MSTR Options History — April 2015

In April 2015, MSTR traded between $16.92 and $18.75. ATM implied volatility averaged 38.5%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 15.9% (HV 20d: 22.6%). Max pain ranged from $15.50 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2015-04-13: Highest Volume — 15,420 contracts
  • 2015-04-29: Largest IV drop — 36.9% change
  • 2015-04-28: Highest IV Rank — 75.1%
  • 2015-04-27: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.36$16.92$18.75$16.92$18.20
Max Pain$15.62$15.50$16.00$15.50$16.00
ATM IV38.5%28.5%47.0%28.5%30.7%
Expected Move11.4%8.2%13.5%8.2%8.8%
HV 20d22.6%16.1%41.9%31.0%41.9%
HV 60d26.1%23.3%31.6%27.8%31.6%
IV Rank40.4%7.5%75.1%7.5%16.5%
IV Percentile70.0%7.5%96.0%7.5%45.2%
Term Structure-5.6%-11.7%10.1%10.1%-0.7%
VWIV42.8%26.6%52.3%26.6%33.1%
Skew 25d3.9%1.5%6.8%4.3%2.0%
Skew 10d10.7%-2.9%20.7%7.8%1.5%
Call IV 25d39.6%28.7%47.1%29.0%32.4%
Put IV 25d43.4%31.7%52.6%33.3%34.4%
Bid-Ask Spread %59.0341.8590.4490.4490.10
Gamma HHI0.470.190.930.490.24
Net GEX1.3M223.0K4.5M1.4M240.0K
Net DEX-15.5M-26.8M-5.1M-17.0M-10.3M
Net VEX-24.0K-35.8K-14.3K-35.8K-20.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.284.670.351.15
Total Volume8,887.61934015,4208,4509,590
Total OI20,237.61910,09027,69024,53017,220

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$16.92$15.5028.5%8.2%31.0%7.5%26.6%4.3%10.1%1.4M-17.0M-35.8K0.3590.44N/AN/A6,2402,21020,6103,920
2015-04-02$16.97$15.5028.9%11.0%28.6%8.7%40.9%3.9%-4.7%1.5M-17.8M-33.9K0.3950.33N/AN/A6,2402,45020,6103,930
2015-04-06$17.00$15.5031.3%11.3%22.4%16.4%43.7%3.6%-5.3%1.5M-19.0M-30.6K0.4744.45N/AN/A6,2802,97020,6104,170
2015-04-07$17.02$15.5030.5%11.2%22.0%13.9%43.3%1.5%-4.8%1.7M-18.5M-31.3K0.5549.11N/AN/A6,2903,44020,7304,850
2015-04-08$17.21$15.5039.3%11.3%20.1%42.5%48.2%3.7%-5.7%1.7M-21.4M-28.8K4.6756.73N/AN/A6028020,6305,280
2015-04-09$17.40$15.5038.5%11.0%20.0%39.7%42.5%3.0%-5.5%1.6M-24.1M-26.5K0.5151.59N/AN/A6,1103,11020,6005,520
2015-04-10$17.57$15.5038.6%11.1%19.5%40.2%42.6%5.7%-5.8%1.4M-25.3M-25.1K0.5247.50N/AN/A6,3503,27020,6005,540
2015-04-13$17.19$15.5040.0%11.5%21.5%44.7%41.8%2.6%-5.9%2.0M-22.0M-23.8K0.3053.77N/AN/A11,8503,57020,9505,720
2015-04-14$17.08$15.5041.1%11.8%19.9%48.2%43.0%4.4%-7.1%1.9M-18.5M-28.0K0.2862.47N/AN/A11,7303,32021,3506,050
2015-04-15$17.32$15.5041.1%11.8%20.3%48.2%43.0%2.8%-7.3%2.0M-22.9M-25.2K0.2961.91N/AN/A11,5303,32021,3506,220
2015-04-16$17.20$15.5040.9%11.7%19.3%47.4%43.9%2.6%-7.4%2.8M-22.9M-23.1K0.3767.02N/AN/A8,9103,34021,4706,220
2015-04-17$17.04$15.5040.9%11.7%19.5%47.7%43.7%6.5%-7.6%4.5M-26.8M-19.5K0.4555.60N/AN/A7,0603,19021,4206,180
2015-04-20$17.16$15.5042.8%12.3%19.6%53.7%43.5%4.3%-7.4%262.9K-6.1M-19.5K0.5757.62N/AN/A3,3901,9307,3102,780
2015-04-21$17.45$15.5042.1%12.1%20.6%51.3%46.2%4.4%-7.2%272.2K-7.1M-19.7K0.5850.20N/AN/A3,3801,9507,4903,110
2015-04-22$17.63$15.5044.4%12.7%20.5%58.9%46.7%4.0%-7.9%270.8K-7.6M-19.6K0.6162.91N/AN/A3,3802,0707,6003,130
2015-04-23$17.70$15.5042.4%12.2%16.1%52.5%44.0%2.8%-6.6%271.6K-7.7M-19.6K0.7859.90N/AN/A3,3902,6507,6103,340
2015-04-24$17.48$16.0043.6%12.5%16.5%56.3%48.8%4.1%-7.6%223.0K-6.9M-20.2K0.8153.29N/AN/A3,3902,7607,6203,940
2015-04-27$17.32$16.0047.0%13.5%16.9%67.2%49.1%5.5%-11.0%224.8K-6.3M-19.9K0.7562.80N/AN/A3,5302,6607,6404,070
2015-04-28$16.94$16.0047.0%13.5%18.6%75.1%52.3%6.8%-11.7%247.8K-5.1M-19.9K1.2841.85N/AN/A4,1305,2807,7904,140
2015-04-29$18.75$16.0029.6%8.5%40.1%12.6%32.4%3.0%-0.9%248.1K-12.4M-14.3K1.1270.01N/AN/A4,7405,3008,8306,840
2015-04-30$18.20$16.0030.7%8.8%41.9%16.5%33.1%2.0%-0.7%240.0K-10.3M-20.3K1.1590.10N/AN/A4,4705,1209,5207,700