MSTR Options History — January 2014

In January 2014, MSTR traded between $11.63 and $12.60. ATM implied volatility averaged 34.9%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 13.2% (HV 20d: 21.7%). 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 3 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2014-01-28: Highest Volume — 3,960 contracts
  • 2014-01-16: Largest IV spike — 71.2% change
  • 2014-01-27: Highest IV Rank — 88.2%
  • 2014-01-27: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.26$11.63$12.60$12.35$12.57
Max Pain$11.81$10.00$12.00$10.00$12.00
ATM IV34.9%26.4%52.0%28.8%28.8%
Expected Move11.2%7.9%14.9%8.3%8.3%
HV 20d21.7%15.4%40.5%18.3%40.4%
HV 60d39.1%24.3%44.3%44.3%28.4%
IV Rank38.1%13.0%88.2%20.0%21.6%
IV Percentile51.4%6.0%99.2%19.8%22.2%
Term Structure-3.3%-9.7%12.2%11.1%-0.4%
VWIV39.8%28.5%50.1%34.5%30.3%
Skew 25d4.6%-0.8%13.6%-0.8%7.5%
Skew 10d14.5%-6.7%22.9%17.9%14.6%
Call IV 25d39.8%28.1%50.5%34.9%32.1%
Put IV 25d44.4%30.6%55.2%34.1%39.6%
Bid-Ask Spread %73.0151.3294.6994.0683.81
Gamma HHI0.160.130.190.150.13
Net GEX288.6K226.0K363.6K342.8K350.8K
Net DEX-17.8M-24.1M-8.0M-23.4M-13.0M
Net VEX-38.9K-40.8K-34.7K-40.6K-40.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.002.950.900.03
Total Volume734.286803,960380320
Total OI32,970.47622,48039,73036,54029,590

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$12.35$10.0028.8%8.3%18.3%20.0%34.5%-0.8%11.1%342.8K-23.4M-40.6K0.9094.06N/AN/A20018027,7908,750
2014-01-03$12.33$10.0027.4%7.9%18.3%16.1%28.5%6.0%12.2%298.5K-23.1M-40.1K0.0394.69N/AN/A3501027,8908,890
2014-01-06$12.14$12.0030.8%11.6%18.5%26.0%41.5%3.5%-3.9%288.9K-22.4M-38.6K1.5564.55N/AN/A40062028,1208,900
2014-01-07$12.30$12.0028.3%11.6%18.9%18.6%41.7%4.8%-5.3%286.1K-22.9M-39.4K1.3360.76N/AN/A21028028,4209,520
2014-01-08$12.24$12.0030.6%12.0%18.6%25.4%0.0%3.4%-5.6%269.5K-22.4M-39.9K0.3163.97N/AN/A36011028,5809,780
2014-01-09$12.13$12.0029.5%11.9%16.0%22.2%49.9%1.5%-3.3%283.1K-22.1M-40.8K0.5951.32N/AN/A95056028,8809,890
2014-01-10$12.31$12.0028.9%11.8%16.7%20.3%37.2%5.9%-5.0%298.2K-23.3M-40.3K0.0061.47N/AN/A410028,82010,210
2014-01-13$12.11$12.0032.5%12.1%17.5%31.0%0.0%2.1%-5.7%281.0K-22.2M-39.9K0.2263.57N/AN/A3207029,22010,210
2014-01-14$12.36$12.0033.1%11.3%18.1%32.8%40.0%8.6%-5.8%284.7K-23.5M-39.8K2.5064.54N/AN/A4010029,50010,230
2014-01-15$12.40$12.0026.4%11.6%18.0%13.0%40.5%4.2%-6.1%313.2K-24.1M-38.4K1.7566.49N/AN/A407029,26010,160
2014-01-16$12.28$12.0045.1%12.9%18.1%68.0%42.4%3.3%-6.6%287.9K-23.1M-38.3K0.0070.81N/AN/A120029,00010,220
2014-01-17$12.29$12.0041.4%11.9%17.9%57.1%0.0%4.2%-6.4%292.1K-22.8M-38.8K0.0070.23N/AN/A80029,02010,220
2014-01-21$12.39$12.0043.3%12.4%16.6%62.5%44.8%4.4%-5.9%243.3K-11.2M-37.6K0.6173.12N/AN/A75046016,7405,740
2014-01-22$12.23$12.0045.1%12.9%17.3%68.0%46.1%9.2%-7.3%244.7K-10.8M-39.0K0.0074.91N/AN/A270017,3206,200
2014-01-23$12.19$12.0044.9%12.9%15.4%67.3%47.8%4.8%-7.0%251.1K-10.3M-37.7K0.2075.30N/AN/A1503017,5506,200
2014-01-24$11.91$12.0045.4%13.0%17.2%68.8%45.4%7.0%-7.0%252.2K-9.2M-37.9K2.9574.30N/AN/A21062017,6906,230
2014-01-27$11.63$12.0052.0%14.9%18.9%88.2%50.1%0.7%-9.7%226.0K-8.0M-38.0K1.0470.51N/AN/A52054017,8806,730
2014-01-28$12.60$12.0031.7%9.1%35.3%28.7%32.6%0.6%-0.5%295.1K-12.8M-34.7K0.2477.29N/AN/A3,20076018,3907,120
2014-01-29$12.10$12.0028.5%8.2%38.1%20.8%31.2%1.4%1.0%308.2K-10.8M-37.8K1.1389.73N/AN/A79089020,4707,570
2014-01-30$12.56$12.0029.4%8.4%40.5%23.4%31.2%13.6%-1.1%363.6K-13.1M-39.1K0.3087.84N/AN/A33010021,1808,300
2014-01-31$12.57$12.0028.8%8.3%40.4%21.6%30.3%7.5%-0.4%350.8K-13.0M-40.2K0.0383.81N/AN/A3101021,1908,400