7.6%41.8K9.0M-189.8K0.8570.89N/AN/A1,9301,65090,07067,800
2012-07-12$11.48$11.5056.8%16.3%56.1%59.0%55.1%11.8%-6.9%127.2K7.0M-193.0K0.8878.83N/AN/A1,09096091,22068,020
2012-07-13$11.66$11.5055.5%15.9%55.8%56.3%54.7%4.0%-6.3%365.5K-384.9K-199.6K0.8975.14N/AN/A70062092,17068,280
2012-07-16$11.66$11.5054.2%15.6%54.2%53.6%56.8%3.1%-5.5%241.6K2.4M-191.8K0.9476.52N/AN/A69065092,35068,570
2012-07-17$11.47$11.5054.9%15.7%54.3%55.1%54.8%3.6%-5.7%-94.6K6.5M-183.8K0.2184.37N/AN/A2,66055092,66067,570
2012-07-18$12.00$11.5051.3%14.7%56.5%47.2%51.1%9.8%-5.4%715.5K-5.6M-189.4K0.2382.28N/AN/A5,9201,36094,06067,550
2012-07-19$11.98$11.5052.1%14.9%56.2%49.1%50.5%4.1%-9.5%631.6K-9.2M-192.5K0.2181.97N/AN/A9,5902,01094,89066,090
2012-07-20$11.53$11.5050.7%14.5%56.6%46.0%53.2%2.6%-7.7%107.3K1.8M-179.5K1.0286.11N/AN/A9801,00093,60066,010
2012-07-23$11.58$11.5054.4%15.6%54.7%53.9%56.5%9.2%-8.1%139.5K-529.0K-174.2K0.1782.65N/AN/A6,2101,04057,65051,280
2012-07-24$11.34$11.5055.2%15.8%54.2%55.6%58.8%10.7%-6.9%173.4K453.6K-174.1K2.8187.73N/AN/A16045060,69052,170
2012-07-25$11.38$11.5053.7%15.4%53.9%52.4%54.4%12.8%-7.2%134.1K934.1K-171.7K3.4285.12N/AN/A12041060,85052,390
2012-07-26$11.35$11.5053.7%15.4%53.0%52.4%58.5%12.8%-6.2%124.1K2.0M-164.1K0.9592.95N/AN/A1,1101,05060,86052,700
2012-07-27$11.71$11.5056.9%16.3%54.7%59.3%53.3%8.4%-9.8%279.8K-3.9M-174.3K0.3688.25N/AN/A1,56056061,55053,380
2012-07-30$11.89$11.5062.9%18.0%54.7%72.2%56.5%7.7%-17.1%314.8K-7.3M-174.3K0.0288.90N/AN/A3,2408062,90053,690
2012-07-31$11.65$11.0035.3%10.1%54.9%12.8%37.5%15.9%3.9%475.8K-3.6M-155.3K0.03101.01N/AN/A15,58044065,88053,710