MSTR Options History — June 2014

In June 2014, MSTR traded between $13.94 and $14.46. ATM implied volatility averaged 30.8%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 6.0% (HV 20d: 24.8%). Max pain ranged from $11.00 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 3.27.

Notable Days

  • 2014-06-06: Highest Volume — 1,220 contracts
  • 2014-06-12: Largest IV drop — 10.6% change
  • 2014-06-10: Highest IV Rank — 31.6%
  • 2014-06-02: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.21$13.94$14.46$14.01$14.06
Max Pain$11.19$11.00$12.00$12.00$11.00
ATM IV30.8%29.2%33.1%32.4%30.0%
Expected Move8.8%8.4%9.3%9.3%8.6%
HV 20d24.8%14.9%36.6%36.6%15.8%
HV 60d50.5%49.4%51.5%51.5%49.7%
IV Rank25.0%20.5%31.6%29.5%23.0%
IV Percentile46.6%23.8%68.3%63.1%39.7%
Term Structure5.5%-0.6%10.7%-0.6%9.8%
VWIV32.4%19.4%63.5%32.0%28.7%
Skew 25d4.3%-1.4%10.3%4.2%7.1%
Skew 10d7.2%-9.4%28.7%15.5%12.9%
Call IV 25d32.1%28.7%36.9%32.8%29.8%
Put IV 25d36.4%31.9%42.4%37.0%36.8%
Bid-Ask Spread %83.9973.3389.0584.3986.60
Gamma HHI0.130.120.150.140.15
Net GEX739.7K519.5K855.9K769.6K572.1K
Net DEX-39.2M-43.4M-32.8M-39.4M-33.4M
Net VEX-58.2K-69.4K-45.0K-68.7K-45.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.270.0044.500.360.42
Total Volume454.28601,2201,010440
Total OI45,206.1939,15048,35046,77039,880

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$14.01$12.0032.4%9.3%36.6%29.5%32.0%4.2%-0.6%769.6K-39.4M-68.7K0.3684.39N/AN/A74027039,6607,110
2014-06-03$14.18$12.0032.3%9.3%36.0%29.3%33.1%3.9%-0.5%806.2K-41.1M-68.4K0.0786.05N/AN/A3002040,1407,190
2014-06-04$14.02$12.0032.0%9.2%36.6%28.7%0.0%2.5%-0.6%779.4K-39.2M-69.4K0.3385.97N/AN/A2107040,0007,180
2014-06-05$14.22$12.0031.3%9.0%36.4%26.4%31.6%8.2%-0.1%782.5K-40.8M-66.8K0.0489.05N/AN/A1,0804039,9307,250
2014-06-06$14.30$11.0029.9%8.8%35.6%22.5%32.2%4.8%4.9%813.9K-42.4M-66.1K1.2278.31N/AN/A55067040,3807,290
2014-06-09$14.33$11.0030.9%8.8%33.3%25.3%31.0%10.3%4.8%783.5K-41.5M-66.5K0.0077.55N/AN/A013040,3907,860
2014-06-10$14.21$11.0033.1%9.0%32.7%31.6%31.7%4.5%4.3%788.0K-40.7M-68.0K44.5073.33N/AN/A2089040,3907,930
2014-06-11$14.13$11.0033.1%9.0%32.4%31.6%34.8%5.5%4.9%809.8K-40.5M-64.3K0.0076.21N/AN/A018040,4007,900
2014-06-12$14.27$11.0029.6%8.5%31.3%21.7%40.0%5.7%5.5%814.0K-42.1M-61.2K0.0778.26N/AN/A3002040,4007,930
2014-06-13$14.33$11.0029.8%8.5%25.2%22.3%63.5%3.3%4.9%824.7K-42.5M-60.7K0.0084.60N/AN/A09040,3707,930
2014-06-16$14.42$11.0029.8%8.6%24.8%22.5%27.5%1.7%5.7%850.6K-43.4M-57.2K0.4881.40N/AN/A23011040,3707,980
2014-06-17$14.34$11.0029.8%8.5%16.9%22.2%24.2%2.8%5.2%855.9K-43.2M-56.3K0.0084.84N/AN/A510040,3407,980
2014-06-18$14.32$11.0030.1%8.6%16.6%23.3%0.0%3.6%5.8%834.2K-41.5M-57.7K0.0085.85N/AN/A0039,8307,980
2014-06-19$14.40$11.0030.1%8.6%15.2%23.1%30.2%-1.4%5.9%815.0K-40.0M-52.3K0.0086.23N/AN/A260037,2807,820
2014-06-20$14.46$11.0029.9%8.6%14.9%22.5%19.4%2.7%5.1%804.3K-40.8M-50.5K0.0086.89N/AN/A60037,3407,820
2014-06-23$14.41$11.0030.1%8.6%15.0%23.2%28.0%2.4%9.7%519.5K-36.8M-45.0K0.1688.40N/AN/A92015033,0706,080
2014-06-24$13.99$11.0032.1%9.2%17.4%28.9%31.6%0.5%9.8%564.5K-33.8M-47.3K1.2085.33N/AN/A25030033,0406,190
2014-06-25$13.99$11.0030.4%8.7%16.0%23.9%31.3%5.3%10.5%582.6K-33.0M-51.5K3.3087.29N/AN/A10033033,0906,270
2014-06-26$13.94$11.0030.1%8.6%16.0%23.2%0.0%5.8%10.7%579.8K-32.8M-50.9K0.0088.21N/AN/A0033,0906,580
2014-06-27$14.07$11.0029.2%8.4%16.0%20.5%28.7%7.8%10.6%583.5K-33.8M-47.2K0.2089.05N/AN/A2505033,0906,580
2014-06-30$14.06$11.0030.0%8.6%15.8%23.0%0.0%7.1%9.8%572.1K-33.4M-45.7K0.4286.60N/AN/A31013033,2506,630