MSTR Options History — October 2012

In October 2012, MSTR traded between $9.45 and $13.31. ATM implied volatility averaged 40.2%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 18.3% (HV 20d: 21.9%). Max pain ranged from $11.00 to $13.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2012-10-31: Highest Volume — 19,820 contracts
  • 2012-10-11: Largest IV spike — 33.0% change
  • 2012-10-23: Highest IV Rank — 56.8%
  • 2012-10-23: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.90$9.45$13.31$13.31$9.45
Max Pain$12.38$11.00$13.50$12.00$11.00
ATM IV40.2%28.4%50.9%34.0%34.8%
Expected Move12.1%8.5%14.6%9.7%10.0%
HV 20d21.9%14.0%58.1%14.0%58.1%
HV 60d23.2%19.6%38.1%23.9%38.1%
IV Rank31.3%3.7%56.8%14.7%18.8%
IV Percentile44.3%0.4%84.5%16.7%23.8%
Term Structure-1.1%-7.8%13.8%9.2%5.5%
VWIV42.2%29.3%51.3%34.7%37.2%
Skew 25d3.7%1.7%8.0%4.1%1.7%
Skew 10d7.5%-0.0%12.2%-0.0%6.7%
Call IV 25d40.9%27.9%48.0%31.4%36.1%
Put IV 25d44.7%30.9%54.4%35.5%37.8%
Bid-Ask Spread %74.6155.7392.9691.0092.68
Gamma HHI0.270.120.520.440.27
Net GEX716.7K-134.7K2.6M2.3M-134.7K
Net DEX-2.5M-28.1M11.5M-28.1M11.5M
Net VEX-50.1K-85.0K-18.0K-85.0K-18.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.025.380.020.15
Total Volume4,609.52436019,8202,31019,820
Total OI103,669.52431,870133,120113,30046,030

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$13.31$12.0034.0%9.7%14.0%14.7%34.7%4.1%9.2%2.3M-28.1M-85.0K0.0291.00N/AN/A2,2605060,41052,890
2012-10-02$13.14$12.0030.1%8.6%15.0%6.8%29.3%1.7%13.1%2.6M-22.5M-77.2K0.2891.72N/AN/A7,4802,11061,30052,890
2012-10-03$12.98$12.0029.6%8.5%15.9%6.6%29.3%3.0%12.0%2.3M-16.1M-74.2K0.0891.72N/AN/A11,08086061,60054,830
2012-10-04$12.62$12.0030.9%8.9%17.9%9.7%30.2%3.3%13.8%2.1M-11.2M-72.9K0.3892.96N/AN/A10,0603,79070,81055,530
2012-10-05$12.44$13.5028.4%12.1%17.7%3.7%41.2%1.8%-3.5%1.7M-6.9M-71.1K1.3655.73N/AN/A8301,13071,80057,650
2012-10-08$12.24$13.5031.9%12.3%18.3%12.0%42.0%2.4%-0.5%1.1M-3.3M-60.0K0.6766.50N/AN/A2,2501,51072,35057,640
2012-10-09$11.99$13.0033.2%12.5%19.0%15.1%43.7%3.7%-3.9%356.5K1.3M-55.9K0.2959.65N/AN/A2,31067073,35058,440
2012-10-10$11.92$13.0032.4%12.3%18.7%13.2%45.9%3.2%-2.4%103.4K1.9M-51.0K0.6163.36N/AN/A49030074,58058,410
2012-10-11$11.90$13.0043.1%12.3%17.6%38.3%43.7%3.6%-2.4%99.9K2.5M-49.5K1.2259.81N/AN/A23028074,34058,450
2012-10-12$11.83$13.0044.0%12.6%16.9%40.6%45.3%2.4%-3.5%11.7K3.2M-43.3K0.7062.52N/AN/A30021074,32058,550
2012-10-15$11.97$13.0043.9%12.6%17.4%40.2%46.1%6.0%-4.7%117.5K2.7M-40.0K1.0869.47N/AN/A89096074,35058,730
2012-10-16$12.10$13.0044.9%12.9%18.0%42.6%0.0%3.1%-4.8%235.9K-50.9K-41.5K3.4066.07N/AN/A15051074,54058,020
2012-10-17$11.90$13.0045.2%13.0%18.4%43.4%44.7%1.8%-5.4%169.2K2.1M-38.4K0.1771.08N/AN/A4,47077074,54058,280
2012-10-18$11.89$13.0045.5%13.1%18.3%44.1%47.6%3.6%-5.9%629.0K600.0K-38.1K1.0073.00N/AN/A40040075,74057,330
2012-10-19$11.81$13.0046.2%13.3%18.0%45.8%47.2%2.5%-6.1%595.2K1.8M-37.2K0.1373.43N/AN/A3204075,49057,630
2012-10-22$12.00$13.0046.0%13.2%19.5%45.1%34.3%4.2%-6.9%22.9K1.7M-35.6K0.0969.28N/AN/A7,80070018,68013,190
2012-10-23$11.16$11.0050.9%14.6%30.6%56.8%51.0%6.1%-7.8%178.9K1.2M-37.0K1.3580.59N/AN/A3,1804,28025,68013,620
2012-10-24$11.11$11.0050.9%14.6%30.6%56.6%51.3%6.4%-6.9%145.8K1.6M-41.3K1.0479.75N/AN/A1,0501,09027,33016,830
2012-10-25$11.21$11.0049.1%14.1%29.8%52.5%48.8%8.0%-6.7%173.4K826.4K-44.0K2.3178.36N/AN/A13030028,10017,290
2012-10-26$10.98$11.0048.3%13.8%29.9%50.6%49.6%5.9%-6.3%156.7K2.4M-41.2K5.3878.16N/AN/A2101,13028,21017,310
2012-10-31$9.45$11.0034.8%10.0%58.1%18.8%37.2%1.7%5.5%-134.7K11.5M-18.0K0.1592.68N/AN/A17,2602,56028,40017,630