MSTR Options History — June 2013

In June 2013, MSTR traded between $8.41 and $9.11. ATM implied volatility averaged 32.5%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 11.1% (HV 20d: 21.5%). Max pain ranged from $8.50 to $9.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.52.

Notable Days

  • 2013-06-19: Highest Volume — 9,640 contracts
  • 2013-06-11: Largest IV spike — 12.2% change
  • 2013-06-11: Highest IV Rank — 30.4%
  • 2013-06-11: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.81$8.41$9.11$9.11$8.70
Max Pain$8.90$8.50$9.00$8.50$9.00
ATM IV32.5%28.0%34.8%32.4%28.0%
Expected Move9.5%8.0%10.3%9.3%8.0%
HV 20d21.5%19.2%24.3%24.2%20.6%
HV 60d29.9%29.3%30.6%30.6%29.9%
IV Rank24.7%13.6%30.4%24.3%13.6%
IV Percentile33.7%3.2%55.6%29.4%3.2%
Term Structure5.2%-1.4%13.5%1.1%10.2%
VWIV33.4%24.7%41.5%34.4%32.8%
Skew 25d2.5%-0.8%6.3%2.1%5.1%
Skew 10d3.0%-5.6%15.4%-2.2%15.4%
Call IV 25d31.9%24.5%34.7%31.6%24.5%
Put IV 25d34.4%29.6%36.9%33.7%29.6%
Bid-Ask Spread %92.5684.9099.1491.1299.14
Gamma HHI0.310.270.350.270.34
Net GEX347.8K180.2K484.7K450.5K264.4K
Net DEX-5.3M-9.0M164.0K-9.0M-3.2M
Net VEX-91.6K-101.8K-82.2K-101.8K-85.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.520.0016.000.310.00
Total Volume1,315.5109,64068070
Total OI71,12066,27074,85069,10069,710

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$9.11$8.5032.4%9.3%24.2%24.3%34.4%2.1%1.1%450.5K-9.0M-101.8K0.3191.12N/AN/A52016047,25021,850
2013-06-04$9.05$8.5033.8%9.7%24.3%27.9%33.3%4.3%-1.4%432.4K-8.3M-99.0K1.3996.57N/AN/A28039047,75021,800
2013-06-05$9.05$8.5034.8%10.0%24.1%30.3%0.0%5.3%-1.0%435.4K-8.6M-99.6K0.2497.67N/AN/A45011047,86022,030
2013-06-06$9.01$8.5034.5%9.9%24.1%29.5%33.9%2.3%-0.3%426.1K-7.7M-99.0K0.0097.37N/AN/A02,70047,97022,040
2013-06-07$8.97$9.0032.1%9.9%24.1%23.6%36.1%2.6%5.2%422.8K-7.4M-101.0K16.0084.90N/AN/A1016047,97023,930
2013-06-10$8.97$9.0031.1%9.9%20.1%21.0%34.5%1.3%5.2%424.2K-7.2M-97.5K0.1486.62N/AN/A1402047,97023,950
2013-06-11$8.81$9.0034.8%10.3%20.8%30.4%35.2%2.4%3.0%372.9K-5.5M-93.6K1.2488.59N/AN/A17021048,10023,960
2013-06-12$8.81$9.0032.0%9.7%20.7%23.4%0.0%2.1%5.8%363.1K-4.7M-92.3K0.0088.07N/AN/A03048,24024,050
2013-06-13$9.01$9.0033.0%9.5%21.7%25.8%33.1%1.3%6.2%438.9K-7.3M-94.0K0.0386.49N/AN/A3001048,24024,080
2013-06-14$9.09$9.0032.3%9.3%21.4%24.1%0.0%-0.8%7.1%484.7K-8.9M-94.5K0.0089.12N/AN/A018048,30024,090
2013-06-17$8.92$9.0034.2%9.8%21.0%28.8%0.0%0.4%6.4%413.6K-6.8M-91.4K0.0089.18N/AN/A01048,30024,070
2013-06-18$8.96$9.0034.4%9.8%20.4%29.2%41.5%0.7%4.7%410.3K-6.7M-88.3K0.2191.69N/AN/A3,07063048,30024,080
2013-06-19$8.79$9.0033.9%9.7%21.0%28.1%33.1%3.0%2.3%334.9K-5.0M-86.6K0.0794.12N/AN/A9,03061048,83024,450
2013-06-20$8.66$9.0033.4%9.6%19.2%26.8%28.8%2.1%3.4%245.6K-3.1M-90.2K0.4292.04N/AN/A31013049,90024,540
2013-06-21$8.43$9.0034.3%9.8%20.8%29.1%33.9%1.1%3.8%180.2K164.0K-82.8K12.5093.69N/AN/A2025050,20024,650
2013-06-24$8.48$9.0034.4%9.9%20.3%29.4%32.8%2.3%7.1%207.0K-1.1M-82.2K0.0493.52N/AN/A4,51016045,29020,980
2013-06-25$8.43$9.0030.8%8.8%20.3%20.4%33.7%4.9%8.7%205.4K-1.3M-83.8K2.6997.25N/AN/A32086047,63021,040
2013-06-26$8.41$9.0028.6%8.2%20.2%15.0%24.7%1.7%13.1%212.3K-1.4M-84.6K0.0096.00N/AN/A410047,59021,730
2013-06-27$8.56$9.0028.3%8.1%20.1%14.1%32.8%6.3%13.5%230.8K-2.0M-85.5K0.0098.08N/AN/A08047,95021,730
2013-06-28$8.70$9.0028.0%8.0%20.6%13.6%32.8%5.1%10.2%264.4K-3.2M-85.1K0.0099.14N/AN/A07047,95021,760