MSTR Options History — May 2013

In May 2013, MSTR traded between $8.92 and $9.60. ATM implied volatility averaged 31.5%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 7.2% (HV 20d: 38.7%). Max pain ranged from $8.50 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.04.

Notable Days

  • 2013-05-10: Highest Volume — 21,570 contracts
  • 2013-05-13: Largest IV drop — 20.0% change
  • 2013-05-06: Highest IV Rank — 37.5%
  • 2013-05-01: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.25$8.92$9.60$8.92$9.15
Max Pain$8.66$8.50$10.00$9.50$8.50
ATM IV31.5%23.8%37.7%36.8%31.4%
Expected Move9.2%8.6%10.6%10.6%9.0%
HV 20d38.7%23.2%42.1%40.8%24.5%
HV 60d37.3%30.4%39.6%39.3%30.6%
IV Rank22.1%3.0%37.5%35.3%21.8%
IV Percentile22.5%0.4%61.1%57.1%20.2%
Term Structure0.6%-1.5%2.8%-1.5%2.4%
VWIV32.3%30.2%37.2%36.7%31.5%
Skew 25d2.5%0.5%4.8%3.3%3.1%
Skew 10d6.2%-6.3%16.9%16.9%2.1%
Call IV 25d31.3%28.7%36.6%36.6%30.4%
Put IV 25d33.8%30.8%39.9%39.9%33.4%
Bid-Ask Spread %77.8564.6292.2189.9092.21
Gamma HHI0.260.140.370.180.27
Net GEX338.9K85.7K678.9K90.3K466.7K
Net DEX-7.2M-14.5M455.5K455.5K-9.9M
Net VEX-86.6K-113.5K-41.3K-41.3K-104.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.040.0218.000.173.00
Total Volume3,504.0918021,5709,23080
Total OI62,731.81839,12082,14039,12069,100

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$8.92$9.5036.8%10.6%40.8%35.3%36.7%3.3%-1.5%90.3K455.5K-41.3K0.1789.90N/AN/A7,9001,33027,27011,850
2013-05-02$9.00$10.0036.5%10.5%41.2%34.6%37.2%2.5%-1.1%85.7K-1.3M-46.0K0.7481.59N/AN/A3,9402,92028,52013,050
2013-05-03$9.11$9.5034.8%10.0%41.7%30.4%31.0%4.8%-0.5%146.5K-1.9M-51.9K4.4880.19N/AN/A2901,30030,28015,550
2013-05-06$9.10$8.5037.7%10.2%41.4%37.5%0.0%3.7%-1.0%114.6K-647.2K-51.4K0.2069.39N/AN/A2505030,19016,640
2013-05-07$9.17$8.5033.4%9.2%41.6%26.9%32.0%3.9%-0.4%153.1K-1.5M-50.8K0.5670.81N/AN/A5,4903,08030,33016,640
2013-05-08$9.19$8.5033.8%9.0%39.0%27.8%31.5%4.1%0.7%253.5K-3.0M-57.9K1.6775.31N/AN/A24040034,67018,010
2013-05-09$9.15$8.5033.0%9.3%38.8%25.8%0.0%3.5%-1.0%257.5K-2.4M-57.3K0.7373.25N/AN/A30022034,89018,110
2013-05-10$9.47$8.5029.7%9.2%41.4%17.8%31.8%1.4%-0.4%381.5K-7.0M-59.3K0.6275.57N/AN/A13,3208,25035,14018,160
2013-05-13$9.45$8.5023.8%9.1%40.6%3.0%0.0%1.5%-0.1%678.9K-9.9M-98.7K1.5170.24N/AN/A2,4103,64047,04025,710
2013-05-14$9.49$8.5026.2%9.0%40.6%9.1%0.0%1.8%0.2%306.8K-9.4M-101.3K0.5264.62N/AN/A2,1501,12047,83028,440
2013-05-15$9.31$8.5026.8%9.2%40.6%10.5%32.7%0.5%-0.2%273.4K-5.6M-104.0K1.1867.21N/AN/A3,6604,32049,06028,620
2013-05-16$9.44$8.5030.7%8.8%40.9%20.2%30.4%1.4%0.5%287.3K-8.1M-113.2K0.1869.58N/AN/A82015050,80030,570
2013-05-17$9.60$8.5030.4%8.7%41.0%19.3%30.7%2.1%1.0%322.5K-14.5M-113.5K1.4275.95N/AN/A8401,19051,56030,580
2013-05-20$9.42$8.5030.2%8.6%41.5%18.8%33.3%2.3%2.8%488.5K-12.7M-109.9K1.1080.79N/AN/A1,5001,65045,21019,980
2013-05-21$9.32$8.5030.4%8.7%41.0%19.4%32.6%2.4%2.0%486.4K-11.7M-109.1K2.1781.32N/AN/A36078046,28020,800
2013-05-22$9.06$8.5030.8%8.8%42.0%20.5%30.4%2.7%2.0%408.1K-8.3M-106.3K0.8076.91N/AN/A35028046,33021,440
2013-05-23$9.13$8.5030.6%8.8%41.7%19.9%31.2%1.5%2.5%419.4K-9.1M-108.0K3.0083.43N/AN/A6018046,47021,540
2013-05-24$9.24$8.5030.6%8.8%42.1%20.0%30.2%1.4%1.7%452.9K-10.6M-107.7K0.0276.37N/AN/A5701046,47021,530
2013-05-28$9.23$8.5032.0%9.2%41.5%23.3%33.8%2.8%1.4%461.5K-10.7M-105.1K2.5083.42N/AN/A16040046,62021,520
2013-05-29$9.15$8.5031.4%9.0%23.2%22.0%34.3%2.5%2.1%438.5K-9.2M-104.3K18.0088.80N/AN/A2036046,78021,860
2013-05-30$9.32$8.5031.4%9.0%23.6%21.8%30.9%0.8%1.1%481.2K-11.4M-104.5K0.2185.93N/AN/A62013046,80021,860
2013-05-31$9.15$8.5031.4%9.0%24.5%21.8%31.5%3.1%2.4%466.7K-9.9M-104.0K3.0092.21N/AN/A206047,27021,830