MSTR Options History — February 2015

In February 2015, MSTR traded between $16.50 and $18.11. ATM implied volatility averaged 30.3%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 3.1% (HV 20d: 27.2%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.48.

Notable Days

  • 2015-02-03: Highest Volume — 10,500 contracts
  • 2015-02-05: Largest IV drop — 8.3% change
  • 2015-02-02: Highest IV Rank — 23.1%
  • 2015-02-02: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.64$16.50$18.11$16.50$17.77
Max Pain$16.58$15.00$17.00$15.00$17.00
ATM IV30.3%28.1%33.3%33.3%28.2%
Expected Move8.8%8.1%9.6%9.6%8.1%
HV 20d27.2%18.2%32.6%32.2%18.8%
HV 60d30.7%28.5%32.1%31.3%28.6%
IV Rank13.3%6.2%23.1%23.1%6.6%
IV Percentile32.9%3.6%70.2%70.2%5.2%
Term Structure-0.1%-0.8%1.4%-0.1%0.9%
VWIV31.3%26.6%33.5%26.6%28.8%
Skew 25d3.9%0.4%6.0%0.4%4.8%
Skew 10d8.5%-6.5%25.2%25.2%-6.5%
Call IV 25d29.7%27.3%36.5%36.5%27.3%
Put IV 25d33.7%30.6%36.8%36.8%32.0%
Bid-Ask Spread %73.5361.0796.9884.1481.19
Gamma HHI0.420.350.510.510.48
Net GEX789.7K653.0K900.5K653.0K807.1K
Net DEX-25.4M-31.8M-15.2M-15.2M-22.0M
Net VEX-48.2K-57.1K-41.7K-51.0K-44.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.110.680.110.59
Total Volume7,852.63249010,5006,1807,300
Total OI29,71022,96033,66028,10023,260

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$16.50$15.0033.3%9.6%32.2%23.1%26.6%0.4%-0.1%653.0K-15.2M-51.0K0.1184.14N/AN/A5,57061021,1007,000
2015-02-03$16.75$15.0032.5%9.3%32.6%20.6%31.0%5.3%0.1%740.9K-19.3M-56.1K0.4880.90N/AN/A7,0803,42022,9607,610
2015-02-04$16.84$15.0030.6%8.8%30.2%14.4%33.4%5.8%1.4%728.4K-20.0M-57.1K0.4296.98N/AN/A7,1003,01023,4307,940
2015-02-05$17.44$16.5028.1%9.1%32.2%6.2%33.1%4.3%-0.2%804.6K-25.7M-51.7K0.4061.07N/AN/A7,1802,87023,7208,100
2015-02-06$17.47$16.5029.6%9.1%31.4%11.1%32.6%4.2%-0.2%832.3K-26.4M-53.1K0.4262.60N/AN/A6,9702,92023,8408,050
2015-02-09$17.56$16.5031.7%9.1%30.8%17.9%33.2%3.6%-0.7%828.7K-27.2M-49.4K0.3866.28N/AN/A7,0202,66023,7308,040
2015-02-10$17.79$16.5030.3%9.2%30.6%13.4%33.0%6.0%-0.7%851.3K-28.6M-49.2K0.4367.84N/AN/A7,1803,10023,8408,100
2015-02-11$17.82$17.0031.4%9.0%30.2%16.9%31.8%4.1%-0.8%784.8K-28.4M-49.6K0.4363.05N/AN/A7,1803,06024,1308,590
2015-02-12$17.84$17.0031.1%8.9%30.2%15.8%31.5%4.8%-0.4%850.4K-29.7M-47.1K0.6867.89N/AN/A4,6003,11024,1308,600
2015-02-13$18.11$17.0030.7%8.8%26.4%14.6%30.8%5.3%-0.4%900.5K-31.8M-46.1K0.6566.30N/AN/A4,7203,07024,3008,670
2015-02-17$17.86$17.0031.3%9.0%26.5%16.7%33.5%3.1%-0.2%871.1K-30.1M-44.9K0.5967.74N/AN/A4,6202,74024,4408,680
2015-02-18$17.95$17.0031.2%8.9%26.4%16.1%31.1%3.7%-0.6%786.3K-29.6M-45.3K0.6068.21N/AN/A4,6502,80024,4408,840
2015-02-19$17.96$17.0031.0%8.9%26.0%15.6%33.0%3.8%-0.4%770.6K-30.1M-41.7K0.1771.70N/AN/A5,55095024,1708,820
2015-02-20$17.95$17.0029.0%8.3%25.0%9.3%31.8%2.7%0.7%765.6K-28.5M-47.5K0.2077.35N/AN/A4108023,9909,670
2015-02-23$17.78$17.0029.1%8.3%25.3%9.6%29.8%4.0%0.3%729.4K-21.2M-48.1K0.6476.45N/AN/A4,1102,64018,8904,070
2015-02-24$17.73$17.0029.5%8.5%24.8%10.9%30.4%3.3%-0.1%776.1K-21.5M-46.6K0.6678.59N/AN/A4,0402,66018,9404,080
2015-02-25$18.02$17.0028.8%8.2%19.0%8.4%29.1%2.6%-0.1%754.1K-23.3M-43.2K0.6576.93N/AN/A4,1502,69018,9704,110
2015-02-26$17.95$17.0028.2%8.1%18.2%6.5%30.4%3.0%0.3%768.1K-23.4M-43.6K0.6181.87N/AN/A4,5902,79019,0504,190
2015-02-27$17.77$17.0028.2%8.1%18.8%6.6%28.8%4.8%0.9%807.1K-22.0M-44.0K0.5981.19N/AN/A4,5902,71019,0504,210