MSTR Options History — September 2013

In September 2013, MSTR traded between $9.17 and $10.86. ATM implied volatility averaged 28.6%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 2.3% (HV 20d: 26.3%). Max pain ranged from $9.00 to $9.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.17.

Notable Days

  • 2013-09-11: Highest Volume — 12,570 contracts
  • 2013-09-10: Largest IV spike — 14.7% change
  • 2013-09-10: Highest IV Rank — 28.4%
  • 2013-09-06: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.17$9.17$10.86$9.17$10.38
Max Pain$9.30$9.00$9.50$9.50$9.00
ATM IV28.6%26.3%31.6%30.6%28.6%
Expected Move8.2%7.5%9.1%8.8%8.2%
HV 20d26.3%19.2%32.6%19.7%30.6%
HV 60d23.7%21.7%25.6%21.9%25.4%
IV Rank19.5%12.8%28.4%25.2%19.4%
IV Percentile14.9%6.0%38.5%21.4%16.3%
Term Structure6.2%1.7%13.3%1.7%9.3%
VWIV30.3%26.7%35.9%30.3%35.9%
Skew 25d3.9%-2.0%10.0%7.8%10.0%
Skew 10d8.0%-5.3%20.5%11.5%16.3%
Call IV 25d27.5%21.5%29.8%24.1%27.2%
Put IV 25d31.4%25.4%37.2%31.8%37.2%
Bid-Ask Spread %91.5584.96106.47106.4792.18
Gamma HHI0.560.400.640.400.59
Net GEX850.1K216.4K1.3M216.4K1.1M
Net DEX-25.2M-40.4M-3.7M-3.7M-31.5M
Net VEX-59.2K-70.1K-49.0K-56.1K-62.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.170.0013.603.500.33
Total Volume1,8614012,57045040
Total OI68,686.558,62074,93058,62074,930

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$9.17$9.5030.6%8.8%19.7%25.2%30.3%7.8%1.7%216.4K-3.7M-56.1K3.50106.47N/AN/A10035033,17025,450
2013-09-04$9.26$9.5028.6%8.2%20.0%19.5%27.4%-2.0%1.7%278.1K-4.0M-55.2K5.6799.80N/AN/A6034033,27025,530
2013-09-05$9.28$9.5028.7%8.2%20.0%19.9%26.7%8.7%3.0%305.0K-5.1M-54.2K0.0099.67N/AN/A410033,31025,730
2013-09-06$9.34$9.5027.8%9.1%19.2%17.2%29.5%5.7%3.8%350.5K-4.7M-56.5K0.0691.55N/AN/A3502033,63025,730
2013-09-09$9.65$9.5027.6%7.8%21.3%16.6%31.0%1.5%7.0%573.1K-10.5M-52.1K0.3491.67N/AN/A65022033,98025,750
2013-09-10$9.82$9.5031.6%8.2%22.1%28.4%29.3%2.3%3.8%623.4K-13.0M-52.4K0.2589.06N/AN/A1,40035034,01025,950
2013-09-11$10.29$9.5029.8%8.9%27.7%23.1%31.6%2.2%5.2%778.4K-21.0M-49.0K0.0489.42N/AN/A12,08049035,15026,200
2013-09-12$10.54$9.5029.5%8.5%28.8%22.1%29.8%1.7%5.0%931.2K-34.0M-70.1K1.2987.53N/AN/A1,1401,47046,59026,610
2013-09-13$10.62$9.5029.3%8.4%26.1%21.5%35.2%4.3%4.6%971.1K-34.1M-65.4K13.6086.54N/AN/A1001,36045,97027,620
2013-09-16$10.46$9.0030.2%8.7%26.4%24.1%32.3%2.1%3.6%1.0M-32.7M-65.3K0.4191.21N/AN/A1707046,04026,590
2013-09-17$10.52$9.0030.6%8.8%25.7%25.3%33.6%5.0%3.3%1.0M-32.7M-65.9K0.4287.26N/AN/A79033046,10026,620
2013-09-18$10.56$9.0027.8%8.0%25.5%17.2%28.0%1.9%4.7%1.2M-35.0M-59.6K0.4493.95N/AN/A1,22054046,84026,720
2013-09-19$10.39$9.5026.8%7.7%26.2%14.2%27.1%0.7%5.8%1.3M-33.3M-60.3K6.7884.96N/AN/A9061047,06026,850
2013-09-20$10.86$9.5026.3%7.5%29.5%12.8%28.6%1.6%8.0%971.1K-40.4M-50.1K0.3986.76N/AN/A1,00039047,02027,130
2013-09-23$10.51$9.0028.1%8.1%32.6%18.2%30.0%2.4%10.9%992.1K-33.2M-57.1K0.3888.22N/AN/A6,7402,58044,29025,330
2013-09-24$10.48$9.5028.0%8.0%32.6%17.9%31.7%4.5%9.3%1.1M-34.1M-65.0K2.1187.98N/AN/A36076047,59026,790
2013-09-25$10.46$9.0028.6%8.2%30.7%19.4%31.6%6.4%8.8%1.1M-34.5M-63.0K3.0093.63N/AN/A7021047,71026,780
2013-09-26$10.44$9.0026.5%7.6%30.5%13.3%30.0%7.2%11.7%1.1M-34.0M-62.3K2.2088.92N/AN/A10022047,78026,980
2013-09-27$10.38$9.0026.9%7.7%30.8%14.4%26.9%5.1%13.3%1.2M-33.1M-61.9K0.3394.23N/AN/A301047,74027,190
2013-09-30$10.38$9.0028.6%8.2%30.6%19.4%35.9%10.0%9.3%1.1M-31.5M-62.6K0.0092.18N/AN/A04047,75027,180