MSTR Options History — October 2014 In October 2014, MSTR traded between $12.86 and $16.10. ATM implied volatility averaged 37.7%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 0.3% (HV 20d: 38.0%). Max pain ranged from $10.50 to $11.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.27.
Notable Days 2014-10-15 : Highest Volume — 13,190 contracts2014-10-13 : Largest IV spike — 78.9% change2014-10-15 : Highest IV Rank — 79.7%2014-10-08 : Largest Expected Move — 10.8%Monthly Statistics Metric Avg Min Max Open Close Price $14.67 $12.86 $16.10 $12.86 $16.10 Max Pain $10.78 $10.50 $11.50 $10.50 $11.00 ATM IV 37.7% 27.5% 50.9% 31.8% 29.1% Expected Move 10.3% 9.3% 10.8% 10.6% 9.3% HV 20d 38.0% 29.5% 42.8% 29.5% 38.2% HV 60d 33.7% 31.7% 36.6% 31.7% 31.8% IV Rank 36.9% 3.5% 79.7% 17.5% 9.0% IV Percentile 63.8% 1.6% 98.4% 57.5% 13.5% Term Structure -3.6% -10.5% 10.7% 10.1% 0.5% VWIV 36.2% 31.8% 40.0% 37.2% 33.8% Skew 25d 5.9% 1.6% 14.5% 1.6% 4.2% Skew 10d 12.8% -3.1% 38.1% 1.9% 11.9% Call IV 25d 37.5% 27.3% 43.8% 34.0% 27.8% Put IV 25d 43.4% 31.5% 51.1% 35.6% 32.0% Bid-Ask Spread % 54.08 43.90 59.97 55.78 49.77 Gamma HHI 0.20 0.13 0.33 0.33 0.17 Net GEX 300.9K 60.3K 542.8K 464.5K 517.0K Net DEX -20.1M -31.3M -5.7M -18.7M -17.2M Net VEX -20.0K -28.4K -11.7K -17.4K -28.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.27 0.00 1.00 1.00 0.33 Total Volume 5,081.304 100 13,190 420 8,900 Total OI 24,800 8,880 35,380 30,430 19,890
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-10-01 $12.86 $10.50 31.8% 10.6% 29.5% 17.5% 37.2% 1.6% 10.1% 464.5K -18.7M -17.4K 1.00 55.78 N/A N/A 210 210 24,720 5,710 2014-10-02 $13.37 $10.50 31.7% 10.7% 32.5% 17.2% 0.0% 7.1% 10.7% 380.9K -21.9M -15.6K 0.43 58.12 N/A N/A 210 90 24,810 5,700 2014-10-03 $13.68 $10.50 32.1% 10.4% 33.6% 18.8% 34.6% 6.5% 5.9% 362.2K -23.2M -15.9K 0.00 58.36 N/A N/A 310 0 24,970 5,770 2014-10-06 $13.65 $10.50 31.6% 10.5% 31.1% 16.9% 0.0% 4.6% -6.0% 246.5K -24.8M -12.2K 0.00 57.59 N/A N/A 100 0 25,280 5,770 2014-10-07 $13.57 $10.50 31.8% 10.7% 30.4% 17.5% 0.0% 11.1% -5.8% 357.6K -23.5M -13.8K 0.00 58.25 N/A N/A 0 100 25,380 5,770 2014-10-08 $13.70 $10.50 31.2% 10.8% 30.6% 15.6% 37.4% 7.2% -5.9% 252.8K -25.0M -11.7K 0.25 56.45 N/A N/A 7,970 2,010 25,380 5,870 2014-10-09 $13.56 $10.50 32.9% 10.7% 30.5% 21.3% 0.0% 3.9% -6.9% 372.9K -24.1M -15.2K 0.00 57.81 N/A N/A 4,000 0 25,740 5,870 2014-10-10 $14.76 $10.50 27.5% 10.4% 42.8% 3.5% 0.0% 14.5% -10.5% 213.2K -31.3M -15.7K 0.42 49.88 N/A N/A 930 390 26,780 5,870 2014-10-13 $14.70 $10.50 49.1% 10.4% 42.1% 73.9% 0.0% 6.5% -8.6% 280.9K -31.2M -16.3K 0.03 55.02 N/A N/A 1,050 30 27,630 6,250 2014-10-14 $14.57 $10.50 47.3% 10.3% 42.0% 67.9% 36.0% 4.9% -7.5% 291.7K -31.3M -18.3K 0.23 43.90 N/A N/A 10,230 2,330 28,350 6,280 2014-10-15 $14.42 $10.50 50.9% 10.5% 42.2% 79.7% 37.8% 5.7% -8.1% 277.5K -30.1M -20.0K 0.29 47.11 N/A N/A 10,210 2,980 28,350 7,030 2014-10-16 $14.49 $11.50 45.6% 10.6% 42.2% 62.6% 40.0% 6.7% -8.0% 279.0K -29.3M -19.7K 0.00 55.78 N/A N/A 150 0 27,870 6,990 2014-10-17 $14.53 $11.00 43.4% 10.4% 41.7% 55.4% 0.0% 5.1% -7.5% 60.3K -30.0M -18.6K 0.90 56.47 N/A N/A 300 270 27,960 6,990 2014-10-20 $14.99 $11.00 42.1% 10.4% 41.4% 51.1% 38.0% 6.5% -4.8% 106.9K -5.7M -18.6K 0.03 57.69 N/A N/A 5,250 180 6,730 2,150 2014-10-21 $15.15 $11.00 45.8% 10.5% 40.6% 63.1% 37.4% 6.1% -7.6% 193.9K -8.9M -24.2K 0.28 51.97 N/A N/A 6,700 1,860 9,600 2,310 2014-10-22 $14.83 $11.00 43.4% 10.4% 41.4% 55.4% 38.2% 3.9% -5.8% 204.5K -8.3M -25.1K 0.29 45.88 N/A N/A 6,360 1,860 9,780 2,530 2014-10-23 $15.40 $11.00 43.4% 10.1% 40.4% 55.4% 35.7% 3.5% -6.0% 208.7K -9.9M -24.0K 0.28 47.22 N/A N/A 6,470 1,780 10,070 2,530 2014-10-24 $15.75 $11.00 44.8% 10.2% 40.7% 59.8% 36.4% 6.9% -8.5% 214.9K -10.9M -24.1K 0.34 53.22 N/A N/A 5,330 1,820 10,340 2,560 2014-10-27 $15.42 $11.00 43.0% 10.0% 41.9% 54.1% 31.8% 5.7% -4.5% 231.9K -10.5M -24.8K 0.16 54.06 N/A N/A 3,390 530 10,830 2,730 2014-10-28 $15.81 $11.00 30.8% 9.5% 41.0% 14.2% 0.0% 4.8% 0.5% 349.4K -13.1M -25.8K 0.14 59.69 N/A N/A 4,780 670 13,400 3,200 2014-10-29 $16.02 $11.00 29.7% 9.7% 39.8% 10.9% 34.5% 4.1% 0.1% 511.1K -17.0M -26.2K 0.31 59.97 N/A N/A 6,710 2,110 15,760 3,310 2014-10-30 $16.02 $11.00 28.8% 9.5% 38.5% 8.0% 33.6% 4.7% 0.6% 542.8K -16.8M -28.4K 0.24 53.95 N/A N/A 6,520 1,570 16,210 3,380 2014-10-31 $16.10 $11.00 29.1% 9.3% 38.2% 9.0% 33.8% 4.2% 0.5% 517.0K -17.2M -28.0K 0.33 49.77 N/A N/A 6,690 2,210 16,330 3,560
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