MSTR Options History — January 2013

In January 2013, MSTR traded between $9.24 and $10.18. ATM implied volatility averaged 41.5%, placing in the 46.9% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 18.4% (HV 20d: 23.1%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.27.

Notable Days

  • 2013-01-28: Highest Volume — 17,120 contracts
  • 2013-01-10: Largest IV spike — 43.0% change
  • 2013-01-28: Highest IV Rank — 83.0%
  • 2013-01-28: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.54$9.24$10.18$9.55$10.03
Max Pain$9.50$9.00$10.00$9.50$10.00
ATM IV41.5%32.2%56.0%35.4%34.6%
Expected Move12.6%9.4%16.1%10.2%9.9%
HV 20d23.1%18.3%31.0%18.7%30.2%
HV 60d38.2%25.4%40.8%40.6%25.4%
IV Rank46.9%23.8%83.0%31.8%29.8%
IV Percentile59.4%10.7%98.8%36.5%29.8%
Term Structure-4.0%-12.8%10.8%10.8%1.1%
VWIV43.6%33.4%56.5%35.5%34.7%
Skew 25d2.3%-2.8%6.4%1.8%0.3%
Skew 10d3.8%-6.7%11.4%1.6%-0.9%
Call IV 25d42.8%34.8%54.5%34.8%35.0%
Put IV 25d45.2%32.9%57.5%36.6%35.3%
Bid-Ask Spread %72.6658.7894.8294.8285.06
Gamma HHI0.280.170.470.170.37
Net GEX338.3K-198.5K791.9K243.9K-46.5K
Net DEX-4.5M-10.4M-223.5K-2.4M-5.4M
Net VEX-33.2K-54.8K-20.4K-22.7K-54.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.0212.070.820.19
Total Volume4,670.47651017,1201,5506,520
Total OI49,685.71437,51065,21039,80065,210

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$9.55$9.5035.4%10.2%18.7%31.8%35.5%1.8%10.8%243.9K-2.4M-22.7K0.8294.82N/AN/A85070025,08014,720
2013-01-03$9.24$9.5037.2%10.7%22.7%36.3%35.7%0.8%7.5%191.0K-223.5K-21.7K1.3192.70N/AN/A1,0901,43025,63014,920
2013-01-04$9.30$9.5033.5%13.4%22.5%27.2%0.0%2.6%-5.6%215.6K-620.9K-22.5K0.5958.78N/AN/A37022026,40016,160
2013-01-07$9.37$9.5032.2%13.3%22.6%23.8%0.0%4.5%-4.9%256.3K-1.1M-21.3K0.4663.33N/AN/A39018026,76016,230
2013-01-08$9.24$9.5037.9%13.4%23.3%38.0%46.9%1.3%-5.5%222.6K-250.9K-21.2K1.3060.40N/AN/A23030026,71016,300
2013-01-09$9.32$9.5032.2%13.1%22.6%24.0%45.2%4.3%-5.9%256.7K-1.0M-20.4K0.0564.79N/AN/A13,49065026,81016,110
2013-01-10$9.34$9.5046.1%13.2%22.1%58.3%45.1%3.8%-5.5%541.6K-5.6M-34.1K0.2863.46N/AN/A67019039,54016,410
2013-01-11$9.39$9.5045.5%13.0%22.2%56.9%46.7%2.9%-5.0%571.0K-5.7M-31.8K0.8068.61N/AN/A66053038,56016,370
2013-01-14$9.43$9.5046.8%13.4%22.2%60.1%47.3%4.4%-6.2%625.4K-6.3M-30.7K1.2566.05N/AN/A67084039,10016,680
2013-01-15$9.48$9.5045.9%13.2%21.8%57.9%46.7%3.4%-6.4%689.2K-6.8M-30.0K0.0764.56N/AN/A7,55054039,31016,950
2013-01-16$9.43$9.0045.4%13.0%20.0%56.5%47.4%2.5%-5.5%740.0K-8.2M-34.9K0.0271.63N/AN/A5001043,31017,340
2013-01-17$9.43$9.0045.9%13.2%18.7%57.8%46.5%1.9%-6.6%791.9K-7.6M-32.8K0.5172.72N/AN/A3,6601,87042,63017,010
2013-01-18$9.38$9.0045.2%13.0%18.5%56.0%45.1%3.6%-6.5%712.9K-6.1M-32.4K12.0777.20N/AN/A4305,19042,30018,550
2013-01-22$9.31$9.5045.5%13.0%18.3%56.9%46.6%3.6%-7.9%192.9K-2.1M-34.2K0.7076.72N/AN/A67047024,66012,860
2013-01-23$9.45$9.5045.3%13.0%18.6%56.4%43.5%6.4%-7.3%204.9K-2.9M-33.7K0.1378.72N/AN/A6809024,34013,170
2013-01-24$9.53$9.5046.2%13.2%18.9%58.4%41.4%2.4%-7.4%232.6K-3.8M-34.3K0.3972.30N/AN/A1,14044024,95013,260
2013-01-25$10.18$9.5048.0%13.8%29.4%63.1%48.2%1.0%-8.1%347.6K-10.4M-37.2K0.3666.71N/AN/A7,4502,65025,71013,530
2013-01-28$9.94$9.5056.0%16.1%31.0%83.0%56.5%3.0%-12.8%357.4K-8.6M-42.1K4.6167.81N/AN/A3,05014,07030,19015,180
2013-01-29$10.01$10.0032.8%9.4%30.9%25.4%33.4%-2.5%2.1%-198.5K-3.5M-50.1K0.5677.39N/AN/A9,7205,49031,66028,830
2013-01-30$10.07$10.0034.0%9.7%30.9%28.3%36.6%-2.8%2.4%-43.6K-6.6M-54.8K0.1782.05N/AN/A2,08035035,07028,890
2013-01-31$10.03$10.0034.6%9.9%30.2%29.8%34.7%0.3%1.1%-46.5K-5.4M-54.4K0.1985.06N/AN/A5,4801,04036,35028,860