MSTR Options History — March 2014

In March 2014, MSTR traded between $11.35 and $13.23. ATM implied volatility averaged 31.4%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 2.0% (HV 20d: 29.3%). Max pain ranged from $9.50 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.58.

Notable Days

  • 2014-03-31: Highest Volume — 16,430 contracts
  • 2014-03-18: Largest IV drop — 11.1% change
  • 2014-03-25: Highest IV Rank — 41.3%
  • 2014-03-25: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.44$11.35$13.23$12.89$11.54
Max Pain$10.12$9.50$13.00$12.50$9.50
ATM IV31.4%28.5%35.1%30.9%33.3%
Expected Move9.0%8.2%10.1%8.9%9.5%
HV 20d29.3%26.2%33.4%29.0%28.1%
HV 60d31.2%30.1%32.8%30.1%32.8%
IV Rank29.6%20.5%41.3%28.2%35.8%
IV Percentile53.8%16.7%79.0%55.6%71.4%
Term Structure5.0%-1.4%9.7%-1.4%8.9%
VWIV32.4%28.6%43.6%31.2%34.7%
Skew 25d5.7%2.8%15.7%5.0%3.6%
Skew 10d11.0%-3.3%25.1%4.2%15.1%
Call IV 25d31.1%28.7%33.9%30.8%32.8%
Put IV 25d36.8%33.7%46.9%35.8%36.4%
Bid-Ask Spread %87.5374.7093.2984.5293.29
Gamma HHI0.180.140.280.150.28
Net GEX484.1K293.1K708.0K307.0K708.0K
Net DEX-19.3M-25.4M-14.5M-14.7M-18.5M
Net VEX-54.8K-70.9K-25.6K-26.3K-70.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.0019.000.070.02
Total Volume2,039.0485016,43058016,430
Total OI35,819.04826,17042,21026,17042,210

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$12.89$12.5030.9%8.9%29.0%28.2%31.2%5.0%-1.4%307.0K-14.7M-26.3K0.0784.52N/AN/A5404019,6906,480
2014-03-04$13.00$12.5029.3%8.4%28.1%23.0%29.3%6.8%-0.1%331.1K-15.2M-26.2K0.9588.76N/AN/A22021019,9606,520
2014-03-05$12.81$13.0029.4%8.4%28.8%23.3%28.6%3.0%0.4%293.1K-14.5M-25.6K0.7188.98N/AN/A705019,7606,690
2014-03-06$13.23$13.0029.1%8.3%30.8%22.5%29.6%3.9%1.3%321.7K-16.4M-26.3K0.0089.91N/AN/A10,550019,8306,740
2014-03-07$13.14$9.5029.5%8.7%31.0%23.7%30.6%4.9%4.5%488.7K-25.4M-62.6K3.7482.63N/AN/A19071030,2806,740
2014-03-10$12.89$9.5031.7%8.8%31.9%30.7%30.0%4.6%4.0%462.9K-23.4M-61.7K1.1174.70N/AN/A9010030,3506,940
2014-03-11$12.74$9.5031.8%9.1%32.1%31.0%0.0%4.0%4.0%445.2K-22.3M-60.9K0.0083.50N/AN/A160030,4406,940
2014-03-12$12.76$9.5030.3%8.7%32.1%26.1%30.4%3.6%4.6%449.5K-22.2M-61.0K0.0085.04N/AN/A110030,4606,940
2014-03-13$12.46$9.5032.1%9.2%33.4%32.0%0.0%2.8%4.2%454.2K-20.3M-60.4K0.0685.40N/AN/A3102030,5706,940
2014-03-14$12.57$9.5031.0%8.9%26.2%28.4%30.8%6.3%5.1%465.4K-20.9M-60.8K0.0087.23N/AN/A70030,8706,960
2014-03-17$12.71$9.5032.0%9.2%26.6%31.6%31.7%6.3%3.6%451.8K-21.8M-59.8K4.0086.33N/AN/A104030,9206,960
2014-03-18$12.92$9.5028.5%8.2%27.1%20.5%31.6%5.7%5.7%431.1K-24.1M-56.3K1.0087.69N/AN/A14014030,9306,940
2014-03-19$12.72$9.5030.8%8.8%27.3%27.8%0.0%4.5%5.1%457.1K-22.3M-57.7K0.0091.65N/AN/A340030,9307,040
2014-03-20$12.57$9.5030.8%8.8%26.8%27.7%0.0%9.6%5.3%563.7K-21.0M-57.9K19.0088.08N/AN/A2038031,1906,690
2014-03-21$12.44$9.5030.4%8.7%26.9%26.6%43.6%15.7%5.1%540.5K-19.2M-59.0K0.1791.73N/AN/A2,04035031,1906,910
2014-03-24$11.87$9.5032.6%9.4%31.0%33.6%31.6%5.9%9.7%538.5K-17.7M-59.4K0.0088.41N/AN/A2,3901030,1705,330
2014-03-25$11.63$9.5035.1%10.1%31.4%41.3%35.2%7.1%8.7%589.5K-17.6M-63.0K1.8990.24N/AN/A19036032,4605,340
2014-03-26$11.52$9.5034.0%9.7%30.8%37.8%33.4%3.4%8.3%610.6K-16.7M-63.7K0.1488.76N/AN/A1402032,5805,680
2014-03-27$11.40$9.5033.2%9.5%29.4%35.3%33.5%6.8%8.9%593.1K-14.9M-63.1K0.0189.84N/AN/A3,3103032,7105,700
2014-03-28$11.35$9.5033.1%9.5%26.9%35.0%35.8%6.5%9.2%662.7K-15.9M-67.8K0.1891.48N/AN/A2,57047034,5105,710
2014-03-31$11.54$9.5033.3%9.5%28.1%35.8%34.7%3.6%8.9%708.0K-18.5M-70.9K0.0293.29N/AN/A16,08035036,0306,180