MSTR Options History — November 2012

In November 2012, MSTR traded between $8.53 and $9.86. ATM implied volatility averaged 34.3%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 23.3% (HV 20d: 57.6%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2012-11-01: Highest Volume — 13,030 contracts
  • 2012-11-15: Largest IV spike — 59.4% change
  • 2012-11-26: Highest IV Rank — 40.7%
  • 2012-11-26: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.18$8.53$9.86$9.74$8.85
Max Pain$9.98$9.00$11.00$9.00$9.00
ATM IV34.3%22.6%39.0%32.8%35.4%
Expected Move10.7%9.4%11.2%9.4%10.2%
HV 20d57.6%25.3%62.3%60.5%25.3%
HV 60d39.0%38.3%39.8%38.6%39.8%
IV Rank24.9%0.0%40.7%14.2%31.8%
IV Percentile27.4%0.0%51.2%11.9%31.0%
Term Structure1.0%-0.7%5.6%5.6%0.9%
VWIV36.6%30.3%40.6%30.3%35.0%
Skew 25d3.3%0.6%5.5%1.5%3.0%
Skew 10d7.2%-5.0%18.8%3.0%5.0%
Call IV 25d35.6%32.8%37.7%32.8%33.9%
Put IV 25d39.0%34.3%40.8%34.3%36.8%
Bid-Ask Spread %81.6670.3596.7478.5988.28
Gamma HHI0.330.140.800.340.17
Net GEX594.6K-79.8K1.8M463.9K10.3K
Net DEX-1.6M-10.0M4.7M-3.4M2.8M
Net VEX-27.7K-35.2K-20.9K-27.7K-26.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.028.390.080.78
Total Volume2,64018013,03013,030980
Total OI56,137.14331,36079,42061,09038,100

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$9.74$9.0032.8%9.4%60.5%14.2%30.3%1.5%5.6%463.9K-3.4M-27.7K0.0878.59N/AN/A12,0301,00045,01016,080
2012-11-02$9.65$9.0034.4%9.9%60.6%18.5%34.5%0.6%2.8%664.1K-5.3M-34.4K1.5596.74N/AN/A1,3902,16049,71016,520
2012-11-05$9.86$11.0034.8%10.9%61.7%21.1%37.9%1.5%-0.7%554.8K-8.4M-34.1K0.1871.42N/AN/A2,82051048,45018,620
2012-11-06$9.84$10.5034.7%10.6%61.8%21.8%0.0%3.5%0.8%663.5K-10.0M-35.2K0.7470.35N/AN/A50037051,07018,780
2012-11-07$9.65$10.5034.2%11.1%61.8%20.6%37.4%3.0%0.0%791.4K-7.9M-33.5K2.7174.88N/AN/A21057051,07018,930
2012-11-08$9.57$10.5027.7%10.9%61.7%2.5%34.0%2.2%0.9%1.0M-6.8M-31.8K0.0970.49N/AN/A3,19028051,17019,310
2012-11-09$9.56$10.5028.2%11.1%61.8%3.9%0.0%2.8%0.5%1.2M-7.6M-32.2K0.7674.08N/AN/A2,0601,57053,76019,470
2012-11-12$9.53$10.5029.1%11.1%61.8%6.3%0.0%2.3%1.2%1.4M-7.6M-32.5K1.6473.26N/AN/A11018055,58020,690
2012-11-13$9.46$10.5028.2%10.9%61.8%4.0%37.3%2.5%0.4%1.5M-5.8M-30.7K0.0475.22N/AN/A1,9108055,52020,770
2012-11-14$9.27$10.5022.6%11.1%61.2%0.0%39.1%3.5%0.7%1.7M-1.7M-27.7K0.9076.92N/AN/A90081057,29020,750
2012-11-15$9.31$10.5036.0%10.3%60.9%33.2%37.5%4.1%0.6%1.8M-3.1M-26.1K0.2981.33N/AN/A2,63075056,81020,300
2012-11-16$9.18$10.5037.2%10.7%60.9%36.2%36.7%2.3%2.1%1.1M-1.9M-26.3K0.0280.71N/AN/A6,14015059,08020,340
2012-11-19$8.71$10.0038.2%11.0%62.3%38.8%37.2%4.9%0.9%-50.4K4.4M-21.0K0.7084.99N/AN/A1,01071018,28013,080
2012-11-20$8.54$10.0038.4%11.0%62.2%39.2%38.3%4.1%0.6%-48.5K4.6M-20.9K8.3988.20N/AN/A3302,77019,20013,080
2012-11-21$8.53$10.0037.8%10.8%61.3%37.8%34.9%3.5%1.2%-79.8K4.7M-22.9K0.1386.98N/AN/A77010019,48014,290
2012-11-23$8.63$9.5038.7%11.1%58.5%39.9%37.3%4.8%-0.5%-61.9K4.5M-23.1K0.3286.37N/AN/A65021020,25014,310
2012-11-26$8.67$9.5039.0%11.2%58.8%40.7%40.6%4.5%0.3%-52.9K4.3M-22.9K1.0089.95N/AN/A909020,80014,310
2012-11-27$8.68$9.5039.0%11.2%58.4%40.7%36.1%5.0%0.1%-45.8K4.1M-22.9K0.0988.74N/AN/A2,39021020,77014,370
2012-11-28$8.70$9.5038.6%11.1%58.6%39.7%37.4%5.2%0.7%-22.6K3.7M-24.1K0.7188.92N/AN/A90064021,76014,380
2012-11-29$8.85$9.0035.1%10.1%28.3%31.0%37.0%5.5%1.0%7.1K2.9M-25.9K0.5788.35N/AN/A81046022,56014,780
2012-11-30$8.85$9.0035.4%10.2%25.3%31.8%35.0%3.0%0.9%10.3K2.8M-26.4K0.7888.28N/AN/A55043023,19014,910