MSTR Options History — August 2014

In August 2014, MSTR traded between $13.49 and $14.43. ATM implied volatility averaged 31.8%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 6.8% (HV 20d: 38.7%). Max pain ranged from $11.50 to $14.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.95.

Notable Days

  • 2014-08-15: Highest Volume — 2,280 contracts
  • 2014-08-13: Largest IV spike — 32.5% change
  • 2014-08-13: Highest IV Rank — 54.0%
  • 2014-08-25: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.92$13.49$14.43$14.02$13.89
Max Pain$13.05$11.50$14.50$14.00$11.50
ATM IV31.8%27.8%41.0%35.0%27.8%
Expected Move9.9%9.2%10.6%10.0%10.4%
HV 20d38.7%20.4%43.1%43.1%20.4%
HV 60d29.9%28.1%34.1%33.9%28.4%
IV Rank25.4%4.9%54.0%37.2%4.9%
IV Percentile48.7%3.6%82.1%75.4%3.6%
Term Structure0.6%-1.8%1.8%-1.8%1.8%
VWIV34.0%30.8%40.7%34.6%40.7%
Skew 25d4.2%-0.8%7.8%1.1%3.9%
Skew 10d7.1%-7.1%21.9%16.6%9.3%
Call IV 25d31.3%26.4%37.1%35.5%27.4%
Put IV 25d35.5%31.3%40.5%36.5%31.3%
Bid-Ask Spread %61.3930.6696.3996.3951.21
Gamma HHI0.190.110.360.130.24
Net GEX178.9K-242.4K328.5K233.8K173.6K
Net DEX-20.8M-24.3M-17.0M-21.1M-22.0M
Net VEX-35.6K-43.9K-25.8K-41.9K-27.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.0020.000.261.10
Total Volume554.286902,2801,370210
Total OI35,78030,88039,84037,93033,050

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$14.02$14.0035.0%10.0%43.1%37.2%34.6%1.1%-1.8%233.8K-21.1M-41.9K0.2696.39N/AN/A1,09028027,33010,600
2014-08-04$14.39$14.5033.5%9.4%43.0%32.7%33.1%7.8%-0.7%313.0K-24.3M-39.1K2.0076.15N/AN/A31062027,77010,610
2014-08-05$14.43$14.5033.3%9.6%42.9%32.3%33.3%7.4%-0.8%322.7K-23.5M-43.9K0.7873.54N/AN/A18014027,69011,070
2014-08-06$14.42$14.5033.2%9.5%42.9%31.9%0.0%7.0%0.4%328.5K-24.0M-41.5K1.2776.52N/AN/A11014027,82011,150
2014-08-07$14.29$14.5032.5%9.3%42.6%29.9%0.0%3.9%0.8%294.9K-23.0M-40.1K0.9579.33N/AN/A20019027,91011,220
2014-08-08$14.29$14.5031.8%9.3%41.5%28.0%0.0%4.0%0.8%275.4K-22.9M-38.4K5.0078.35N/AN/A3015027,86011,300
2014-08-11$14.05$14.5036.1%9.5%41.7%40.2%33.8%6.8%0.7%209.2K-20.6M-37.6K0.5185.20N/AN/A39020027,89011,410
2014-08-12$13.78$14.5030.9%9.6%41.9%25.5%33.3%4.5%-0.4%139.7K-18.7M-37.1K0.5083.20N/AN/A46023028,28011,400
2014-08-13$13.70$14.0041.0%9.6%41.9%54.0%34.0%-0.1%0.8%187.6K-18.7M-36.9K0.1087.48N/AN/A5005028,64011,200
2014-08-14$13.55$14.0033.1%9.5%42.1%31.6%30.8%3.8%0.1%-38.6K-17.5M-36.1K2.3585.57N/AN/A26061028,37010,690
2014-08-15$13.49$14.0032.0%9.2%42.1%28.7%32.3%4.3%1.2%-242.4K-17.0M-35.6K0.6283.37N/AN/A1,41087028,62010,790
2014-08-18$13.80$0.0030.1%10.2%42.8%23.2%40.7%5.1%1.6%157.1K-19.5M-34.5K0.4638.36N/AN/A69032023,0807,800
2014-08-19$13.87$11.5029.6%10.4%42.6%21.8%0.0%4.2%0.8%161.8K-20.6M-33.9K0.0832.16N/AN/A1301023,6408,040
2014-08-20$13.73$11.5030.8%10.5%42.5%25.2%0.0%-0.8%0.3%184.5K-19.9M-36.8K0.0039.62N/AN/A90023,7508,050
2014-08-21$13.70$11.5030.1%10.5%41.7%23.2%0.0%6.3%0.9%179.0K-19.7M-33.7K1.1131.43N/AN/A9010023,8008,050
2014-08-22$13.67$11.5030.4%10.5%41.1%24.1%0.0%3.9%0.5%180.0K-19.5M-34.1K0.0030.66N/AN/A017023,8708,120
2014-08-25$13.59$11.5030.0%10.6%41.1%12.0%0.0%2.6%1.3%180.6K-18.6M-35.0K0.0435.36N/AN/A5502023,8708,260
2014-08-26$13.96$11.5029.5%10.4%26.3%10.5%0.0%5.5%0.9%157.7K-22.0M-29.2K0.0034.20N/AN/A430024,1808,280
2014-08-27$13.87$11.5028.8%10.2%26.3%7.9%0.0%3.2%0.9%189.8K-21.7M-29.8K0.0036.69N/AN/A020024,5908,280
2014-08-28$13.77$11.5028.9%10.4%21.3%8.5%0.0%3.9%1.5%169.6K-21.9M-25.8K20.0054.43N/AN/A1020024,5908,460
2014-08-29$13.89$11.5027.8%10.4%20.4%4.9%0.0%3.9%1.8%173.6K-22.0M-27.5K1.1051.21N/AN/A10011024,5908,460