MSTR Options History — May 2015

In May 2015, MSTR traded between $17.29 and $18.26. ATM implied volatility averaged 29.5%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 10.3% (HV 20d: 39.8%). Max pain ranged from $16.00 to $19.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2015-05-05: Highest Volume — 16,920 contracts
  • 2015-05-13: Largest IV drop — 32.0% change
  • 2015-05-12: Highest IV Rank — 57.2%
  • 2015-05-01: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.80$17.29$18.26$18.26$17.61
Max Pain$17.93$16.00$19.50$16.00$17.50
ATM IV29.5%26.5%42.0%29.5%27.1%
Expected Move8.0%7.6%8.5%8.5%7.8%
HV 20d39.8%16.6%42.8%41.9%16.6%
HV 60d31.3%30.9%31.6%31.6%31.3%
IV Rank12.1%1.3%57.2%12.0%3.5%
IV Percentile23.5%0.4%85.3%21.0%2.4%
Term Structure-0.2%-1.8%0.8%-0.8%-0.1%
VWIV29.5%27.1%31.9%31.9%31.7%
Skew 25d3.1%1.6%4.5%2.7%2.7%
Skew 10d6.8%0.0%12.2%3.2%8.9%
Call IV 25d27.2%24.9%29.3%29.3%27.2%
Put IV 25d30.3%27.5%32.0%31.9%29.9%
Bid-Ask Spread %73.0157.2284.1183.0684.11
Gamma HHI0.150.120.260.260.12
Net GEX136.7K57.6K219.9K215.6K63.8K
Net DEX-8.4M-11.1M-5.5M-11.1M-5.8M
Net VEX-33.6K-39.5K-17.2K-17.7K-35.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.001.351.350.78
Total Volume8,836.5016,92010,5708,570
Total OI17,111.512,16021,60017,18014,310

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$18.26$16.0029.5%8.5%41.9%12.0%31.9%2.7%-0.8%215.6K-11.1M-17.7K1.3583.06N/AN/A4,5006,0709,4507,730
2015-05-04$18.13$19.5030.8%8.3%42.1%16.7%27.1%3.5%-0.0%157.8K-10.4M-17.2K0.1070.10N/AN/A5,1605309,5008,650
2015-05-05$17.99$19.5030.4%8.2%42.3%15.4%30.3%3.2%-0.5%219.9K-10.2M-27.3K0.4966.94N/AN/A11,3705,55010,6808,970
2015-05-06$17.88$19.0030.4%8.2%42.3%15.3%31.1%4.5%0.3%114.7K-9.5M-39.3K0.4864.50N/AN/A11,3905,52011,5509,470
2015-05-07$17.70$19.0031.4%8.4%42.3%18.9%30.3%2.2%-0.0%90.6K-8.8M-39.5K0.5465.16N/AN/A10,2305,53011,6209,480
2015-05-08$18.08$19.0034.2%8.1%42.8%28.8%0.0%2.5%-0.3%140.7K-10.8M-37.5K0.0073.64N/AN/A240011,6309,480
2015-05-11$18.11$19.0032.9%8.2%41.9%24.3%29.0%3.4%0.1%135.1K-10.8M-36.0K0.7171.14N/AN/A14010011,4709,480
2015-05-12$17.78$17.5042.0%8.2%42.5%57.2%29.9%3.1%0.0%66.1K-9.6M-36.0K0.7666.71N/AN/A7,7205,83011,5709,570
2015-05-13$17.67$17.5028.5%8.2%42.3%8.6%31.5%3.5%-0.0%57.6K-8.8M-36.7K0.7561.64N/AN/A7,8105,82011,6109,710
2015-05-14$17.97$17.5027.6%7.9%42.6%5.1%28.5%3.0%-0.2%152.8K-10.8M-35.3K0.7057.22N/AN/A7,8105,50011,6909,810
2015-05-15$17.85$17.5028.0%8.0%42.5%6.6%29.1%3.1%-0.5%174.5K-10.3M-35.1K0.6963.61N/AN/A7,9305,51011,6909,910
2015-05-18$17.91$17.5027.3%7.8%42.4%4.0%27.2%2.0%-0.5%182.2K-7.3M-34.3K0.4080.04N/AN/A50208,4003,760
2015-05-19$17.87$17.5026.7%7.7%42.1%2.0%0.0%3.0%0.1%183.7K-7.2M-34.0K0.0082.12N/AN/A008,4103,780
2015-05-20$17.64$17.5028.3%8.1%42.2%7.6%29.7%1.6%-0.2%170.3K-6.8M-34.5K0.3976.40N/AN/A5,0301,9708,4203,780
2015-05-21$17.55$17.5027.7%7.9%42.2%5.5%28.1%4.0%0.8%163.8K-6.3M-34.5K0.4674.93N/AN/A4,9502,2708,5203,940
2015-05-22$17.57$17.5026.5%7.6%42.0%1.3%27.1%2.7%-0.3%161.4K-6.4M-34.6K0.4777.14N/AN/A5,0102,3708,5404,130
2015-05-26$17.29$17.5027.4%7.8%42.3%4.3%28.9%4.4%-1.8%141.8K-5.5M-34.3K0.7581.74N/AN/A5,0103,7408,6004,200
2015-05-27$17.53$17.5026.7%7.7%41.7%2.1%29.3%3.5%-0.9%65.0K-5.6M-36.4K0.7579.22N/AN/A4,9903,7408,6005,740
2015-05-28$17.62$17.5026.9%7.7%19.3%2.7%31.1%4.0%0.1%76.5K-5.9M-36.3K0.7580.85N/AN/A4,9903,7608,6405,740
2015-05-29$17.61$17.5027.1%7.8%16.6%3.5%31.7%2.7%-0.1%63.8K-5.8M-35.5K0.7884.11N/AN/A4,8103,7608,5405,770