MSTR Options History — September 2015

In September 2015, MSTR traded between $19.46 and $20.99. ATM implied volatility averaged 37.6%, placing in the 49.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 9.5% (HV 20d: 28.1%). Max pain ranged from $16.00 to $21.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2015-09-29: Highest Volume — 9,710 contracts
  • 2015-09-28: Largest IV spike — 25.2% change
  • 2015-09-01: Highest IV Rank — 81.2%
  • 2015-09-01: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.19$19.46$20.99$19.50$19.64
Max Pain$16.83$16.00$21.00$21.00$16.50
ATM IV37.6%31.4%46.0%46.0%40.4%
Expected Move10.5%9.0%13.2%13.2%11.6%
HV 20d28.1%23.7%31.7%28.2%28.9%
HV 60d36.4%35.8%37.6%36.3%37.6%
IV Rank49.7%25.9%81.2%81.2%60.1%
IV Percentile78.6%57.9%97.6%97.6%82.1%
Term Structure1.7%-4.9%7.9%-4.4%2.7%
VWIV37.3%33.0%45.5%44.9%38.5%
Skew 25d5.2%0.9%8.3%4.4%7.7%
Skew 10d14.0%2.0%34.1%29.9%13.2%
Call IV 25d35.8%29.4%49.1%48.6%38.2%
Put IV 25d41.0%33.6%54.8%53.0%45.9%
Bid-Ask Spread %80.8070.0588.0273.3088.02
Gamma HHI0.130.100.320.110.14
Net GEX30.6K-176.2K153.0K72.6K152.8K
Net DEX-10.5M-13.3M-8.0M-8.0M-10.1M
Net VEX-24.4K-31.0K-18.3K-31.0K-26.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.141.651.190.29
Total Volume5,689.0481209,7105,3709,670
Total OI15,61013,97017,67015,08015,290

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$19.50$21.0046.0%13.2%28.2%81.2%44.9%4.4%-4.4%72.6K-8.0M-31.0K1.1973.30N/AN/A2,4502,9209,3805,700
2015-09-02$19.64$21.0045.9%13.2%28.1%81.0%45.5%5.7%-4.9%70.2K-8.1M-30.4K1.1973.99N/AN/A2,4502,9209,3905,730
2015-09-03$19.85$16.0044.4%10.6%28.3%75.3%39.0%4.4%-1.0%57.0K-9.0M-28.6K1.2775.33N/AN/A2,3402,9709,3905,730
2015-09-04$19.58$16.0045.0%11.3%27.9%77.8%39.8%6.9%-1.9%64.5K-8.0M-30.0K1.3172.82N/AN/A2,3403,0609,4005,880
2015-09-08$20.13$16.0045.5%11.0%29.2%79.5%36.3%5.5%-1.6%21.5K-9.7M-25.2K0.1477.85N/AN/A350509,3205,890
2015-09-09$19.79$16.0035.7%10.2%29.3%42.3%38.9%5.4%0.3%7.1K-8.7M-26.6K1.2670.05N/AN/A2,5503,2209,5405,950
2015-09-10$19.89$16.5036.8%10.5%29.2%46.5%38.1%5.9%1.2%-18.4K-8.2M-28.1K1.6573.95N/AN/A2,6204,3309,5406,120
2015-09-11$20.04$16.5035.7%10.2%29.1%42.2%37.6%3.9%1.6%-106.3K-9.2M-26.5K1.2875.64N/AN/A2,5803,3109,7107,490
2015-09-14$20.09$16.5036.5%10.5%29.2%45.5%38.5%5.6%0.9%-99.3K-9.6M-24.9K1.3076.81N/AN/A2,5803,3509,7107,450
2015-09-15$20.80$16.5033.5%9.6%31.7%33.8%37.2%8.3%2.4%-113.9K-11.4M-23.6K0.7186.96N/AN/A70509,6307,900
2015-09-16$20.99$16.5033.7%9.7%31.1%34.9%36.0%4.8%0.8%-95.9K-13.0M-20.8K1.3880.48N/AN/A2,5303,5009,6607,870
2015-09-17$20.99$16.5031.6%9.1%31.0%26.9%33.3%3.4%2.3%-176.2K-13.3M-18.3K1.2987.45N/AN/A2,5303,2709,6607,870
2015-09-18$20.69$16.5032.9%9.4%28.5%31.5%36.1%3.9%2.2%89.1K-11.2M-22.2K1.2285.15N/AN/A2,6703,2709,6508,020
2015-09-21$20.88$16.5031.7%9.1%26.5%27.1%34.3%6.5%6.3%66.2K-13.1M-18.4K1.0285.10N/AN/A2,3102,3608,9405,030
2015-09-22$20.63$16.5033.5%9.6%24.0%34.0%35.8%4.4%5.8%77.9K-12.7M-19.7K1.0486.54N/AN/A2,3102,4009,0805,040
2015-09-23$20.89$16.5031.4%9.0%23.9%25.9%33.0%5.0%7.4%101.9K-12.8M-19.2K1.0087.09N/AN/A2,4002,4109,0805,090
2015-09-24$20.47$16.5035.1%10.1%23.8%40.2%36.2%5.7%5.3%94.4K-12.2M-20.2K0.9184.59N/AN/A2,4502,2409,1805,100
2015-09-25$20.54$16.5032.9%9.4%23.7%31.7%34.0%5.3%7.9%81.5K-12.8M-19.6K0.4487.91N/AN/A5,0702,2409,2805,210
2015-09-28$19.55$16.5041.2%11.8%29.7%63.2%33.5%0.9%1.9%143.3K-9.4M-25.4K0.3082.35N/AN/A7,4102,2109,5605,210
2015-09-29$19.46$16.5041.0%11.8%29.5%62.5%37.4%4.8%1.5%153.0K-9.2M-27.7K0.2985.40N/AN/A7,5002,2109,9205,220
2015-09-30$19.64$16.5040.4%11.6%28.9%60.1%38.5%7.7%2.7%152.8K-10.1M-26.2K0.2988.02N/AN/A7,5002,17010,0705,220