MSTR Options History — July 2015

In July 2015, MSTR traded between $17.04 and $20.47. ATM implied volatility averaged 33.4%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 7.4% (HV 20d: 25.9%). Max pain ranged from $15.50 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2015-07-28: Highest Volume — 10,210 contracts
  • 2015-07-08: Largest IV spike — 33.8% change
  • 2015-07-27: Highest IV Rank — 54.7%
  • 2015-07-27: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.31$17.04$20.47$17.04$20.39
Max Pain$16.52$15.50$18.00$17.00$18.00
ATM IV33.4%26.5%40.6%32.5%26.5%
Expected Move10.0%7.6%11.6%9.3%7.6%
HV 20d25.9%19.1%46.6%26.1%46.6%
HV 60d29.4%20.5%32.7%29.9%32.7%
IV Rank30.3%7.5%54.7%27.0%7.5%
IV Percentile57.1%6.0%86.5%70.2%6.0%
Term Structure-3.6%-6.8%2.8%2.0%1.4%
VWIV36.5%27.2%42.6%28.8%27.2%
Skew 25d5.1%2.6%8.8%8.8%3.7%
Skew 10d9.3%-2.4%25.2%6.5%6.5%
Call IV 25d33.3%25.5%39.8%29.1%25.5%
Put IV 25d38.4%29.0%45.4%37.9%29.2%
Bid-Ask Spread %66.9051.3596.7193.1787.24
Gamma HHI0.160.110.300.150.12
Net GEX284.2K176.0K634.2K176.0K302.1K
Net DEX-10.1M-17.2M-5.6M-5.6M-16.6M
Net VEX-29.0K-33.6K-23.2K-33.4K-23.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.360.820.480.37
Total Volume6,2954,84010,2105,5107,630
Total OI14,417.72710,43017,64014,30017,640

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$17.04$17.0032.5%9.3%26.1%27.0%28.8%8.8%2.0%176.0K-5.6M-33.4K0.4893.17N/AN/A3,7301,7809,6604,640
2015-07-02$17.25$17.0031.6%9.0%26.1%23.9%31.5%7.2%2.8%186.8K-6.2M-33.6K0.4796.71N/AN/A3,8401,7909,6604,650
2015-07-06$17.25$15.5028.8%10.0%23.5%14.5%37.5%5.3%-2.8%199.8K-6.3M-31.7K0.4755.12N/AN/A3,8401,7909,7704,660
2015-07-07$17.31$15.5029.8%10.4%22.7%18.0%41.2%7.1%-4.4%207.3K-6.7M-31.4K0.4953.66N/AN/A3,6501,7909,7704,670
2015-07-08$17.23$15.5039.9%10.7%22.7%52.3%41.1%3.7%-4.6%192.6K-6.4M-31.4K0.5263.90N/AN/A3,6501,9009,7704,670
2015-07-09$17.45$15.5030.6%10.6%20.2%20.7%41.7%4.9%-4.5%235.7K-7.5M-30.4K0.5056.40N/AN/A3,8001,9009,7704,780
2015-07-10$17.57$15.5028.2%10.6%20.4%12.5%40.9%4.3%-4.5%286.1K-8.0M-30.5K0.5152.17N/AN/A3,8201,9409,8804,780
2015-07-13$17.70$15.5028.4%10.6%20.3%13.2%37.0%7.0%-5.5%289.7K-8.0M-29.0K0.5151.35N/AN/A3,8201,9409,7804,810
2015-07-14$18.07$15.5033.8%10.6%19.3%31.6%36.7%5.4%-6.7%377.3K-9.7M-27.7K0.3658.41N/AN/A5,6002,0209,7804,810
2015-07-15$18.27$15.5035.3%10.1%19.1%36.6%37.3%5.8%-5.6%634.2K-12.0M-27.8K0.4567.21N/AN/A4,5202,02011,0704,890
2015-07-16$18.64$15.5035.3%10.1%20.2%36.6%37.4%5.2%-5.1%534.0K-13.9M-26.7K0.4862.70N/AN/A4,2102,02011,2604,890
2015-07-17$18.60$15.5035.7%10.2%20.2%38.1%37.2%2.6%-5.7%244.0K-14.6M-27.0K0.4465.84N/AN/A4,6202,02011,2804,890
2015-07-20$18.41$15.5036.4%10.4%20.6%40.5%38.0%3.4%-3.4%270.4K-9.8M-27.2K0.4161.38N/AN/A3,5901,4708,5201,910
2015-07-21$18.21$17.5038.2%10.9%20.9%46.5%38.7%6.3%-5.9%250.0K-8.7M-29.7K0.4462.74N/AN/A3,5201,5608,6802,620
2015-07-22$18.37$17.5038.4%11.0%21.0%47.4%39.7%5.5%-6.5%248.8K-9.3M-29.0K0.4869.21N/AN/A3,2801,5608,7502,610
2015-07-23$18.02$17.5039.1%11.2%20.1%49.6%40.1%4.9%-4.8%258.7K-8.4M-29.7K0.7867.58N/AN/A3,1402,4608,8802,620
2015-07-24$18.10$17.5039.9%11.4%20.1%52.4%40.8%4.6%-6.7%218.4K-8.0M-31.0K0.5465.75N/AN/A3,2401,7408,9503,520
2015-07-27$17.84$17.5040.6%11.6%20.9%54.7%42.6%5.7%-6.8%224.5K-7.3M-31.9K0.8251.39N/AN/A4,1203,3609,2903,790
2015-07-28$20.20$17.5028.8%8.3%46.3%14.6%29.2%4.6%-0.6%297.4K-16.0M-27.8K0.4967.67N/AN/A6,8503,36010,5105,640
2015-07-29$20.47$18.0027.1%7.8%46.4%9.6%29.9%3.5%0.6%310.4K-17.2M-23.2K0.3981.87N/AN/A5,5702,17011,2906,040
2015-07-30$20.39$18.0029.4%8.4%46.5%18.5%27.4%2.9%-1.8%308.6K-16.8M-23.8K0.3980.28N/AN/A5,6702,19011,2906,050
2015-07-31$20.39$18.0026.5%7.6%46.6%7.5%27.2%3.7%1.4%302.1K-16.6M-23.3K0.3787.24N/AN/A5,5602,07011,5206,120