MSTR Options History — September 2014

In September 2014, MSTR traded between $13.03 and $14.29. ATM implied volatility averaged 30.2%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 6.1% (HV 20d: 24.0%). Max pain ranged from $10.50 to $11.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.41.

Notable Days

  • 2014-09-19: Highest Volume — 2,860 contracts
  • 2014-09-11: Largest IV spike — 8.7% change
  • 2014-09-25: Highest IV Rank — 18.4%
  • 2014-09-25: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.71$13.03$14.29$13.91$13.08
Max Pain$11.31$10.50$11.50$11.50$10.50
ATM IV30.2%28.3%32.0%28.7%31.2%
Expected Move10.3%10.0%10.7%10.2%10.7%
HV 20d24.0%18.0%29.6%18.0%29.6%
HV 60d30.1%28.3%31.7%28.3%31.5%
IV Rank12.5%6.5%18.4%7.7%15.5%
IV Percentile35.9%7.1%61.1%11.5%53.2%
Term Structure5.3%0.7%10.9%1.5%10.9%
VWIV34.3%22.2%40.6%22.2%37.8%
Skew 25d4.5%0.6%10.0%5.1%4.5%
Skew 10d3.9%-8.7%17.9%13.1%4.1%
Call IV 25d31.1%27.2%37.9%29.5%30.5%
Put IV 25d35.6%30.7%41.1%34.5%34.9%
Bid-Ask Spread %53.1245.2859.9452.5358.64
Gamma HHI0.220.170.280.220.26
Net GEX234.1K129.5K397.0K177.5K369.9K
Net DEX-22.3M-24.9M-20.3M-21.9M-20.8M
Net VEX-21.7K-30.8K-14.7K-26.8K-14.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.410.0022.000.000.11
Total Volume510.952102,860400420
Total OI32,949.52429,47035,02033,26030,140

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$13.91$11.5028.7%10.2%18.0%7.7%0.0%5.1%1.5%177.5K-21.9M-26.8K0.0052.53N/AN/A400024,6908,570
2014-09-03$14.08$11.5029.2%10.2%18.6%9.3%22.2%3.6%0.7%186.2K-22.9M-27.9K0.0248.31N/AN/A4201024,8508,570
2014-09-04$13.78$11.5028.8%10.1%20.0%8.0%0.0%10.0%1.1%204.2K-21.2M-27.9K1.0850.59N/AN/A13014025,0308,580
2014-09-05$13.82$11.5030.2%10.0%19.9%12.6%0.0%6.0%4.4%180.3K-21.9M-24.5K0.0049.76N/AN/A320025,1308,610
2014-09-08$14.29$11.5028.6%10.0%23.5%7.4%0.0%7.0%5.9%165.5K-24.7M-22.5K0.1752.58N/AN/A1,17020025,0308,610
2014-09-09$14.00$11.5029.2%10.4%23.9%9.4%0.0%6.9%3.8%215.9K-22.7M-30.8K8.0055.67N/AN/A108026,0108,810
2014-09-10$14.04$11.5028.3%10.3%22.8%6.5%0.0%3.3%3.1%199.8K-23.4M-27.1K4.7554.56N/AN/A4019026,0208,810
2014-09-11$14.16$11.5030.8%10.2%22.8%14.4%0.0%8.9%2.2%188.4K-24.9M-24.2K0.0055.13N/AN/A021026,0408,780
2014-09-12$13.93$11.5030.3%10.1%23.3%13.1%0.0%4.5%3.9%170.2K-23.3M-22.7K0.0050.18N/AN/A10026,0408,790
2014-09-15$13.67$11.5031.6%10.6%24.3%17.3%0.0%1.0%4.9%169.0K-21.2M-22.5K0.3858.21N/AN/A803026,0408,790
2014-09-16$13.90$11.5030.7%10.3%23.7%14.2%0.0%3.0%2.9%182.3K-22.9M-21.3K22.0054.93N/AN/A1022026,0508,750
2014-09-17$13.93$11.5030.3%10.2%23.7%12.8%0.0%2.6%3.8%152.9K-23.6M-19.4K0.0059.94N/AN/A730026,0608,810
2014-09-18$13.96$11.5029.7%10.7%23.4%10.9%0.0%10.0%4.4%229.1K-23.3M-24.1K0.0051.44N/AN/A30026,2808,740
2014-09-19$13.73$11.5030.1%10.5%24.2%12.4%0.0%2.3%4.9%129.5K-22.0M-17.3K0.9151.62N/AN/A1,5001,36026,2508,740
2014-09-22$13.39$11.5030.9%10.4%25.8%15.0%0.0%0.6%8.8%265.2K-22.1M-15.6K8.5046.79N/AN/A2017023,7705,700
2014-09-23$13.18$11.5031.3%10.6%26.3%16.1%0.0%2.0%8.5%325.3K-20.3M-19.8K0.4645.28N/AN/A52024023,7705,760
2014-09-24$13.47$11.5030.4%10.3%25.7%13.1%40.6%1.4%8.8%290.1K-22.4M-16.8K0.0450.73N/AN/A2301024,2705,890
2014-09-25$13.03$10.5032.0%10.7%28.1%18.4%0.0%2.2%8.8%345.7K-20.5M-16.7K0.7253.77N/AN/A57041024,3005,900
2014-09-26$13.12$10.5031.1%10.6%28.2%15.3%0.0%4.9%8.3%397.0K-20.4M-18.1K0.0555.66N/AN/A4102024,7805,500
2014-09-29$13.36$10.5030.4%10.3%28.9%13.0%36.8%4.7%10.0%372.3K-22.5M-15.4K1.1059.08N/AN/A20022025,1805,500
2014-09-30$13.08$10.5031.2%10.7%29.6%15.5%37.8%4.5%10.9%369.9K-20.8M-14.7K0.1158.64N/AN/A3804024,4205,720