MSTR Options History — July 2013

In July 2013, MSTR traded between $8.78 and $9.83. ATM implied volatility averaged 37.3%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 14.8% (HV 20d: 22.5%). Max pain ranged from $8.50 to $9.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 10.08.

Notable Days

  • 2013-07-30: Highest Volume — 13,020 contracts
  • 2013-07-10: Largest IV spike — 37.1% change
  • 2013-07-29: Highest IV Rank — 77.3%
  • 2013-07-29: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.48$8.78$9.83$8.78$9.50
Max Pain$9.05$8.50$9.50$9.00$9.50
ATM IV37.3%22.4%53.7%28.8%26.1%
Expected Move11.4%6.7%15.4%8.3%7.5%
HV 20d22.5%19.3%26.9%21.0%20.8%
HV 60d28.2%22.0%30.7%30.0%22.1%
IV Rank36.6%0.0%77.3%15.4%8.9%
IV Percentile54.4%0.0%98.8%6.3%2.0%
Term Structure-4.6%-17.7%16.4%10.5%0.5%
VWIV38.0%19.3%53.2%28.2%19.3%
Skew 25d1.7%-10.1%6.0%1.7%-10.1%
Skew 10d5.7%-6.6%19.6%9.6%-6.6%
Call IV 25d38.7%20.2%51.7%28.2%27.5%
Put IV 25d40.4%17.4%51.8%29.9%17.4%
Bid-Ask Spread %85.6872.38103.34100.8699.10
Gamma HHI0.410.330.630.350.63
Net GEX466.5K305.3K660.8K305.3K594.1K
Net DEX-11.7M-18.0M-4.6M-4.6M-10.6M
Net VEX-82.9K-92.1K-69.6K-87.9K-76.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.080.00165.000.002.20
Total Volume1,5202013,02060160
Total OI65,129.09151,88073,41069,78060,170

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$8.78$9.0028.8%8.3%21.0%15.4%28.2%1.7%10.5%305.3K-4.6M-87.9K0.00100.86N/AN/A60047,95021,830
2013-07-02$8.88$9.0025.3%7.3%21.5%6.9%29.3%2.5%14.8%337.3K-5.4M-88.3K165.00100.28N/AN/A101,65047,98021,830
2013-07-03$8.86$9.0023.5%6.7%21.5%2.4%24.1%6.0%16.4%325.3K-4.8M-88.3K26.20102.17N/AN/A501,31047,99022,690
2013-07-05$8.97$0.0026.7%11.2%22.0%10.3%0.0%3.4%-5.7%352.2K-5.2M-89.4K1.0083.23N/AN/A101048,03023,960
2013-07-08$9.00$0.0027.2%11.9%21.9%11.5%0.0%1.0%-4.9%352.1K-6.0M-91.1K0.0073.77N/AN/A07048,03023,950
2013-07-09$9.22$0.0022.4%12.0%23.6%0.0%43.8%2.2%-5.9%442.5K-8.8M-92.1K0.3374.26N/AN/A903048,03024,020
2013-07-10$9.53$8.5030.8%12.1%25.0%20.6%42.6%4.0%-9.0%522.9K-12.9M-92.0K0.7782.55N/AN/A1,04080048,10024,000
2013-07-11$9.83$8.5040.5%11.6%26.8%44.7%40.1%2.7%-7.1%640.1K-17.9M-91.7K0.0072.38N/AN/A3,500048,90024,150
2013-07-12$9.77$8.5041.1%11.8%26.4%46.1%0.0%2.3%-6.0%614.7K-18.0M-88.2K0.0881.19N/AN/A3903048,15024,150
2013-07-15$9.66$8.5041.6%11.9%26.9%47.5%42.3%3.2%-6.4%604.3K-15.6M-85.9K0.1079.71N/AN/A1,37014048,17024,150
2013-07-16$9.66$8.5042.5%12.2%25.6%49.6%0.0%0.8%-7.4%660.8K-15.4M-87.6K0.0083.89N/AN/A033048,96024,250
2013-07-17$9.70$8.5041.9%12.0%25.6%48.1%41.8%2.2%-6.6%619.3K-16.5M-86.8K0.0284.31N/AN/A1,2203048,96024,450
2013-07-18$9.73$8.5041.6%11.9%24.2%47.3%42.0%1.9%-7.4%587.6K-16.4M-83.1K0.0385.18N/AN/A3,27010047,62024,430
2013-07-19$9.68$9.5041.7%12.0%23.4%47.6%43.7%4.4%-8.3%556.3K-14.5M-78.4K0.2779.70N/AN/A2206045,67024,530
2013-07-22$9.64$9.5044.2%12.7%20.2%53.9%43.1%0.7%-5.9%370.0K-12.0M-76.3K2.9084.82N/AN/A10029031,21020,870
2013-07-23$9.69$9.5045.7%13.1%20.2%57.5%0.0%2.8%-10.4%374.5K-11.6M-78.3K0.0079.65N/AN/A100031,31021,150
2013-07-24$9.73$9.5044.2%12.7%19.6%53.9%41.7%0.8%-7.8%397.4K-12.8M-74.7K0.0580.27N/AN/A1,1006031,31021,150
2013-07-25$9.82$9.5047.8%13.7%19.3%62.6%31.0%1.0%-12.5%373.9K-12.9M-73.2K0.1183.61N/AN/A4505030,77021,110
2013-07-26$9.74$9.5048.8%14.0%19.7%65.1%47.6%-0.9%-13.7%390.6K-12.3M-72.5K0.0886.39N/AN/A5004031,12021,160
2013-07-29$9.66$9.5053.7%15.4%20.1%77.3%53.2%0.1%-17.7%387.5K-11.9M-71.5K1.0984.24N/AN/A85093031,37021,180
2013-07-30$9.59$9.5034.1%9.8%20.4%28.8%31.5%5.4%-1.7%454.2K-11.1M-69.6K1.44103.34N/AN/A5,3307,69032,06021,970
2013-07-31$9.50$9.5026.1%7.5%20.8%8.9%19.3%-10.1%0.5%594.1K-10.6M-76.0K2.2099.10N/AN/A5011036,88023,290