MSTR Options History — December 2013

In December 2013, MSTR traded between $12.22 and $12.82. ATM implied volatility averaged 29.9%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 7.1% (HV 20d: 22.7%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 4.97.

Notable Days

  • 2013-12-18: Highest Volume — 900 contracts
  • 2013-12-06: Largest IV spike — 11.3% change
  • 2013-12-09: Highest IV Rank — 35.3%
  • 2013-12-02: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.48$12.22$12.82$12.54$12.42
Max Pain$10.38$10.00$12.00$12.00$10.00
ATM IV29.9%26.8%34.0%32.6%28.2%
Expected Move8.5%7.7%9.3%9.3%8.1%
HV 20d22.7%18.9%25.5%25.5%18.9%
HV 60d46.0%44.8%47.5%47.5%44.8%
IV Rank23.2%14.3%35.3%31.3%18.3%
IV Percentile28.7%8.3%63.5%53.6%15.1%
Term Structure6.3%-2.4%12.5%-2.4%11.7%
VWIV30.9%26.3%37.7%32.1%37.7%
Skew 25d3.2%-1.6%7.2%4.7%0.4%
Skew 10d5.8%-12.2%18.7%13.2%12.4%
Call IV 25d30.8%27.3%34.1%29.4%32.3%
Put IV 25d34.0%30.4%38.8%34.1%32.7%
Bid-Ask Spread %90.3084.51101.0187.6193.58
Gamma HHI0.130.110.160.120.16
Net GEX348.5K263.6K411.4K360.1K300.2K
Net DEX-25.2M-27.6M-23.1M-25.8M-23.6M
Net VEX-44.2K-51.0K-39.2K-47.4K-39.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.970.0052.001.640.42
Total Volume382.3810900580370
Total OI40,397.61935,51042,98040,48036,170

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$12.54$12.0032.6%9.3%25.5%31.3%32.1%4.7%-2.4%360.1K-25.8M-47.4K1.6487.61N/AN/A22036030,11010,370
2013-12-03$12.71$12.0030.9%8.9%22.9%26.3%30.1%5.4%-0.9%401.9K-26.2M-49.2K0.0089.27N/AN/A250029,93010,730
2013-12-04$12.72$12.0031.0%8.9%22.9%26.4%29.8%5.2%-0.2%370.3K-27.0M-46.3K0.9491.87N/AN/A31029030,13010,730
2013-12-05$12.82$12.0029.5%8.4%21.9%22.0%29.5%4.5%-0.0%379.0K-27.6M-47.6K4.5894.10N/AN/A12055030,35010,960
2013-12-06$12.66$10.0032.8%9.1%21.9%31.8%30.4%1.1%3.3%347.6K-26.9M-46.2K0.4387.87N/AN/A60026030,42011,080
2013-12-09$12.76$10.0034.0%8.3%21.8%35.3%28.2%3.1%5.5%411.4K-27.0M-47.2K0.0086.32N/AN/A60031,02011,310
2013-12-10$12.40$10.0031.0%8.5%23.8%26.4%29.6%7.2%7.7%331.4K-25.0M-46.2K0.0384.92N/AN/A3401031,02011,310
2013-12-11$12.29$10.0029.0%8.8%23.9%20.5%31.5%3.7%6.0%394.0K-23.4M-51.0K0.0084.51N/AN/A180031,34011,320
2013-12-12$12.22$10.0030.8%8.8%22.5%25.9%0.0%-0.1%6.0%333.7K-23.8M-47.1K0.0087.17N/AN/A0031,37011,320
2013-12-13$12.42$10.0030.3%8.7%22.7%24.6%30.5%3.9%5.4%374.3K-25.0M-46.6K0.0085.93N/AN/A02031,37011,320
2013-12-16$12.50$10.0030.3%8.7%22.9%24.5%0.0%3.7%5.2%394.1K-25.6M-44.0K11.0085.64N/AN/A1011031,37011,340
2013-12-17$12.40$10.0030.2%8.6%22.9%24.1%37.2%2.6%6.9%365.7K-25.1M-44.0K4.8386.35N/AN/A6029031,38011,450
2013-12-18$12.48$10.0028.5%8.2%22.6%19.2%28.9%5.8%6.6%320.7K-25.9M-41.0K3.2992.68N/AN/A21069031,39011,590
2013-12-19$12.24$10.0029.5%8.5%23.6%22.1%32.9%-1.3%7.4%263.6K-24.2M-40.6K3.7592.11N/AN/A4015030,71011,730
2013-12-20$12.23$10.0028.6%8.2%23.1%19.4%29.1%3.9%7.8%344.2K-23.1M-44.9K3.5788.19N/AN/A7025030,73011,580
2013-12-23$12.49$10.0026.8%7.7%24.5%14.3%31.3%5.9%11.1%357.1K-25.1M-40.2K1.8493.25N/AN/A25046028,0907,420
2013-12-24$12.49$10.0029.7%8.5%24.2%22.7%0.0%4.9%8.7%343.4K-25.3M-40.1K52.00101.01N/AN/A1052028,3407,760
2013-12-26$12.45$10.0027.9%8.0%21.7%17.5%26.3%4.6%12.5%330.6K-25.1M-41.0K1.0595.38N/AN/A21022028,3508,280
2013-12-27$12.47$10.0027.1%7.8%21.7%15.2%0.0%0.3%12.1%288.9K-25.4M-39.5K0.0094.84N/AN/A010028,4308,500
2013-12-30$12.38$10.0028.5%8.2%21.7%19.3%37.7%-1.6%11.9%307.0K-23.6M-39.4K0.1093.65N/AN/A4004027,6308,600
2013-12-31$12.42$10.0028.2%8.1%18.9%18.3%0.0%0.4%11.7%300.2K-23.6M-39.2K0.4293.58N/AN/A26011027,5308,640