MSTR Options History — November 2014

In November 2014, MSTR traded between $15.72 and $17.39. ATM implied volatility averaged 28.8%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 0.4% (HV 20d: 29.3%). Max pain ranged from $13.50 to $13.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.33.

Notable Days

  • 2014-11-18: Highest Volume — 11,740 contracts
  • 2014-11-10: Largest IV spike — 4.2% change
  • 2014-11-10: Highest IV Rank — 13.6%
  • 2014-11-04: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.41$15.72$17.39$15.92$17.17
Max Pain$13.50$13.50$13.50$13.50$13.50
ATM IV28.8%26.8%30.6%29.5%27.8%
Expected Move9.6%9.2%9.8%9.6%9.6%
HV 20d29.3%24.4%38.8%38.6%29.0%
HV 60d32.1%31.0%34.0%31.9%33.7%
IV Rank8.0%1.3%13.6%10.2%4.6%
IV Percentile14.4%0.4%41.7%19.4%2.8%
Term Structure0.1%-1.4%1.2%0.7%0.0%
VWIV34.6%32.5%35.8%34.7%35.2%
Skew 25d3.4%-0.0%4.5%-0.0%4.2%
Skew 10d8.7%-1.1%23.8%9.4%4.0%
Call IV 25d28.1%26.9%32.7%32.7%27.0%
Put IV 25d31.5%29.1%32.9%32.7%31.1%
Bid-Ask Spread %50.0133.6966.1754.4261.25
Gamma HHI0.190.090.420.190.11
Net GEX493.1K236.5K718.5K504.9K291.9K
Net DEX-17.4M-24.0M-13.4M-16.1M-14.2M
Net VEX-24.2K-31.1K-18.1K-28.1K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.040.530.310.04
Total Volume7,245.789011,7408,7700
Total OI20,913.68413,73024,57020,87015,510

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$15.92$13.5029.5%9.6%38.6%10.2%34.7%-0.0%0.7%504.9K-16.1M-28.1K0.3154.42N/AN/A6,6702,10016,5904,280
2014-11-04$15.79$13.5029.6%9.8%38.7%10.6%35.1%3.9%0.4%494.0K-15.4M-27.8K0.3850.59N/AN/A6,5502,48016,5204,480
2014-11-05$15.81$13.5030.5%9.8%38.8%13.3%34.2%3.4%-1.4%496.9K-14.7M-31.1K0.3943.74N/AN/A6,6502,62016,6304,740
2014-11-06$15.83$13.5030.3%9.6%38.3%12.8%35.5%4.0%0.4%493.6K-15.5M-29.1K0.3939.35N/AN/A6,6502,62016,6304,960
2014-11-07$15.72$13.5029.3%9.8%25.8%9.5%35.5%3.7%-0.4%490.8K-14.5M-27.8K0.3333.69N/AN/A7,0802,33016,6304,930
2014-11-10$15.81$13.5030.6%9.7%25.6%13.6%34.6%4.4%-0.2%525.7K-16.2M-29.7K0.3437.32N/AN/A6,8302,33017,6604,930
2014-11-11$16.00$13.5029.7%9.7%25.4%10.7%33.9%4.2%-0.0%461.2K-16.8M-22.4K0.3448.84N/AN/A6,8302,34016,3204,640
2014-11-12$15.97$13.5028.8%9.5%24.9%8.0%34.9%3.8%0.1%540.5K-17.4M-26.6K0.3749.31N/AN/A6,8302,54017,6504,850
2014-11-13$15.96$13.5028.3%9.5%25.0%6.2%35.6%3.8%-0.0%535.3K-17.0M-27.3K0.4139.39N/AN/A6,7902,80017,6504,810
2014-11-14$16.68$13.5027.5%9.5%28.5%3.7%32.7%3.0%0.7%518.6K-22.2M-22.7K0.1951.96N/AN/A1,62030017,5605,110
2014-11-17$16.43$13.5028.4%9.6%27.9%6.6%34.8%3.8%0.1%533.0K-20.7M-22.9K0.3745.70N/AN/A7,3602,70018,7805,380
2014-11-18$16.86$13.5028.2%9.4%28.9%6.1%35.8%2.9%0.0%681.3K-24.0M-20.5K0.2748.45N/AN/A9,2402,50018,9705,420
2014-11-19$16.70$13.5029.2%9.6%27.7%9.2%0.0%3.8%-0.3%614.6K-22.1M-22.5K0.1860.72N/AN/A97017019,0805,490
2014-11-20$16.70$13.5028.9%9.5%25.1%8.3%34.2%4.1%0.0%684.5K-20.9M-20.9K0.3357.69N/AN/A7,8402,56018,1805,130
2014-11-21$16.59$13.5028.5%9.3%24.4%7.0%33.9%4.1%0.2%718.5K-20.2M-20.5K0.3347.75N/AN/A8,1702,70018,5605,140
2014-11-24$17.39$13.5027.9%9.3%27.4%5.1%32.5%1.4%-0.8%236.5K-14.3M-18.1K0.5357.62N/AN/A1,11059010,8702,860
2014-11-25$17.04$13.5027.8%9.5%28.0%4.7%35.2%4.5%1.2%270.9K-13.4M-22.1K0.5256.29N/AN/A4,3302,23011,6903,430
2014-11-26$17.39$13.5026.8%9.2%28.5%1.3%0.0%2.0%0.5%276.0K-14.8M-18.9K0.0466.17N/AN/A2301011,8003,500
2014-11-28$17.17$13.5027.8%9.6%29.0%4.6%0.0%4.2%0.0%291.9K-14.2M-20.5K0.0061.25N/AN/A0012,0103,500