MSTR Options History — September 2012

In September 2012, MSTR traded between $12.54 and $13.49. ATM implied volatility averaged 33.2%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 18.8% (HV 20d: 14.5%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 5.87.

Notable Days

  • 2012-09-20: Highest Volume — 14,760 contracts
  • 2012-09-11: Largest IV drop — 9.7% change
  • 2012-09-04: Highest IV Rank — 20.4%
  • 2012-09-04: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.18$12.54$13.49$12.54$13.41
Max Pain$11.84$11.00$12.00$11.00$12.00
ATM IV33.2%31.2%36.8%36.8%31.4%
Expected Move9.5%9.0%10.6%10.6%9.0%
HV 20d14.5%10.4%17.1%16.1%13.6%
HV 60d36.4%34.7%38.2%38.2%34.7%
IV Rank13.1%9.1%20.4%20.4%9.3%
IV Percentile9.3%4.0%22.2%22.2%4.4%
Term Structure7.1%-0.5%11.4%2.7%11.3%
VWIV32.9%29.6%35.2%33.7%32.7%
Skew 25d2.7%-3.2%5.4%-0.1%2.1%
Skew 10d5.7%0.1%11.0%0.8%6.4%
Call IV 25d32.1%28.9%35.2%35.2%30.9%
Put IV 25d34.8%31.1%38.0%35.1%33.0%
Bid-Ask Spread %85.1777.8996.1596.1588.09
Gamma HHI0.440.250.850.380.49
Net GEX731.2K-8.4M2.4M895.5K2.3M
Net DEX-28.8M-37.1M-16.8M-16.8M-30.9M
Net VEX-94.5K-114.4K-81.5K-114.4K-86.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.870.0028.350.001.75
Total Volume3,763.684014,7601005,060
Total OI115,977.368104,280134,560111,550111,230

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$12.54$11.0036.8%10.6%16.1%20.4%33.7%-0.1%2.7%895.5K-16.8M-114.4K0.0096.15N/AN/A100059,12052,430
2012-09-05$12.60$11.0036.1%10.4%15.4%19.0%0.0%1.5%0.5%913.9K-18.9M-110.0K0.0092.58N/AN/A0059,22052,430
2012-09-06$12.83$11.0033.9%9.7%16.6%14.5%0.0%4.0%-0.5%1.0M-22.0M-112.7K6.0094.03N/AN/A106059,22052,430
2012-09-07$12.99$12.0034.5%9.7%17.1%15.8%29.6%-3.2%7.5%1.4M-27.3M-95.6K0.1490.93N/AN/A5608059,21052,480
2012-09-10$12.89$12.0036.5%9.6%17.1%19.9%35.2%2.9%7.3%1.2M-25.3M-105.1K0.4980.90N/AN/A65032059,52052,460
2012-09-11$12.98$12.0033.0%9.9%16.9%12.7%33.8%5.0%7.4%1.2M-26.2M-97.0K9.7077.89N/AN/A4704,56059,56052,660
2012-09-12$13.04$12.0032.0%9.9%15.3%10.6%33.9%5.4%7.6%1.0M-23.6M-107.8K21.2078.52N/AN/A1002,12059,59056,600
2012-09-13$13.21$12.0033.1%9.5%15.8%12.9%32.5%4.5%7.4%973.9K-29.4M-97.9K1.1580.97N/AN/A6,8407,88059,66058,670
2012-09-14$13.30$12.0032.6%9.3%15.1%11.8%34.7%2.0%7.8%1.1M-32.5M-93.1K0.6281.10N/AN/A1,04064060,39060,460
2012-09-17$13.42$12.0033.4%9.6%15.2%13.4%34.1%3.5%7.1%1.2M-35.8M-89.2K28.3580.59N/AN/A2005,67059,94060,440
2012-09-18$13.48$12.0032.9%9.4%14.9%12.5%34.4%2.0%8.1%711.7K-35.3M-85.1K27.6883.04N/AN/A1905,26060,02064,100
2012-09-19$13.44$12.0033.3%9.5%14.1%13.3%0.0%5.0%6.6%-7.3K-31.7M-88.8K0.0083.23N/AN/A033060,19067,960
2012-09-20$13.45$12.0032.5%9.3%12.2%11.6%33.1%2.4%7.2%-509.1K-33.5M-86.3K0.0982.41N/AN/A13,5901,17060,19068,250
2012-09-21$13.49$12.0031.6%9.1%10.4%9.8%31.3%1.5%7.3%-8.4M-37.1M-92.9K0.2385.26N/AN/A1,26029065,85068,710
2012-09-24$13.49$12.0031.4%9.0%10.4%9.4%31.9%3.5%10.0%2.2M-33.3M-81.5K1.0378.89N/AN/A89092055,16049,120
2012-09-25$13.33$12.0032.4%9.3%11.8%11.3%32.5%3.4%8.8%2.1M-30.0M-81.6K0.1187.14N/AN/A5,18055055,80049,670
2012-09-26$13.17$12.0032.9%9.4%12.9%12.5%32.4%2.1%9.0%2.2M-26.0M-82.3K0.3687.51N/AN/A74027059,90050,220
2012-09-27$13.41$12.0031.2%9.0%14.0%9.1%30.8%4.6%11.4%2.4M-32.2M-87.5K0.9689.07N/AN/A2,3002,21060,31050,400
2012-09-28$13.41$12.0031.4%9.0%13.6%9.3%32.7%2.1%11.3%2.3M-30.9M-86.5K1.7588.09N/AN/A1,8403,22058,91052,320