MSTR Options History — December 2015

In December 2015, MSTR traded between $17.23 and $18.06. ATM implied volatility averaged 31.1%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 10.9% (HV 20d: 20.2%). Max pain ranged from $12.00 to $18.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2015-12-11: Highest Volume — 24,980 contracts
  • 2015-12-28: Largest IV spike — 12.2% change
  • 2015-12-08: Highest IV Rank — 27.4%
  • 2015-12-14: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.63$17.23$18.06$17.72$17.95
Max Pain$14.18$12.00$18.50$18.00$12.00
ATM IV31.1%26.7%34.7%32.6%29.3%
Expected Move8.8%7.6%9.6%9.4%8.4%
HV 20d20.2%17.3%22.8%18.3%21.8%
HV 60d45.1%44.4%45.9%45.9%44.4%
IV Rank17.8%5.7%27.4%21.9%12.8%
IV Percentile43.8%6.7%68.3%58.7%27.4%
Term Structure5.9%-1.7%12.8%-1.7%9.9%
VWIV29.6%25.7%34.0%34.0%27.0%
Skew 25d4.1%1.9%7.0%2.3%3.2%
Skew 10d9.2%2.8%20.5%18.9%5.0%
Call IV 25d29.3%26.0%32.1%31.8%29.1%
Put IV 25d33.5%30.7%36.2%34.0%32.4%
Bid-Ask Spread %84.4076.4892.0983.9892.09
Gamma HHI0.220.150.280.200.27
Net GEX656.0K94.7K1.3M94.7K1.3M
Net DEX-21.0M-37.4M-1.2M-3.0M-36.8M
Net VEX-56.1K-67.1K-45.7K-50.6K-65.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.002.192.190.14
Total Volume15,866.81814024,9804,40019,120
Total OI34,177.72723,43042,53023,43040,380

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$17.72$18.0032.6%9.4%18.3%21.9%34.0%2.3%-1.7%94.7K-3.0M-50.6K2.1983.98N/AN/A1,3803,02014,4808,950
2015-12-02$17.65$17.5032.4%9.3%17.3%21.3%34.0%4.1%-1.4%153.1K-3.5M-52.6K1.4677.26N/AN/A3,9305,74015,4409,390
2015-12-03$17.44$18.0031.7%8.6%17.6%19.3%31.4%3.9%5.9%151.2K-2.3M-51.6K1.0479.77N/AN/A3,9404,09015,4409,390
2015-12-04$17.69$18.0030.8%8.8%17.7%16.9%29.4%3.7%4.6%186.7K-4.2M-51.4K1.0478.75N/AN/A3,9404,09015,4509,360
2015-12-07$17.37$18.0033.5%8.9%18.7%24.1%30.5%4.3%3.1%179.3K-2.4M-48.0K0.0079.60N/AN/A140015,4509,260
2015-12-08$17.61$18.0034.7%8.4%18.6%27.4%29.4%4.7%6.0%190.8K-3.0M-48.7K1.0476.48N/AN/A3,9204,09015,4409,360
2015-12-09$17.23$18.0031.4%9.0%20.1%18.6%28.1%5.1%3.4%167.7K-1.2M-45.9K1.0878.17N/AN/A3,8404,14015,4409,360
2015-12-10$17.23$18.5030.7%8.8%19.9%16.6%29.1%3.0%4.2%166.6K-1.3M-45.8K0.2981.35N/AN/A14,2504,10015,3109,370
2015-12-11$17.40$12.0032.3%9.3%20.2%20.9%32.8%2.8%4.2%232.0K-21.2M-45.7K0.2087.32N/AN/A20,8804,10025,8909,310
2015-12-14$17.49$12.0033.4%9.6%18.8%23.9%33.3%4.4%3.7%711.3K-26.8M-56.5K0.2287.62N/AN/A18,3404,10032,3109,310
2015-12-15$17.89$12.0032.3%9.2%19.8%20.8%33.3%4.0%4.9%714.5K-30.7M-57.0K0.2984.59N/AN/A14,2704,10032,4509,310
2015-12-16$17.68$12.0031.1%8.9%20.4%17.7%31.2%3.5%3.8%827.2K-29.9M-54.8K0.2384.56N/AN/A17,5004,10032,6109,200
2015-12-17$17.35$12.0030.9%8.9%21.0%17.1%28.1%4.4%4.4%878.8K-26.6M-58.2K0.2482.57N/AN/A17,4204,10033,3109,200
2015-12-18$17.62$12.0031.7%9.1%21.4%19.4%30.5%4.8%5.3%787.4K-29.1M-58.1K0.2383.88N/AN/A17,6204,03033,3309,200
2015-12-21$17.75$12.0031.6%9.1%21.5%19.1%30.2%7.0%7.2%868.0K-30.6M-56.6K0.1287.58N/AN/A17,4402,08030,9303,850
2015-12-22$17.65$12.0029.9%8.6%21.6%14.4%26.8%4.8%9.1%1.0M-32.1M-61.8K0.1289.41N/AN/A17,4502,03033,0203,850
2015-12-23$17.72$12.0030.2%8.7%21.6%15.3%27.3%6.5%8.1%1.1M-34.2M-67.1K0.1286.32N/AN/A17,4902,08035,2403,800
2015-12-24$17.76$12.0026.7%7.6%21.4%5.7%25.7%4.7%11.3%1.2M-34.5M-66.5K0.1287.59N/AN/A17,5802,18035,3803,900
2015-12-28$17.61$12.0029.9%8.6%21.7%14.5%27.3%1.9%9.5%1.2M-33.4M-63.8K0.1387.81N/AN/A17,6202,31035,5104,000
2015-12-29$18.06$12.0028.4%8.1%22.8%10.4%26.4%5.2%12.8%1.2M-37.4M-64.7K0.1489.85N/AN/A16,0702,28035,5904,100
2015-12-30$17.91$12.0029.2%8.4%21.9%12.6%26.2%2.9%11.4%1.2M-37.0M-64.8K0.1590.17N/AN/A15,7802,39035,9604,080
2015-12-31$17.95$12.0029.3%8.4%21.8%12.8%27.0%3.2%9.9%1.3M-36.8M-65.1K0.1492.09N/AN/A16,7302,39036,0804,300