MSTR Options History — March 2015

In March 2015, MSTR traded between $16.02 and $17.94. ATM implied volatility averaged 29.7%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 2.8% (HV 20d: 26.9%). Max pain ranged from $15.50 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.37.

Notable Days

  • 2015-03-31: Highest Volume — 8,510 contracts
  • 2015-03-03: Largest IV spike — 6.2% change
  • 2015-03-10: Highest IV Rank — 20.3%
  • 2015-03-10: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.97$16.02$17.94$17.85$16.89
Max Pain$15.70$15.50$17.00$17.00$15.50
ATM IV29.7%28.1%32.4%28.2%29.1%
Expected Move8.5%8.0%9.1%8.1%8.4%
HV 20d26.9%17.4%31.4%18.7%31.4%
HV 60d28.7%27.3%31.0%28.4%27.8%
IV Rank11.5%6.1%20.3%6.6%9.7%
IV Percentile24.4%3.6%63.1%5.2%15.9%
Term Structure4.5%-0.6%8.7%-0.5%8.7%
VWIV29.5%21.8%35.1%30.0%27.5%
Skew 25d3.0%-0.4%4.8%4.3%4.7%
Skew 10d6.7%-7.1%28.5%5.1%12.6%
Call IV 25d29.4%27.7%31.6%27.9%28.8%
Put IV 25d32.4%30.3%34.7%32.2%33.5%
Bid-Ask Spread %84.9074.2191.9684.1289.06
Gamma HHI0.460.370.530.460.48
Net GEX1.0M701.4K1.4M755.5K1.4M
Net DEX-16.0M-23.3M-6.9M-22.0M-17.3M
Net VEX-39.2K-44.5K-33.4K-44.0K-36.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.370.0021.000.590.35
Total Volume2,946.364508,5107,2508,510
Total OI23,858.63621,86025,07023,26024,370

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$17.85$17.0028.2%8.1%18.7%6.6%30.0%4.3%-0.5%755.5K-22.0M-44.0K0.5984.12N/AN/A4,5502,70019,0504,210
2015-03-03$17.94$17.0030.0%8.6%17.4%12.3%30.1%-0.4%-0.6%817.4K-23.3M-39.9K0.5990.97N/AN/A4,5502,70019,0504,210
2015-03-04$17.64$17.0029.2%8.4%18.5%9.9%29.3%3.1%0.0%900.0K-20.8M-42.1K0.5982.88N/AN/A4,5502,70019,0504,110
2015-03-05$17.04$15.5030.2%8.4%22.5%13.2%29.6%2.9%5.2%931.4K-16.3M-44.5K1.5578.70N/AN/A1,7102,65019,0504,100
2015-03-06$16.25$15.5030.5%8.8%24.9%14.0%31.5%2.1%4.6%844.7K-9.1M-41.2K1.1480.77N/AN/A2,0302,31019,1604,090
2015-03-09$16.49$15.5031.4%8.8%25.6%17.0%33.2%3.3%3.0%890.1K-10.8M-42.8K2.9374.21N/AN/A14041019,5804,370
2015-03-10$16.10$15.5032.4%9.1%26.4%20.3%35.1%3.9%1.9%810.1K-7.8M-40.1K3.4381.12N/AN/A7024019,6304,570
2015-03-11$16.02$15.5030.9%8.9%25.6%15.5%29.7%4.5%4.3%794.7K-6.9M-38.8K0.0083.52N/AN/A50019,6904,680
2015-03-12$16.30$15.5030.3%8.7%26.7%13.4%30.5%4.8%2.8%888.9K-8.9M-40.3K11.2583.85N/AN/A4045019,7004,680
2015-03-13$16.43$15.5030.6%8.8%27.0%14.2%29.9%3.4%3.5%914.9K-10.6M-41.3K0.2383.01N/AN/A1303019,7004,740
2015-03-16$16.84$15.5030.2%8.7%28.2%13.0%32.2%3.2%3.6%997.7K-14.2M-40.0K1.7982.68N/AN/A19034019,6904,760
2015-03-17$17.00$15.5029.8%8.6%28.2%11.9%30.0%2.7%4.8%1.1M-16.3M-39.0K1.5083.18N/AN/A10015019,7404,780
2015-03-18$17.32$15.5028.5%8.2%29.2%7.7%29.3%3.9%4.7%1.1M-19.3M-37.7K1.2784.22N/AN/A22028019,7504,870
2015-03-19$17.38$15.5029.0%8.3%29.2%9.3%21.8%4.1%3.9%981.1K-19.4M-38.1K0.0083.77N/AN/A010019,9405,040
2015-03-20$17.48$15.5028.1%8.0%29.3%6.1%29.0%3.1%3.9%701.4K-21.0M-35.2K0.0287.95N/AN/A6301019,9405,130
2015-03-23$17.43$15.5028.6%8.2%29.2%7.8%31.3%2.8%8.0%1.1M-20.2M-33.4K21.0089.18N/AN/A3063018,4303,430
2015-03-24$17.25$15.5028.5%8.2%29.3%7.7%28.3%2.4%8.3%1.2M-18.3M-35.8K0.5088.74N/AN/A1407018,4603,910
2015-03-25$16.70$15.5030.1%8.6%30.6%12.7%24.2%2.6%7.1%1.2M-13.3M-36.1K0.0288.58N/AN/A4,54010018,5403,860
2015-03-26$16.93$15.5029.6%8.5%31.2%11.0%27.1%2.6%7.7%1.3M-17.6M-40.4K0.3887.12N/AN/A5,9902,29020,4003,880
2015-03-27$17.01$15.5029.1%8.4%31.2%9.7%29.8%0.5%6.8%1.3M-18.5M-38.7K0.2191.96N/AN/A1403020,3903,810
2015-03-30$17.12$15.5029.6%8.5%31.3%11.2%28.6%2.1%8.2%1.4M-19.6M-36.0K0.3488.17N/AN/A6,1902,13020,5403,810
2015-03-31$16.89$15.5029.1%8.4%31.4%9.7%27.5%4.7%8.7%1.4M-17.3M-36.4K0.3589.06N/AN/A6,2902,22020,5503,820