MSTR Options History — February 2016

In February 2016, MSTR traded between $14.94 and $17.38. ATM implied volatility averaged 39.7%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 28.9% (HV 20d: 68.6%). Max pain ranged from $16.00 to $16.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.37.

Notable Days

  • 2016-02-17: Highest Volume — 38,380 contracts
  • 2016-02-10: Largest IV drop — 19.8% change
  • 2016-02-09: Highest IV Rank — 76.0%
  • 2016-02-08: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.77$14.94$17.38$17.38$16.11
Max Pain$16.43$16.00$16.50$16.00$16.50
ATM IV39.7%33.8%52.7%34.3%36.0%
Expected Move11.0%9.7%13.1%9.8%10.3%
HV 20d68.6%40.8%76.7%75.6%41.3%
HV 60d48.3%45.7%50.0%45.8%49.8%
IV Rank41.0%25.1%76.0%26.4%31.0%
IV Percentile74.8%56.7%97.2%65.5%63.9%
Term Structure-1.1%-2.6%0.4%-0.9%-2.0%
VWIV38.0%33.9%43.8%36.6%36.8%
Skew 25d5.5%3.3%8.9%5.3%5.3%
Skew 10d11.9%-0.0%22.3%22.3%8.4%
Call IV 25d36.8%33.4%42.6%33.6%34.8%
Put IV 25d42.3%37.3%51.4%38.9%40.1%
Bid-Ask Spread %65.7850.1180.6778.5280.67
Gamma HHI0.280.190.380.340.30
Net GEX416.2K139.9K942.7K942.7K647.0K
Net DEX-2.7M-10.7M1.3M-10.3M-6.6M
Net VEX-34.1K-50.8K-23.1K-47.1K-39.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.060.860.310.06
Total Volume21,216.56,63038,38011,63037,200
Total OI26,608.521,56036,38024,56026,000

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$17.38$16.0034.3%9.8%75.6%26.4%36.6%5.3%-0.9%942.7K-10.3M-47.1K0.3178.52N/AN/A8,9002,73018,8205,740
2016-02-02$17.15$16.0037.0%10.6%73.8%33.6%37.1%3.3%-0.5%935.8K-10.7M-50.8K0.4680.46N/AN/A5,9802,73020,8805,790
2016-02-03$17.16$16.0039.0%11.2%73.8%39.1%36.9%5.4%0.1%906.2K-9.8M-50.6K0.5480.17N/AN/A5,2802,85021,0505,790
2016-02-04$16.79$16.5040.6%9.9%74.0%43.4%36.1%5.3%0.3%802.2K-7.6M-47.7K0.5251.02N/AN/A5,6302,90021,4905,920
2016-02-05$15.63$16.5045.1%11.2%76.7%55.4%38.2%6.5%-0.9%329.8K-1.2M-35.5K0.5858.29N/AN/A5,2403,06021,3406,270
2016-02-08$15.46$16.5051.0%13.1%71.2%71.4%42.4%8.1%-2.2%212.5K-240.8K-32.7K0.7151.21N/AN/A3,8702,76021,1806,510
2016-02-09$15.25$16.5052.7%12.7%70.9%76.0%42.3%8.0%-0.1%187.6K334.2K-29.5K0.5854.79N/AN/A4,8302,78020,8506,300
2016-02-10$15.00$16.5042.2%12.1%70.6%47.8%42.4%3.7%-2.2%205.5K265.0K-29.9K0.5650.11N/AN/A5,0302,82020,8306,230
2016-02-11$14.97$16.5044.8%12.8%69.2%54.6%43.8%8.9%-2.4%144.2K1.2M-26.5K0.7359.40N/AN/A4,7203,43020,9606,230
2016-02-12$15.19$16.5044.6%12.8%69.2%54.3%42.5%5.2%-2.6%209.9K694.2K-28.4K0.8466.76N/AN/A4,8904,09021,0006,720
2016-02-16$15.24$16.5041.4%11.9%69.0%45.4%43.4%5.2%-2.1%139.9K1.3M-23.1K0.8664.74N/AN/A4,6203,96020,8005,800
2016-02-17$15.66$16.5035.5%10.2%69.0%29.6%35.9%5.9%-1.6%228.7K273.4K-24.6K0.1269.62N/AN/A34,2904,09020,9505,860
2016-02-18$14.94$16.5036.3%10.4%70.9%31.8%34.4%5.8%0.4%270.2K753.0K-28.4K0.1270.51N/AN/A34,2003,98030,3106,070
2016-02-19$15.37$16.5036.4%10.4%71.6%31.9%36.8%4.9%-0.6%255.0K-136.2K-27.8K0.1261.03N/AN/A34,3703,98024,8406,080
2016-02-22$15.48$16.5036.0%10.3%71.6%30.9%35.8%4.9%-1.1%297.7K-1.5M-29.5K0.0767.18N/AN/A32,9902,24017,4704,090
2016-02-23$15.27$16.5036.3%10.4%70.9%31.6%34.2%4.3%-1.4%247.8K-591.9K-27.8K0.0760.69N/AN/A32,9202,30017,5604,390
2016-02-24$15.67$16.5036.8%10.6%71.3%33.1%36.2%4.6%-1.3%328.4K-1.9M-30.5K0.0665.34N/AN/A33,6102,07017,7204,450
2016-02-25$15.81$16.5034.4%9.9%70.2%26.7%33.9%5.7%-1.0%451.3K-3.2M-33.8K0.0668.26N/AN/A34,6902,07019,4904,390
2016-02-26$15.87$16.5033.8%9.7%40.8%25.1%34.1%3.9%-0.4%580.9K-5.2M-38.6K0.0676.75N/AN/A34,1602,07021,6104,390
2016-02-29$16.11$16.5036.0%10.3%41.3%31.0%36.8%5.3%-2.0%647.0K-6.6M-39.4K0.0680.67N/AN/A35,1302,07021,6104,390