MSTR Options History — August 2013

In August 2013, MSTR traded between $9.18 and $10.09. ATM implied volatility averaged 28.0%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 6.6% (HV 20d: 21.4%). Max pain ranged from $9.50 to $9.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 4.51.

Notable Days

  • 2013-08-23: Highest Volume — 5,440 contracts
  • 2013-08-23: Largest IV spike — 35.5% change
  • 2013-08-27: Highest IV Rank — 37.7%
  • 2013-08-27: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.59$9.18$10.09$9.68$9.18
Max Pain$9.50$9.50$9.50$9.50$9.50
ATM IV28.0%21.9%34.8%25.5%30.9%
Expected Move8.1%6.3%10.0%7.3%8.9%
HV 20d21.4%17.2%23.7%21.4%21.8%
HV 60d22.1%21.3%23.1%22.3%21.9%
IV Rank16.7%0.0%37.7%7.6%26.3%
IV Percentile13.7%0.0%63.9%2.0%26.6%
Term Structure1.1%-5.9%7.0%1.4%-2.1%
VWIV26.1%18.7%33.2%21.2%28.5%
Skew 25d1.8%-9.1%8.2%1.4%8.2%
Skew 10d0.6%-7.8%24.9%-1.2%10.1%
Call IV 25d26.1%19.0%29.5%21.0%24.5%
Put IV 25d27.9%17.3%33.5%22.5%32.7%
Bid-Ask Spread %95.0285.01113.12104.10101.03
Gamma HHI0.610.410.820.670.41
Net GEX685.4K234.2K1.7M715.1K234.2K
Net DEX-10.8M-20.9M-2.9M-12.7M-3.5M
Net VEX-66.1K-75.1K-57.4K-75.1K-60.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.510.0019.508.500.38
Total Volume809.545105,440190110
Total OI60,288.18256,37065,04060,22058,640

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$9.68$9.5025.5%7.3%21.4%7.6%21.2%1.4%1.4%715.1K-12.7M-75.1K8.50104.10N/AN/A2017036,88023,340
2013-08-02$9.51$9.5025.7%7.4%22.5%9.6%23.3%-9.1%0.2%587.6K-10.5M-70.2K19.5099.42N/AN/A2039036,90023,160
2013-08-05$9.73$9.5025.6%7.9%23.6%9.5%27.3%1.4%3.4%809.0K-14.0M-69.4K0.7989.88N/AN/A33026036,88023,340
2013-08-06$9.62$9.5027.3%8.2%22.9%14.4%0.0%3.5%1.3%726.2K-11.6M-72.5K0.0088.92N/AN/A520036,83023,590
2013-08-07$9.57$9.5025.4%8.6%19.9%8.8%0.0%1.2%0.7%650.2K-11.1M-68.3K0.6985.01N/AN/A32022037,02023,590
2013-08-08$9.72$9.5027.9%7.9%17.2%16.1%0.0%2.6%2.4%908.7K-12.9M-69.4K1.8986.70N/AN/A1,0702,02037,33023,710
2013-08-09$9.94$9.5033.5%8.5%18.7%32.8%0.0%0.1%0.9%964.9K-16.5M-72.7K0.0285.88N/AN/A1,0902038,04025,410
2013-08-12$10.02$9.5031.1%8.2%18.3%25.9%29.6%0.8%1.3%1.2M-18.9M-67.3K5.6789.46N/AN/A6034039,06025,430
2013-08-13$10.09$9.5022.4%7.8%18.4%0.0%0.0%0.2%2.0%1.5M-20.9M-65.1K0.1794.51N/AN/A601039,12025,740
2013-08-14$10.05$9.5026.1%7.7%18.5%10.8%0.0%-2.4%1.4%1.7M-20.2M-65.1K0.0091.45N/AN/A150039,11025,750
2013-08-15$9.75$9.5026.9%7.7%21.7%13.4%26.9%0.3%1.3%977.4K-13.9M-64.9K1.1493.09N/AN/A51058038,75025,410
2013-08-16$9.63$9.5026.3%7.5%22.1%11.4%25.9%0.4%4.8%723.9K-10.7M-66.6K4.0094.23N/AN/A5020039,05025,990
2013-08-19$9.51$9.5029.7%8.5%22.5%21.7%21.8%1.9%2.3%444.3K-8.5M-64.9K0.0091.56N/AN/A400032,15024,220
2013-08-20$9.49$9.5028.1%8.0%22.3%16.8%0.0%2.9%3.2%438.5K-8.7M-64.1K0.0096.27N/AN/A05032,25024,220
2013-08-21$9.41$9.5027.4%7.8%22.4%14.6%26.6%0.8%1.2%435.5K-6.8M-64.4K0.0097.68N/AN/A300032,25024,220
2013-08-22$9.49$9.5021.9%6.3%22.3%0.0%18.7%-1.7%7.0%487.3K-8.6M-65.2K16.29113.12N/AN/A1402,28032,55024,220
2013-08-23$9.51$9.5029.8%8.5%22.2%22.9%33.2%6.5%0.5%380.5K-8.4M-65.5K11.0996.17N/AN/A4504,99032,69026,160
2013-08-26$9.48$9.5030.8%8.8%22.1%25.8%28.7%3.9%-0.9%399.9K-7.3M-64.1K11.0099.58N/AN/A1011032,96025,180
2013-08-27$9.25$9.5034.8%10.0%23.7%37.7%0.0%6.2%-5.9%306.0K-4.8M-60.9K8.5096.40N/AN/A2017032,96025,250
2013-08-28$9.19$9.5029.5%8.4%23.6%22.0%27.5%3.3%-0.3%264.8K-2.9M-57.4K0.5796.08N/AN/A23013032,98025,360
2013-08-29$9.23$9.5028.6%8.2%22.5%19.7%0.0%7.6%-1.0%248.7K-3.9M-60.6K0.0099.89N/AN/A01033,18025,470
2013-08-30$9.18$9.5030.9%8.9%21.8%26.3%28.5%8.2%-2.1%234.2K-3.5M-60.2K0.38101.03N/AN/A803033,18025,460