MSTR Options History — June 2015

In June 2015, MSTR traded between $16.83 and $18.15. ATM implied volatility averaged 26.5%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.7% (HV 20d: 21.8%). Max pain ranged from $17.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2015-06-17: Highest Volume — 8,940 contracts
  • 2015-06-29: Largest IV spike — 17.6% change
  • 2015-06-30: Highest IV Rank — 16.7%
  • 2015-06-30: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.64$16.83$18.15$17.64$17.03
Max Pain$17.07$17.00$17.50$17.50$17.00
ATM IV26.5%24.6%29.4%27.0%29.4%
Expected Move7.6%7.0%8.4%7.7%8.4%
HV 20d21.8%16.4%26.5%16.5%26.5%
HV 60d29.3%28.5%30.5%30.5%29.9%
IV Rank4.4%0.0%16.7%3.1%16.7%
IV Percentile6.2%0.0%33.3%2.4%33.3%
Term Structure4.8%-0.3%8.3%-0.3%5.8%
VWIV28.4%25.6%31.8%31.8%30.5%
Skew 25d2.9%-3.3%4.9%2.5%3.5%
Skew 10d7.6%-0.3%18.5%16.3%18.5%
Call IV 25d26.3%23.3%31.2%26.8%27.9%
Put IV 25d29.2%27.3%32.3%29.3%31.4%
Bid-Ask Spread %84.9473.2092.7283.1390.18
Gamma HHI0.150.110.190.120.17
Net GEX141.5K62.3K205.1K86.7K174.7K
Net DEX-6.7M-8.1M-5.0M-6.4M-5.6M
Net VEX-32.2K-34.8K-29.0K-34.8K-33.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.090.940.780.44
Total Volume7,168.1821208,9408,5505,790
Total OI14,20511,58015,46014,42014,070

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$17.64$17.5027.0%7.7%16.5%3.1%31.8%2.5%-0.3%86.7K-6.4M-34.8K0.7883.13N/AN/A4,8103,7408,6305,790
2015-06-02$17.59$17.5027.2%7.8%16.4%3.7%26.9%3.3%0.1%75.8K-6.1M-34.7K0.0988.64N/AN/A110108,3305,800
2015-06-03$17.78$17.5026.3%7.5%16.8%0.6%30.4%3.5%-0.3%99.3K-6.6M-34.8K0.7890.31N/AN/A4,7703,7408,7405,810
2015-06-04$17.51$17.0027.5%7.8%17.5%4.7%30.7%3.9%4.9%62.3K-6.0M-34.8K0.7876.55N/AN/A4,7703,7408,7705,810
2015-06-05$18.03$17.0025.5%7.3%20.2%0.0%30.5%4.9%4.6%129.9K-7.3M-34.0K0.7882.60N/AN/A4,7903,7508,7705,810
2015-06-08$17.69$17.0028.9%7.9%19.9%12.0%29.9%2.9%3.8%106.5K-6.7M-33.2K0.7273.20N/AN/A4,8703,5108,8405,820
2015-06-09$17.61$17.0029.0%7.9%19.9%12.2%28.0%3.2%3.7%74.8K-6.4M-33.5K0.7777.55N/AN/A4,6703,5808,9205,830
2015-06-10$18.15$17.0026.4%7.6%21.8%3.2%27.5%3.5%4.3%187.2K-8.1M-31.8K0.7779.40N/AN/A4,6703,6108,9605,910
2015-06-11$18.04$17.0025.9%7.4%21.8%1.2%27.7%3.1%4.9%186.0K-7.9M-31.4K0.7281.87N/AN/A4,6703,3708,9605,950
2015-06-12$17.84$17.0026.0%7.4%21.4%1.6%27.6%3.3%4.5%156.0K-7.0M-31.5K0.7283.66N/AN/A4,6703,3408,8605,960
2015-06-15$17.40$17.0027.2%7.8%23.1%6.0%27.7%3.0%4.0%107.7K-5.9M-31.2K0.6880.97N/AN/A5,0003,4208,8605,970
2015-06-16$17.63$17.0026.7%7.6%23.6%4.0%29.9%2.2%4.3%143.7K-6.5M-30.6K0.7484.39N/AN/A4,6403,4208,9705,860
2015-06-17$17.74$17.0026.4%7.6%23.7%3.1%28.3%1.5%4.3%144.4K-7.0M-30.6K0.9488.58N/AN/A4,6004,3409,1405,870
2015-06-18$17.83$17.0025.1%7.2%23.3%0.0%27.8%3.5%5.0%167.1K-7.3M-30.7K0.9484.42N/AN/A4,6004,3409,1506,310
2015-06-19$17.77$17.0024.8%7.1%23.3%0.0%26.7%4.2%5.4%145.4K-7.4M-29.7K0.9484.90N/AN/A4,6004,3409,1506,310
2015-06-22$17.93$17.0025.5%7.3%23.5%2.4%28.6%-3.3%7.6%158.9K-7.5M-29.0K0.6189.80N/AN/A3,9402,4107,7303,850
2015-06-23$17.86$17.0024.6%7.0%22.7%0.0%25.6%1.7%8.3%171.9K-7.4M-30.2K0.3586.36N/AN/A4,4801,5808,0703,980
2015-06-24$17.41$17.0025.2%7.2%24.0%2.2%26.3%4.9%8.3%184.5K-6.8M-32.0K0.4789.14N/AN/A3,4401,6008,6804,190
2015-06-25$17.39$17.0025.3%7.3%24.0%2.7%26.2%2.9%7.5%205.1K-6.8M-32.4K0.4989.43N/AN/A3,4001,6508,9404,290
2015-06-26$17.33$17.0025.0%7.2%24.0%1.4%25.8%3.4%8.3%194.8K-6.4M-32.2K0.4592.72N/AN/A3,6901,6508,9404,340
2015-06-29$16.83$17.0029.4%8.4%26.0%16.4%30.3%3.3%6.3%149.5K-5.0M-31.8K0.3990.90N/AN/A4,0101,5709,2304,340
2015-06-30$17.03$17.0029.4%8.4%26.5%16.7%30.5%3.5%5.8%174.7K-5.6M-33.0K0.4490.18N/AN/A4,0101,7809,6604,410