MSTR Options History — August 2015

In August 2015, MSTR traded between $19.62 and $22.20. ATM implied volatility averaged 33.8%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 12.9% (HV 20d: 46.7%). Max pain ranged from $18.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2015-08-04: Highest Volume — 7,880 contracts
  • 2015-08-24: Largest IV spike — 27.0% change
  • 2015-08-24: Highest IV Rank — 83.4%
  • 2015-08-24: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.05$19.62$22.20$20.35$19.90
Max Pain$20.12$18.00$21.00$18.00$21.00
ATM IV33.8%27.2%46.5%28.7%42.8%
Expected Move9.4%7.7%13.3%8.2%12.3%
HV 20d46.7%33.2%55.4%46.7%34.4%
HV 60d34.9%32.6%36.8%32.6%36.3%
IV Rank35.3%9.9%83.4%15.9%69.4%
IV Percentile54.8%9.5%98.0%23.4%92.5%
Term Structure-1.5%-5.0%0.8%-1.1%-4.8%
VWIV34.5%26.9%47.4%27.7%44.1%
Skew 25d4.4%-0.3%9.3%5.3%6.8%
Skew 10d12.6%0.8%28.1%12.4%20.0%
Call IV 25d32.0%25.0%45.8%25.0%44.6%
Put IV 25d36.4%29.4%52.6%30.3%51.4%
Bid-Ask Spread %79.2168.5590.1489.5480.51
Gamma HHI0.220.090.420.130.11
Net GEX295.4K59.8K494.6K324.0K61.2K
Net DEX-17.1M-23.1M-8.7M-16.6M-8.8M
Net VEX-22.6K-30.9K-15.6K-23.8K-30.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.272.830.271.18
Total Volume5,138.095207,8801905,350
Total OI18,063.8113,16021,04017,80015,000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$20.35$18.0028.7%8.2%46.7%15.9%27.7%5.3%-1.1%324.0K-16.6M-23.8K0.2789.54N/AN/A1504011,7006,100
2015-08-04$21.47$18.0028.4%8.2%49.3%14.8%29.0%4.4%-0.8%380.3K-20.4M-21.7K0.4687.35N/AN/A5,3902,49011,9306,100
2015-08-05$21.65$18.5027.2%7.8%49.0%9.9%28.2%3.3%-1.0%386.7K-21.0M-19.2K0.5390.14N/AN/A5,0102,67012,2206,520
2015-08-06$21.28$20.0032.6%8.1%50.0%30.6%30.1%2.3%0.2%357.5K-19.6M-22.4K0.4968.55N/AN/A4,8202,35012,5406,770
2015-08-07$21.52$20.0032.7%7.9%50.0%31.0%30.6%4.1%-0.2%366.5K-20.2M-22.3K0.4869.62N/AN/A4,8502,33012,5906,750
2015-08-10$21.88$20.0030.8%7.7%50.0%23.6%29.0%4.4%-0.1%411.2K-21.4M-19.5K0.5178.85N/AN/A4,6102,33012,8306,840
2015-08-11$21.54$20.0035.1%7.8%50.7%39.9%26.9%3.8%0.2%382.9K-20.6M-19.1K2.8373.70N/AN/A6017012,7206,830
2015-08-12$21.67$20.0027.6%7.9%50.7%11.5%30.8%3.8%-0.1%414.2K-20.4M-22.8K0.6470.70N/AN/A3,6802,35012,9006,940
2015-08-13$21.88$20.0027.5%7.9%50.6%11.4%30.9%2.0%0.8%399.1K-21.8M-18.1K0.6278.73N/AN/A3,6502,28012,9407,080
2015-08-14$21.89$20.0029.7%8.5%50.5%19.6%31.4%2.5%-0.7%432.7K-21.3M-22.0K0.6281.05N/AN/A3,7002,28013,0007,080
2015-08-17$22.20$20.0028.0%8.0%50.1%13.1%33.2%6.3%0.1%494.6K-23.1M-15.6K0.8084.12N/AN/A2,8002,23013,0107,080
2015-08-18$21.71$20.0028.1%8.1%50.8%13.5%30.7%2.5%0.1%493.2K-21.3M-18.4K0.7481.27N/AN/A3,1702,35013,1307,080
2015-08-19$21.86$21.0027.4%7.9%50.8%10.9%0.0%5.4%0.4%471.5K-21.7M-16.5K0.0086.39N/AN/A02013,0707,220
2015-08-20$21.07$20.0030.6%8.8%52.5%23.1%32.3%1.2%-0.4%267.9K-18.8M-18.0K0.8883.75N/AN/A3,2402,86013,2507,250
2015-08-21$20.44$21.0036.6%10.5%54.2%45.9%36.0%-0.3%-3.0%129.7K-15.0M-23.0K1.2678.84N/AN/A2,9403,69013,0907,950
2015-08-24$19.79$21.0046.5%13.3%55.4%83.4%47.4%6.9%-3.4%101.3K-8.7M-28.1K1.2570.43N/AN/A1,9302,4108,9004,260
2015-08-25$19.62$21.0044.7%12.8%33.2%76.5%45.1%6.0%-5.0%102.8K-8.8M-26.8K0.9777.27N/AN/A1,9901,9408,9304,250
2015-08-26$20.13$21.0042.0%12.0%34.2%66.1%41.7%5.6%-3.3%83.2K-9.9M-27.3K1.1675.28N/AN/A2,4902,8909,0304,430
2015-08-27$20.02$21.0042.6%12.2%34.2%68.5%42.8%6.9%-4.7%82.2K-9.6M-30.9K1.1777.55N/AN/A2,4202,8409,5105,580
2015-08-28$20.09$21.0041.1%11.8%34.3%62.8%41.8%9.3%-4.6%59.8K-9.5M-29.9K1.2979.87N/AN/A2,2402,8909,3105,630
2015-08-31$19.90$21.0042.8%12.3%34.4%69.4%44.1%6.8%-4.8%61.2K-8.8M-30.2K1.1880.51N/AN/A2,4502,9009,3105,690