MSTR Options History — March 2013

In March 2013, MSTR traded between $10.10 and $11.42. ATM implied volatility averaged 30.4%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 14.5% (HV 20d: 44.9%). Max pain ranged from $9.50 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 4.08.

Notable Days

  • 2013-03-05: Highest Volume — 6,120 contracts
  • 2013-03-11: Largest IV drop — 15.3% change
  • 2013-03-25: Highest IV Rank — 24.8%
  • 2013-03-25: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.83$10.10$11.42$10.31$10.11
Max Pain$9.53$9.50$10.00$10.00$9.50
ATM IV30.4%26.4%32.6%29.0%30.8%
Expected Move8.8%8.3%9.3%8.3%8.8%
HV 20d44.9%36.5%48.1%37.2%42.3%
HV 60d34.8%29.2%36.5%29.2%36.5%
IV Rank19.4%9.6%24.8%16.0%20.4%
IV Percentile9.4%0.4%22.6%2.8%9.9%
Term Structure6.1%1.8%8.8%1.8%8.8%
VWIV30.4%24.0%33.7%29.4%31.1%
Skew 25d1.8%1.1%2.9%2.0%1.7%
Skew 10d2.7%-10.3%9.8%9.8%4.2%
Call IV 25d30.4%29.5%32.2%29.5%30.2%
Put IV 25d32.2%31.4%33.3%31.5%31.9%
Bid-Ask Spread %88.1583.8895.7295.7290.40
Gamma HHI0.180.130.270.190.18
Net GEX399.8K176.1K604.3K586.4K177.0K
Net DEX-12.6M-20.4M-4.0M-10.1M-4.2M
Net VEX-36.0K-45.8K-30.9K-45.8K-31.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.080.0028.000.050.17
Total Volume1,01206,120690270
Total OI38,450.531,59043,78041,32035,890

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$10.31$10.0029.0%8.3%37.2%16.0%29.4%2.0%1.8%586.4K-10.1M-45.8K0.0595.72N/AN/A6603030,13011,190
2013-03-04$10.30$9.5030.0%8.8%36.5%18.4%0.0%2.3%5.3%604.3K-10.1M-42.8K0.0083.88N/AN/A0030,10011,180
2013-03-05$11.35$9.5030.6%8.9%48.0%19.9%31.7%1.6%5.5%514.0K-20.4M-39.2K0.1586.37N/AN/A5,30082030,10011,180
2013-03-06$11.27$9.5031.4%8.8%48.1%21.8%29.6%1.4%4.4%546.3K-19.2M-40.0K2.7885.34N/AN/A18050031,29011,100
2013-03-07$11.21$9.5031.4%8.9%47.6%21.8%30.3%2.3%4.7%581.1K-18.8M-38.8K28.0084.04N/AN/A2056031,05011,260
2013-03-08$11.42$9.5031.6%8.7%47.4%22.4%30.8%2.9%4.5%594.2K-20.2M-40.1K6.4085.71N/AN/A5032031,05011,660
2013-03-11$11.27$9.5026.8%8.9%47.9%10.4%0.0%1.4%3.9%525.9K-19.1M-36.8K0.2486.93N/AN/A3709031,05011,940
2013-03-12$11.27$9.5026.4%8.6%47.7%9.6%31.2%1.8%5.7%540.2K-19.2M-36.3K1.0887.05N/AN/A39042031,12011,930
2013-03-13$11.28$9.5028.6%8.7%47.5%14.9%0.0%2.1%5.1%559.7K-19.5M-36.3K1.1487.70N/AN/A21024031,49012,200
2013-03-14$11.29$9.5030.4%8.7%47.5%19.3%30.6%2.4%4.9%602.3K-19.4M-35.3K1.0987.44N/AN/A32035031,30011,940
2013-03-15$11.23$9.5031.1%8.9%47.4%21.2%29.4%1.3%4.2%488.8K-18.8M-34.5K0.2288.28N/AN/A49011031,49012,290
2013-03-18$10.90$9.5030.7%8.8%46.1%20.2%31.6%1.3%7.8%253.5K-9.2M-33.8K6.0888.01N/AN/A13079022,1109,480
2013-03-19$10.74$9.5032.3%9.3%45.7%24.1%29.7%1.6%6.3%225.0K-8.0M-34.4K0.1890.52N/AN/A1703022,23010,090
2013-03-20$10.85$9.5031.3%9.0%43.5%21.7%24.0%1.8%7.4%238.3K-8.4M-34.3K0.0089.94N/AN/A80022,31010,120
2013-03-21$10.81$9.5030.8%8.8%42.9%20.5%29.4%2.1%7.7%225.5K-8.3M-33.0K1.0489.57N/AN/A51053022,32010,120
2013-03-22$10.39$9.5031.2%8.9%45.3%21.4%33.7%2.9%8.8%188.5K-5.7M-33.1K0.6687.92N/AN/A67044022,68010,650
2013-03-25$10.18$9.5032.6%9.3%44.5%24.8%31.9%1.1%7.5%176.1K-4.4M-31.8K0.1989.56N/AN/A1,92037022,84010,870
2013-03-26$10.26$9.5030.3%8.7%42.1%19.1%30.3%1.4%8.7%190.4K-5.1M-30.9K27.5789.12N/AN/A701,93023,14010,860
2013-03-27$10.10$9.5031.0%8.9%42.4%20.9%31.5%1.8%8.6%179.3K-4.0M-31.1K0.5089.50N/AN/A60030023,16012,100
2013-03-28$10.11$9.5030.8%8.8%42.3%20.4%31.1%1.7%8.8%177.0K-4.2M-31.3K0.1790.40N/AN/A2304023,57012,320