MSTR Options History — November 2013

In November 2013, MSTR traded between $12.23 and $12.93. ATM implied volatility averaged 30.3%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 31.3% (HV 20d: 61.5%). Max pain ranged from $9.50 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2013-11-08: Highest Volume — 16,640 contracts
  • 2013-11-11: Largest IV spike — 12.2% change
  • 2013-11-07: Highest IV Rank — 31.4%
  • 2013-11-12: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.61$12.23$12.93$12.23$12.93
Max Pain$11.88$9.50$12.00$9.50$12.00
ATM IV30.3%27.9%32.7%29.6%29.2%
Expected Move8.7%8.0%9.3%8.5%8.4%
HV 20d61.5%22.6%71.7%71.7%22.6%
HV 60d46.9%46.7%47.4%46.9%47.0%
IV Rank24.3%17.4%31.4%22.6%21.2%
IV Percentile28.4%11.9%50.0%21.4%19.0%
Term Structure-0.1%-2.0%3.0%3.0%1.3%
VWIV30.6%26.2%36.2%29.8%29.6%
Skew 25d3.2%-0.0%7.3%2.1%4.7%
Skew 10d7.8%-3.8%18.8%2.0%6.0%
Call IV 25d29.3%27.0%31.4%30.9%27.4%
Put IV 25d32.4%30.2%36.4%32.9%32.1%
Bid-Ask Spread %79.9970.0295.4885.4791.96
Gamma HHI0.140.120.180.180.12
Net GEX400.4K304.6K545.2K319.1K396.9K
Net DEX-33.0M-41.7M-25.1M-34.6M-28.6M
Net VEX-44.9K-54.2K-33.5K-37.1K-45.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.004.250.640.39
Total Volume1,871.510016,6401,100100
Total OI46,024.535,99054,81048,65040,390

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$12.23$9.5029.6%8.5%71.7%22.6%29.8%2.1%3.0%319.1K-34.6M-37.1K0.6485.47N/AN/A67043035,13013,520
2013-11-04$12.66$12.0031.9%9.0%70.8%29.3%30.6%7.3%-0.5%319.2K-37.2M-33.8K1.3072.80N/AN/A8801,14035,17013,630
2013-11-05$12.67$12.0030.9%9.0%70.4%26.4%33.2%2.6%-1.8%337.1K-38.0M-34.8K0.4773.00N/AN/A57027035,87014,040
2013-11-06$12.44$12.0030.3%9.1%70.3%24.6%31.4%-0.0%-1.3%346.3K-36.7M-33.5K0.8575.25N/AN/A55047036,21014,290
2013-11-07$12.29$12.0032.7%8.9%70.8%31.4%31.2%1.1%0.3%304.6K-35.3M-34.5K0.8170.02N/AN/A26021036,17014,580
2013-11-08$12.42$12.0029.1%8.8%70.7%20.8%0.0%3.4%0.7%335.3K-36.2M-34.6K0.0070.68N/AN/A16,6004036,33014,690
2013-11-11$12.57$12.0032.6%9.0%70.6%31.3%36.2%5.9%0.6%513.2K-38.7M-52.6K0.1578.43N/AN/A2604039,32014,670
2013-11-12$12.64$12.0032.3%9.3%65.1%30.3%34.4%4.2%-1.1%545.2K-39.4M-52.1K4.2579.46N/AN/A20085039,55014,710
2013-11-13$12.90$12.0031.1%8.7%65.1%26.8%30.7%2.1%0.7%503.6K-41.7M-49.1K0.3674.27N/AN/A83030039,50015,310
2013-11-14$12.68$12.0030.6%8.8%65.9%25.4%31.7%3.9%-1.2%527.2K-39.0M-49.2K0.1871.09N/AN/A67012039,02015,170
2013-11-15$12.70$12.0030.1%8.6%66.0%23.8%0.0%2.9%-0.1%460.3K-39.1M-48.1K0.0274.41N/AN/A6,33015038,87015,220
2013-11-18$12.61$12.0030.2%8.7%65.6%24.2%31.0%1.9%-0.6%371.8K-26.1M-46.5K0.3575.26N/AN/A40014027,3908,600
2013-11-19$12.45$12.0029.8%8.5%66.2%22.9%31.3%3.6%-0.3%464.7K-31.8M-54.2K0.6175.90N/AN/A66040033,7608,720
2013-11-20$12.51$12.0029.5%8.4%65.9%22.0%0.0%1.7%-0.2%397.6K-25.1M-50.6K0.0087.81N/AN/A270028,3609,120
2013-11-21$12.65$12.0030.2%8.6%65.8%24.1%26.7%4.9%-2.0%411.0K-25.6M-50.8K1.0791.74N/AN/A46049028,5309,120
2013-11-22$12.66$12.0029.4%8.4%65.4%21.7%28.9%2.2%-0.0%373.1K-26.1M-49.9K0.0086.64N/AN/A050028,7109,590
2013-11-25$12.52$12.0028.9%8.3%65.9%20.3%26.2%2.5%-1.1%339.5K-25.2M-48.3K0.3095.48N/AN/A1003028,71010,090
2013-11-26$12.88$12.0027.9%8.0%30.4%17.4%27.5%3.7%1.1%362.7K-27.1M-48.3K0.0184.83N/AN/A9301028,81010,120
2013-11-27$12.88$12.0028.9%8.3%25.0%20.5%29.5%3.0%-0.1%379.9K-28.0M-45.1K0.3985.23N/AN/A79031029,37010,130
2013-11-29$12.93$12.0029.2%8.4%22.6%21.2%29.6%4.7%1.3%396.9K-28.6M-45.3K0.0091.96N/AN/A010030,11010,280