MSTR Options History — January 2015 In January 2015, MSTR traded between $15.37 and $16.83. ATM implied volatility averaged 37.1%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 5.8% (HV 20d: 31.3%). Max pain ranged from $14.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.07.
Notable Days 2015-01-12 : Highest Volume — 12,470 contracts2015-01-12 : Largest IV spike — 20.1% change2015-01-22 : Highest IV Rank — 58.2%2015-01-22 : Largest Expected Move — 12.7%Monthly Statistics Metric Avg Min Max Open Close Price $16.05 $15.37 $16.83 $16.29 $16.12 Max Pain $14.68 $14.50 $15.00 $14.50 $15.00 ATM IV 37.1% 28.9% 44.2% 30.9% 33.0% Expected Move 11.5% 9.1% 12.7% 10.9% 9.5% HV 20d 31.3% 25.9% 35.6% 33.5% 31.1% HV 60d 31.1% 29.7% 34.6% 34.0% 31.0% IV Rank 35.3% 8.8% 58.2% 15.4% 22.2% IV Percentile 71.7% 11.5% 86.9% 50.4% 65.9% Term Structure -2.4% -6.7% 8.5% 8.5% 0.9% VWIV 41.9% 32.6% 46.8% 44.7% 34.9% Skew 25d 5.4% 3.1% 8.0% 3.5% 3.8% Skew 10d 7.2% -10.6% 18.2% 6.8% 8.9% Call IV 25d 38.4% 29.2% 42.6% 31.2% 32.2% Put IV 25d 43.7% 34.4% 48.1% 34.7% 36.0% Bid-Ask Spread % 64.54 47.95 82.87 53.81 82.87 Gamma HHI 0.35 0.24 0.50 0.37 0.50 Net GEX 667.2K 540.3K 819.8K 624.4K 587.2K Net DEX -15.5M -20.1M -10.1M -20.1M -12.9M Net VEX -49.5K -52.6K -46.0K -49.5K -51.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.07 0.00 6.50 0.54 1.52 Total Volume 5,909.5 10 12,470 6,180 5,200 Total OI 25,385 19,850 27,790 26,090 27,780
Daily Data (20 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 2015-01-02 $16.29 $14.50 30.9% 10.9% 33.5% 15.4% 44.7% 3.5% 8.5% 624.4K -20.1M -49.5K 0.54 53.81 N/A N/A 4,010 2,170 22,490 3,600 2015-01-05 $16.30 $14.50 33.4% 11.9% 33.5% 23.5% 0.0% 6.3% -4.1% 594.0K -20.0M -47.8K 0.00 54.95 N/A N/A 0 10 22,360 3,600 2015-01-06 $15.80 $14.50 35.1% 12.5% 35.0% 28.7% 46.8% 3.7% -4.7% 580.2K -17.3M -46.0K 0.03 54.78 N/A N/A 4,020 140 22,360 3,600 2015-01-07 $15.80 $15.00 37.5% 11.8% 34.9% 36.8% 40.6% 5.9% -4.2% 678.9K -16.2M -49.0K 0.00 62.65 N/A N/A 2,520 0 22,370 3,640 2015-01-08 $16.19 $15.00 32.3% 12.0% 35.6% 19.7% 42.8% 5.9% -5.2% 737.1K -19.3M -52.6K 0.25 47.95 N/A N/A 8,890 2,180 23,140 3,640 2015-01-09 $16.00 $15.00 28.9% 11.6% 34.6% 8.8% 44.3% 3.1% -2.3% 787.4K -18.3M -50.6K 0.22 59.46 N/A N/A 10,060 2,210 23,770 3,650 2015-01-12 $15.88 $14.50 34.7% 12.0% 34.5% 27.5% 44.1% 5.5% -4.2% 808.6K -16.7M -51.7K 0.24 59.37 N/A N/A 10,080 2,390 23,900 3,650 2015-01-13 $15.74 $14.50 40.1% 12.5% 29.4% 45.1% 45.7% 6.4% -6.7% 819.8K -15.7M -49.9K 0.26 58.66 N/A N/A 9,470 2,500 23,920 3,790 2015-01-14 $15.90 $14.50 42.4% 12.1% 29.5% 52.3% 44.4% 6.7% -3.7% 818.0K -16.6M -50.5K 0.26 60.01 N/A N/A 9,470 2,500 23,910 3,880 2015-01-15 $15.37 $14.50 42.9% 12.3% 31.0% 54.1% 43.0% 6.2% -3.4% 803.8K -13.7M -47.4K 0.32 64.79 N/A N/A 8,090 2,560 23,630 3,810 2015-01-16 $15.79 $14.50 41.8% 12.0% 30.1% 50.4% 42.6% 6.6% -2.8% 788.1K -15.8M -47.7K 0.06 69.37 N/A N/A 890 50 23,700 3,860 2015-01-20 $16.00 $14.50 42.3% 12.1% 26.1% 52.1% 42.4% 4.2% -2.3% 592.5K -12.8M -47.9K 6.50 71.83 N/A N/A 40 260 17,770 2,080 2015-01-21 $15.89 $14.50 43.2% 12.4% 25.9% 55.0% 44.8% 5.0% -4.3% 578.6K -12.2M -48.1K 1.45 74.95 N/A N/A 110 160 17,770 2,320 2015-01-22 $16.31 $14.50 44.2% 12.7% 27.7% 58.2% 46.4% 7.8% -6.0% 599.2K -14.3M -49.4K 1.33 63.47 N/A N/A 1,670 2,220 17,840 2,430 2015-01-23 $16.54 $14.50 41.2% 11.8% 28.1% 48.5% 45.5% 8.0% -1.4% 617.8K -15.7M -49.2K 1.09 64.47 N/A N/A 2,130 2,320 18,200 2,460 2015-01-26 $16.83 $14.50 40.8% 11.7% 28.7% 47.4% 45.2% 5.8% -2.4% 642.2K -17.3M -48.8K 2.13 56.92 N/A N/A 2,490 5,300 18,570 2,560 2015-01-27 $16.14 $15.00 33.1% 9.5% 32.4% 22.5% 32.7% 3.4% -0.7% 557.4K -12.5M -52.0K 0.74 73.63 N/A N/A 1,330 980 20,240 6,830 2015-01-28 $15.95 $15.00 32.2% 9.2% 32.1% 19.5% 32.6% 5.8% -0.1% 540.3K -10.1M -49.5K 1.76 77.11 N/A N/A 1,740 3,060 20,250 6,980 2015-01-29 $16.14 $15.00 31.8% 9.1% 31.9% 18.3% 32.9% 3.5% 0.8% 588.3K -12.6M -50.7K 1.62 79.68 N/A N/A 1,900 3,070 20,450 6,900 2015-01-30 $16.12 $15.00 33.0% 9.5% 31.1% 22.2% 34.9% 3.8% 0.9% 587.2K -12.9M -51.2K 1.52 82.87 N/A N/A 2,060 3,140 20,830 6,950
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