MSTR Options History — December 2012

In December 2012, MSTR traded between $8.83 and $9.62. ATM implied volatility averaged 35.2%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 14.4% (HV 20d: 20.8%). Max pain ranged from $9.00 to $9.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2012-12-27: Highest Volume — 2,510 contracts
  • 2012-12-13: Largest IV spike — 12.4% change
  • 2012-12-13: Highest IV Rank — 37.1%
  • 2012-12-13: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.22$8.83$9.62$8.87$9.34
Max Pain$9.30$9.00$9.50$9.00$9.50
ATM IV35.2%33.4%37.5%36.4%37.1%
Expected Move10.2%9.7%10.8%10.4%10.7%
HV 20d20.8%15.5%25.6%25.3%17.3%
HV 60d39.9%39.3%40.5%39.8%40.2%
IV Rank31.4%26.8%37.1%34.3%36.1%
IV Percentile31.8%20.2%46.8%36.5%46.8%
Term Structure6.3%1.0%12.0%1.1%10.6%
VWIV35.0%24.7%38.1%36.7%37.7%
Skew 25d2.1%-0.9%5.3%1.5%2.4%
Skew 10d5.8%-2.0%15.1%2.1%4.0%
Call IV 25d35.2%33.1%37.4%36.4%37.4%
Put IV 25d37.3%34.9%40.2%37.9%39.7%
Bid-Ask Spread %86.7031.6696.0391.8631.66
Gamma HHI0.200.150.360.170.16
Net GEX172.9K18.9K451.8K18.9K181.7K
Net DEX-214.7K-4.4M2.8M2.6M-922.0K
Net VEX-24.9K-27.4K-22.3K-25.9K-22.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.005.121.250.19
Total Volume8712202,510360740
Total OI40,095.535,14043,31038,38039,180

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$8.87$9.0036.4%10.4%25.3%34.3%36.7%1.5%1.1%18.9K2.6M-25.9K1.2591.86N/AN/A16020023,57014,810
2012-12-04$8.88$9.0034.8%10.0%23.5%30.3%35.3%1.9%1.4%24.9K2.6M-25.5K0.1094.68N/AN/A2002023,65014,720
2012-12-05$8.83$9.0035.4%10.1%23.5%31.7%35.9%0.6%2.4%21.0K2.7M-25.2K0.7892.88N/AN/A41032023,75014,720
2012-12-06$8.86$9.0035.1%10.1%23.1%31.0%35.6%-0.9%1.0%19.6K2.6M-25.6K0.1494.63N/AN/A2804023,91015,030
2012-12-07$8.86$9.5034.3%10.5%23.1%29.1%24.7%5.3%6.0%22.2K2.8M-24.2K0.0086.52N/AN/A1,260024,19015,050
2012-12-10$9.02$9.5034.8%10.5%24.3%30.4%35.8%3.7%5.7%61.4K1.8M-24.3K0.0584.24N/AN/A2,14010024,19015,040
2012-12-11$9.14$9.5034.9%10.4%25.1%30.5%36.0%1.7%6.0%154.3K405.7K-26.6K0.2487.87N/AN/A51012026,21015,140
2012-12-12$9.19$9.5033.4%10.5%25.1%26.8%36.4%2.9%6.0%173.8K31.1K-26.8K0.4487.50N/AN/A43019026,46015,250
2012-12-13$9.20$9.5037.5%10.8%24.1%37.1%0.0%3.3%5.5%194.0K-216.4K-27.4K1.8485.73N/AN/A31057026,87015,280
2012-12-14$9.10$9.5036.4%10.4%24.3%34.3%35.2%2.8%6.0%156.8K721.3K-26.8K1.1587.90N/AN/A13015027,18015,770
2012-12-17$9.34$9.5035.5%10.2%25.6%32.2%38.1%3.5%6.2%231.1K-950.3K-26.3K2.5086.33N/AN/A14035027,19015,850
2012-12-18$9.52$9.5035.1%10.1%17.1%31.1%34.9%1.7%6.4%288.3K-2.5M-26.1K0.0387.89N/AN/A9103027,30015,830
2012-12-19$9.42$9.5033.9%9.7%15.7%28.1%33.9%1.2%6.7%298.6K-1.8M-24.8K0.1589.43N/AN/A78012027,46015,850
2012-12-20$9.50$9.5034.7%10.0%15.5%30.1%35.0%3.5%6.5%451.8K-2.9M-24.3K0.7889.69N/AN/A64050027,44014,790
2012-12-21$9.62$9.0034.4%9.9%15.5%29.4%35.1%3.3%7.6%442.6K-4.4M-24.1K0.2489.21N/AN/A55013027,83015,280
2012-12-24$9.59$9.0034.9%10.0%15.8%30.6%35.1%0.9%8.9%184.2K-2.4M-22.3K1.3589.52N/AN/A43058022,58012,560
2012-12-26$9.42$9.0033.9%9.7%17.6%28.1%31.2%0.9%12.0%177.4K-1.8M-22.8K5.1296.03N/AN/A17087022,99013,140
2012-12-27$9.39$9.0035.4%10.1%17.8%31.8%35.5%0.8%10.5%168.1K-1.3M-22.5K0.1491.41N/AN/A2,20031023,09013,990
2012-12-28$9.36$9.5036.2%10.4%17.3%33.9%36.9%0.1%8.7%187.6K-1.4M-24.7K2.3188.99N/AN/A13030024,47014,300
2012-12-31$9.34$9.5037.1%10.7%17.3%36.1%37.7%2.4%10.6%181.7K-922.0K-22.8K0.1931.66N/AN/A62012024,58014,600