MSTR Options History — May 2014

In May 2014, MSTR traded between $11.62 and $14.48. ATM implied volatility averaged 34.8%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 29.6% (HV 20d: 64.5%). Max pain ranged from $10.50 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2014-05-28: Highest Volume — 11,000 contracts
  • 2014-05-15: Largest IV drop — 36.2% change
  • 2014-05-14: Highest IV Rank — 79.3%
  • 2014-05-01: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.03$11.62$14.48$12.09$14.11
Max Pain$11.57$10.50$12.00$10.50$12.00
ATM IV34.8%29.4%49.9%37.1%32.0%
Expected Move9.5%8.4%10.6%10.6%9.2%
HV 20d64.5%36.8%77.4%77.4%37.1%
HV 60d51.0%49.7%52.5%49.7%51.9%
IV Rank36.5%21.1%79.3%43.1%28.5%
IV Percentile65.4%27.0%97.2%80.2%60.7%
Term Structure-0.4%-2.4%0.7%-2.4%-0.5%
VWIV33.4%26.5%38.6%37.8%31.8%
Skew 25d4.0%0.1%7.3%3.0%4.6%
Skew 10d9.3%-4.5%21.8%-2.1%9.8%
Call IV 25d32.7%28.7%39.1%38.2%30.8%
Put IV 25d36.7%31.4%41.1%41.1%35.4%
Bid-Ask Spread %75.8463.2283.3582.4382.97
Gamma HHI0.210.120.290.240.13
Net GEX845.0K556.6K1.1M1.0M755.5K
Net DEX-43.2M-57.7M-35.2M-38.7M-40.7M
Net VEX-84.4K-108.0K-57.4K-101.2K-68.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.012.300.970.25
Total Volume2,934.76227011,000610740
Total OI56,549.52444,13072,34060,00046,430

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$12.09$10.5037.1%10.6%77.4%43.1%37.8%3.0%-2.4%1.0M-38.7M-101.2K0.9782.43N/AN/A31030052,7407,260
2014-05-02$11.90$10.5036.9%10.6%77.4%42.5%38.6%0.1%-2.2%978.7K-36.9M-100.2K0.6782.88N/AN/A60040052,6207,300
2014-05-05$11.79$11.5039.6%10.1%76.7%50.2%0.0%3.0%0.2%1.0M-35.2M-100.1K0.1863.45N/AN/A2,50044053,1807,550
2014-05-06$11.79$11.5038.0%10.1%75.9%45.6%35.4%4.0%-0.2%1.1M-37.4M-102.7K0.7263.22N/AN/A25018055,6807,570
2014-05-07$11.76$11.5037.7%10.1%74.2%44.8%38.3%3.4%-0.5%1.1M-36.6M-102.8K0.0368.93N/AN/A6,31017055,6807,720
2014-05-08$11.62$11.5037.5%10.1%73.6%44.3%34.8%4.2%-0.2%1.1M-37.3M-108.0K1.4575.13N/AN/A11016058,2207,800
2014-05-09$12.14$11.5036.1%10.0%73.0%40.1%35.6%6.2%-1.3%1.1M-43.7M-107.2K2.3073.20N/AN/A20046058,2507,890
2014-05-12$12.53$11.5036.6%9.7%71.7%41.5%38.0%5.0%-0.6%1.0M-50.8M-97.8K1.1970.74N/AN/A32038058,4408,170
2014-05-13$12.39$11.5039.5%9.6%72.1%49.8%33.4%3.5%-0.1%1.1M-49.2M-97.5K1.0271.72N/AN/A4,6304,70058,4508,250
2014-05-14$12.20$11.5049.9%10.2%72.6%79.3%34.9%3.6%-1.4%1.1M-44.7M-100.2K0.0672.84N/AN/A2,10012060,99011,350
2014-05-15$12.93$11.5031.8%9.1%74.7%28.0%33.4%3.9%-0.1%864.2K-54.3M-83.3K0.2774.87N/AN/A2,85076056,73011,100
2014-05-16$13.16$11.5031.7%9.1%74.7%27.6%33.3%5.2%0.7%775.1K-57.7M-80.3K0.0475.68N/AN/A6,38023056,81011,570
2014-05-19$13.89$11.5030.8%8.8%74.9%25.0%31.0%4.2%-0.3%556.6K-45.3M-71.5K0.0472.06N/AN/A7,30027040,5705,550
2014-05-20$13.79$11.5031.3%9.0%73.5%26.6%31.2%4.9%0.5%629.7K-40.2M-71.6K0.7974.91N/AN/A57045038,4605,670
2014-05-21$14.07$12.0030.6%8.8%73.1%24.5%26.5%5.9%-0.1%602.4K-42.6M-68.3K0.1182.10N/AN/A89010038,6806,060
2014-05-22$14.20$12.0031.7%9.1%45.1%27.7%29.8%7.3%-0.6%586.2K-43.7M-63.2K0.2279.60N/AN/A77017038,5306,160
2014-05-23$14.26$12.0029.4%8.4%40.4%21.1%30.6%1.8%0.7%589.8K-43.5M-62.8K0.3077.98N/AN/A74022038,2106,220
2014-05-27$14.48$12.0030.9%8.8%40.1%25.3%29.9%3.0%-0.1%567.2K-44.6M-57.4K0.0581.87N/AN/A2,76014037,8006,440
2014-05-28$14.20$12.0031.6%9.1%38.8%27.5%31.1%3.4%0.5%604.8K-42.5M-60.4K0.0183.35N/AN/A10,9307038,7506,580
2014-05-29$14.26$12.0030.5%8.7%36.8%24.3%31.9%3.8%0.3%760.4K-41.9M-67.7K0.9782.61N/AN/A33032039,4606,650
2014-05-30$14.11$12.0032.0%9.2%37.1%28.5%31.8%4.6%-0.5%755.5K-40.7M-68.2K0.2582.97N/AN/A59015039,4706,960