MSTR Options History — November 2015

In November 2015, MSTR traded between $16.92 and $17.98. ATM implied volatility averaged 32.3%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 28.4% (HV 20d: 60.7%). Max pain ranged from $17.50 to $19.50. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2015-11-18: Highest Volume — 9,950 contracts
  • 2015-11-09: Largest IV spike — 11.7% change
  • 2015-11-09: Highest IV Rank — 28.9%
  • 2015-11-16: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.44$16.92$17.98$17.59$17.34
Max Pain$18.90$17.50$19.50$17.50$18.00
ATM IV32.3%29.1%35.3%33.7%29.6%
Expected Move9.2%8.3%9.8%9.7%8.5%
HV 20d60.7%18.5%72.9%72.5%18.5%
HV 60d46.6%45.7%47.4%47.4%45.7%
IV Rank21.0%12.2%28.9%24.6%13.5%
IV Percentile55.3%27.4%70.6%67.1%31.3%
Term Structure-0.3%-1.8%2.9%-1.8%2.9%
VWIV32.4%26.7%36.2%35.6%34.2%
Skew 25d4.2%2.7%5.1%4.9%4.9%
Skew 10d9.1%1.8%19.6%19.6%9.2%
Call IV 25d31.5%27.7%34.1%33.6%30.6%
Put IV 25d35.6%32.4%38.5%38.5%35.5%
Bid-Ask Spread %72.8457.9883.1375.1782.21
Gamma HHI0.180.160.210.170.21
Net GEX248.2K-67.0K975.3K694.2K86.3K
Net DEX-1.3M-8.7M3.7M-4.3M-1.1M
Net VEX-61.0K-83.4K-49.9K-78.9K-50.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.002.030.820.09
Total Volume5,219.5509,9509,080240
Total OI44,46121,04052,81050,17023,540

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$17.59$17.5033.7%9.7%72.5%24.6%35.6%4.9%-1.8%694.2K-4.3M-78.9K0.8275.17N/AN/A4,9904,09038,18011,990
2015-11-03$17.89$17.5032.5%9.3%72.9%21.3%34.0%3.5%-0.8%898.4K-7.5M-83.4K0.6475.72N/AN/A4,9303,15038,89012,250
2015-11-04$17.98$17.5032.4%9.3%72.8%21.2%35.3%2.7%-0.9%975.3K-8.7M-82.9K1.0081.65N/AN/A3,1303,12038,92012,270
2015-11-05$17.70$19.5033.2%9.2%72.9%23.5%31.8%3.0%-0.2%684.2K-5.0M-76.7K1.0457.98N/AN/A2,9703,08039,08012,290
2015-11-06$17.77$19.5031.6%9.0%71.3%19.0%0.0%4.0%-1.0%672.7K-4.9M-74.1K0.0071.13N/AN/A012038,91012,100
2015-11-09$17.49$19.5035.3%9.2%71.4%28.9%0.0%4.2%0.0%249.8K-970.1K-63.4K0.2062.53N/AN/A501038,91012,070
2015-11-10$17.42$19.5035.2%9.2%70.7%28.8%32.3%4.5%-0.5%379.3K-1.3M-64.4K1.0162.62N/AN/A3,2103,24039,03012,180
2015-11-11$17.26$19.5032.9%9.4%70.7%22.6%31.3%4.5%-0.6%46.9K1.6M-57.0K1.0169.81N/AN/A3,2103,24039,40012,250
2015-11-12$17.26$19.5032.2%9.2%70.2%20.8%30.5%4.1%-0.7%126.0K640.2K-58.0K1.0066.65N/AN/A3,2303,22039,36012,200
2015-11-13$16.92$19.5034.1%9.8%69.8%25.7%33.8%3.7%-1.3%15.6K3.7M-55.3K1.2475.06N/AN/A3,2303,99039,35012,300
2015-11-16$17.16$19.5034.1%9.8%70.1%25.8%0.0%2.7%-1.0%-66.0K3.5M-54.5K0.0074.69N/AN/A05039,19013,190
2015-11-17$17.23$19.5034.1%9.8%69.2%25.7%36.2%5.1%-1.6%-34.1K2.3M-53.7K1.2472.27N/AN/A3,2304,01039,35013,340
2015-11-18$17.47$19.5031.9%9.1%68.9%19.7%34.0%4.7%-0.5%7.7K-284.1K-54.1K2.0372.53N/AN/A3,2806,67039,35013,360
2015-11-19$17.31$19.5031.7%9.1%68.1%19.3%33.7%4.8%-0.8%107.2K585.4K-53.1K1.5971.49N/AN/A3,2805,21039,28013,460
2015-11-20$17.32$19.5031.1%8.9%67.2%17.8%28.4%4.2%1.0%-67.0K884.3K-51.6K1.2868.95N/AN/A3,4104,36039,29013,520
2015-11-23$17.37$19.5031.2%8.9%65.4%17.9%32.6%4.1%-0.1%-57.1K732.8K-49.9K0.0077.46N/AN/A1,910012,3608,680
2015-11-24$17.33$18.0030.0%8.6%32.3%14.7%30.9%5.1%0.6%58.5K-372.0K-51.0K0.3078.30N/AN/A33010013,9308,680
2015-11-25$17.49$18.0029.1%8.3%20.7%12.2%26.7%4.7%1.4%87.2K-2.5M-53.9K0.8583.13N/AN/A3,2202,73014,2508,880
2015-11-27$17.56$18.0030.7%8.8%18.6%16.5%29.7%4.0%0.3%98.3K-2.5M-53.3K0.9177.51N/AN/A3,2202,93014,6109,030
2015-11-30$17.34$18.0029.6%8.5%18.5%13.5%34.2%4.9%2.9%86.3K-1.1M-50.5K0.0982.21N/AN/A2202014,6008,940