MSTR Options History — January 2016

In January 2016, MSTR traded between $14.24 and $17.14. ATM implied volatility averaged 48.7%, placing in the 65.3% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 5.5% (HV 20d: 43.2%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.47.

Notable Days

  • 2016-01-08: Highest Volume — 20,550 contracts
  • 2016-01-28: Largest IV drop — 33.0% change
  • 2016-01-26: Highest IV Rank — 86.9%
  • 2016-01-26: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.52$14.24$17.14$17.10$16.73
Max Pain$17.00$16.00$18.00$18.00$16.00
ATM IV48.7%37.3%56.7%39.8%37.3%
Expected Move13.9%10.7%16.3%12.3%10.7%
HV 20d43.2%26.8%74.2%27.6%74.2%
HV 60d44.6%31.1%48.7%45.4%45.2%
IV Rank65.3%34.5%86.9%41.3%34.5%
IV Percentile93.5%71.8%99.6%81.7%71.8%
Term Structure-7.1%-12.6%0.8%-7.6%-0.3%
VWIV45.5%36.8%53.4%42.5%36.8%
Skew 25d6.7%3.8%12.3%3.8%4.7%
Skew 10d10.5%-3.0%25.9%4.2%10.4%
Call IV 25d45.7%36.5%53.6%42.4%36.5%
Put IV 25d52.4%41.1%61.0%46.2%41.2%
Bid-Ask Spread %65.1451.7183.1155.3583.11
Gamma HHI0.250.160.830.290.27
Net GEX609.2K102.6K3.9M1.1M682.5K
Net DEX-10.7M-28.8M1.7M-28.7M-7.0M
Net VEX-37.1K-58.5K-23.3K-58.5K-43.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.150.950.150.41
Total Volume13,311.0535,81020,55018,8708,580
Total OI33,600.52621,63046,48041,42023,900

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$17.10$18.0039.8%12.3%27.6%41.3%42.5%3.8%-7.6%1.1M-28.7M-58.5K0.1555.35N/AN/A16,4302,44037,1204,300
2016-01-05$17.14$18.0039.0%12.3%27.1%39.0%42.1%4.9%-5.8%1.2M-28.8M-57.8K0.1551.71N/AN/A16,4002,46037,1504,350
2016-01-06$16.89$18.0041.4%12.7%26.8%45.6%43.2%4.3%-8.2%999.1K-27.0M-55.0K0.1558.45N/AN/A15,6202,38037,1904,370
2016-01-07$16.14$17.0045.1%13.0%30.4%55.6%45.2%4.4%-7.5%650.7K-21.3M-46.2K0.2258.15N/AN/A14,6103,26037,3404,460
2016-01-08$14.92$18.0052.1%14.0%40.0%74.3%46.8%4.9%-8.1%204.9K-13.6M-31.5K0.2759.97N/AN/A16,1504,40037,3705,300
2016-01-11$15.28$18.0048.2%13.5%41.4%63.8%45.1%5.2%-8.3%278.9K-15.4M-34.1K0.2266.35N/AN/A16,2903,58038,8806,170
2016-01-12$15.63$17.5056.2%13.4%42.3%85.6%43.9%7.8%-7.4%361.2K-17.3M-38.7K0.2157.84N/AN/A16,4303,53039,3206,420
2016-01-13$15.04$17.0047.7%13.7%43.7%62.6%43.0%7.5%-7.7%261.1K-14.6M-32.7K0.2360.57N/AN/A16,0703,72039,3906,350
2016-01-14$15.26$17.0048.4%13.9%43.1%64.4%43.7%9.6%-9.3%302.8K-15.5M-35.3K0.2562.21N/AN/A16,0203,97039,5406,760
2016-01-15$15.00$17.0053.2%15.2%43.2%77.4%47.1%12.3%-12.6%3.9M-14.1M-32.4K0.2669.55N/AN/A16,0304,12039,5706,910
2016-01-19$14.67$16.5052.4%15.0%43.3%75.2%47.6%9.4%-6.7%134.6K1.2M-27.7K0.8567.59N/AN/A3,1402,67016,6504,980
2016-01-20$14.95$16.5054.7%15.7%43.6%81.5%48.1%10.0%-6.3%184.4K89.6K-31.2K0.8569.72N/AN/A3,1502,67016,7704,980
2016-01-21$15.07$16.5052.4%15.0%43.6%75.4%46.9%7.0%-6.0%205.2K-248.8K-31.7K0.8567.00N/AN/A3,1502,67016,8304,980
2016-01-22$14.98$16.5051.9%14.9%43.6%74.0%47.1%5.2%-7.4%183.2K194.1K-30.6K0.8170.91N/AN/A3,2402,61016,8304,980
2016-01-25$14.54$16.5055.8%16.0%44.0%84.5%50.8%6.4%-9.0%127.1K1.1M-26.3K0.8471.90N/AN/A3,1902,67016,9204,980
2016-01-26$14.67$16.5056.7%16.3%44.3%86.9%51.5%8.0%-10.8%133.6K1.1M-26.2K0.8070.65N/AN/A3,3202,66016,9505,030
2016-01-27$14.24$16.5056.0%16.1%44.8%85.1%53.4%7.4%-6.0%102.6K1.7M-23.3K0.9559.38N/AN/A3,6003,41017,1005,050
2016-01-28$16.69$16.0037.6%10.8%74.2%35.1%40.1%4.3%0.8%587.2K-5.7M-41.9K0.3977.30N/AN/A5,9502,32017,8005,420
2016-01-29$16.73$16.0037.3%10.7%74.2%34.5%36.8%4.7%-0.3%682.5K-7.0M-43.4K0.4183.11N/AN/A6,0902,49018,5505,350