MSTR Options History — October 2013

In October 2013, MSTR traded between $9.62 and $12.54. ATM implied volatility averaged 39.5%, placing in the 51.6% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 0.3% (HV 20d: 39.3%). Max pain ranged from $9.00 to $9.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.55.

Notable Days

  • 2013-10-28: Highest Volume — 13,150 contracts
  • 2013-10-29: Largest IV drop — 41.7% change
  • 2013-10-28: Highest IV Rank — 83.9%
  • 2013-10-28: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.40$9.62$12.54$10.71$12.20
Max Pain$9.11$9.00$9.50$9.00$9.50
ATM IV39.5%29.3%50.5%29.7%30.9%
Expected Move11.7%8.4%14.5%8.5%8.9%
HV 20d39.3%30.6%71.7%31.8%71.7%
HV 60d30.4%25.0%46.9%26.1%46.9%
IV Rank51.6%21.5%83.9%22.8%26.3%
IV Percentile68.0%19.8%98.4%21.8%35.3%
Term Structure-4.3%-13.4%10.9%9.4%1.5%
VWIV40.4%29.2%51.0%33.8%31.3%
Skew 25d5.7%0.7%12.1%9.5%0.7%
Skew 10d12.7%1.0%23.0%15.8%3.3%
Call IV 25d39.5%24.4%46.7%24.4%31.2%
Put IV 25d45.2%31.9%53.6%34.0%31.9%
Bid-Ask Spread %78.5864.5693.6791.6081.60
Gamma HHI0.480.220.890.540.22
Net GEX1.2M269.3K5.0M1.1M269.3K
Net DEX-25.2M-39.8M-9.0M-39.0M-32.8M
Net VEX-42.1K-63.7K-25.5K-50.8K-30.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.004.750.260.25
Total Volume3,773.47810013,1502,7107,940
Total OI59,656.52225,98081,72074,93045,520

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$10.71$9.0029.7%8.5%31.8%22.8%33.8%9.5%9.4%1.1M-39.0M-50.8K0.2691.60N/AN/A2,15056047,75027,180
2013-10-02$10.71$9.0029.3%8.4%31.9%21.5%29.2%3.1%10.9%1.0M-39.8M-52.6K0.1593.17N/AN/A2604049,03026,900
2013-10-03$10.42$9.0029.8%8.6%34.2%23.1%36.6%3.7%10.5%1.2M-35.3M-58.0K4.7593.67N/AN/A4001,90049,21026,940
2013-10-04$10.56$9.5030.4%11.5%34.3%24.8%0.0%6.5%-6.6%1.2M-37.6M-55.9K0.6767.97N/AN/A604049,59027,430
2013-10-07$10.24$9.5035.6%12.2%35.1%40.1%46.4%3.0%-6.7%1.3M-31.7M-58.0K0.3064.56N/AN/A2,13064049,53027,410
2013-10-08$10.10$9.5038.3%12.9%35.1%47.9%46.3%10.6%-9.7%1.4M-28.6M-60.4K0.0873.81N/AN/A7,09056050,26027,450
2013-10-09$9.91$9.0038.5%12.7%31.5%48.6%44.7%2.7%-6.0%1.4M-26.4M-63.7K0.0068.05N/AN/A300053,76027,660
2013-10-10$10.04$9.0043.4%12.4%30.6%62.8%44.2%7.9%-7.1%1.7M-29.7M-60.4K0.1072.20N/AN/A3,08030054,06027,660
2013-10-11$10.26$9.0041.4%11.9%31.6%57.0%42.2%6.8%-6.7%1.9M-35.5M-53.1K0.1973.13N/AN/A4,41083052,46027,810
2013-10-14$10.24$9.0043.9%12.6%31.1%64.2%39.3%6.8%-8.5%1.6M-34.1M-49.2K0.0075.60N/AN/A650050,67027,510
2013-10-15$9.62$9.0045.2%13.0%38.0%68.3%45.0%5.7%-6.9%1.1M-16.5M-48.8K0.0869.37N/AN/A9,68077050,72027,510
2013-10-16$9.74$9.0045.9%13.2%38.3%70.3%46.5%2.4%-5.3%1.2M-16.4M-34.3K0.0771.96N/AN/A2,00014047,07027,580
2013-10-17$9.98$9.0044.2%12.7%39.4%65.2%38.6%12.1%-9.5%3.2M-24.3M-32.3K0.4878.63N/AN/A88042045,27027,150
2013-10-18$10.02$9.0044.8%12.8%35.7%67.0%46.3%1.9%-8.7%5.0M-26.4M-30.3K0.0374.55N/AN/A11,18028044,85027,270
2013-10-21$9.87$9.0045.2%13.0%34.3%68.2%44.6%4.8%-6.1%331.3K-9.0M-28.9K1.0281.35N/AN/A44045018,4607,520
2013-10-22$9.99$9.0045.0%12.9%34.7%67.7%34.1%7.0%-7.6%321.5K-9.2M-30.3K0.8575.60N/AN/A40034018,7907,970
2013-10-23$9.91$9.0045.8%13.1%34.7%69.9%49.5%6.3%-7.5%325.5K-9.1M-29.6K0.2579.97N/AN/A2005019,1908,280
2013-10-24$10.13$9.0045.4%13.0%35.8%68.7%32.8%9.2%-9.5%326.5K-10.0M-29.1K0.0886.66N/AN/A1301019,3908,330
2013-10-25$10.02$9.0046.6%13.4%35.9%72.4%44.7%5.0%-10.5%336.4K-9.6M-29.1K0.6781.77N/AN/A36024019,5208,330
2013-10-28$10.06$9.0050.5%14.5%36.0%83.9%51.0%6.9%-13.4%347.3K-9.9M-28.9K0.1479.32N/AN/A11,5601,59019,8408,560
2013-10-29$11.92$9.0029.5%8.4%69.9%22.0%29.9%5.1%-0.1%359.8K-31.4M-29.6K0.8888.45N/AN/A3,9303,45031,0809,770
2013-10-30$12.54$9.5030.0%8.6%71.7%23.6%31.8%2.8%5.7%289.5K-36.5M-25.5K1.3284.27N/AN/A2,1302,82032,48011,380
2013-10-31$12.20$9.5030.9%8.9%71.7%26.3%31.3%0.7%1.5%269.3K-32.8M-30.2K0.2581.60N/AN/A6,3701,57032,47013,050