MSTR Options History — March 2016

In March 2016, MSTR traded between $16.59 and $18.10. ATM implied volatility averaged 30.5%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 4.3% (HV 20d: 34.8%). Max pain ranged from $16.00 to $16.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.27.

Notable Days

  • 2016-03-01: Highest Volume — 35,750 contracts
  • 2016-03-09: Largest IV drop — 10.5% change
  • 2016-03-08: Highest IV Rank — 26.4%
  • 2016-03-02: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.15$16.59$18.10$17.11$17.99
Max Pain$16.05$16.00$16.50$16.50$16.00
ATM IV30.5%27.4%34.3%32.9%27.7%
Expected Move8.6%7.8%9.5%9.4%7.9%
HV 20d34.8%26.3%45.3%44.8%26.3%
HV 60d51.5%51.1%52.3%51.4%51.3%
IV Rank16.1%7.6%26.4%22.4%8.5%
IV Percentile33.1%11.5%57.9%50.8%14.3%
Term Structure7.8%-2.3%14.5%-2.3%14.5%
VWIV29.9%23.5%34.6%34.0%27.7%
Skew 25d4.3%3.0%6.2%4.8%3.0%
Skew 10d10.3%0.6%20.3%19.3%3.9%
Call IV 25d28.6%25.1%33.1%32.0%26.4%
Put IV 25d33.0%29.4%37.3%36.8%29.4%
Bid-Ask Spread %85.5476.2391.2479.1091.24
Gamma HHI0.300.220.460.340.46
Net GEX1.3M957.3K1.9M1.0M1.9M
Net DEX-17.7M-31.2M-10.3M-14.0M-31.2M
Net VEX-47.4K-60.2K-34.8K-47.4K-56.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.070.660.070.29
Total Volume19,906.3646,04035,75035,75023,800
Total OI31,043.18227,04038,14027,04038,140

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$17.11$16.5032.9%9.4%44.8%22.4%34.0%4.8%-2.3%1.0M-14.0M-47.4K0.0779.10N/AN/A33,5002,25022,6504,390
2016-03-02$16.83$16.5033.1%9.5%44.9%23.2%34.6%4.2%-1.6%957.3K-12.8M-48.1K0.0785.25N/AN/A33,3902,18023,1304,550
2016-03-03$17.07$16.0031.8%8.5%45.3%19.6%28.3%4.6%7.2%1.1M-14.1M-46.3K0.0776.23N/AN/A33,0202,18023,1504,470
2016-03-04$16.89$16.0032.5%8.8%44.7%21.4%28.5%5.1%6.0%999.7K-13.1M-44.7K0.0780.09N/AN/A33,0202,18023,1204,470
2016-03-07$16.83$16.0033.1%8.7%35.9%23.1%28.6%4.5%5.7%1.0M-12.5M-42.7K0.0777.98N/AN/A33,0202,20023,1204,470
2016-03-08$16.75$16.0034.3%9.1%35.6%26.4%29.6%4.0%5.4%999.5K-11.8M-40.4K0.0780.09N/AN/A33,3002,20023,1204,520
2016-03-09$16.77$16.0030.7%8.8%35.0%16.6%31.8%4.2%5.9%1.0M-11.8M-39.4K0.6281.04N/AN/A3,7202,32023,6204,520
2016-03-10$16.67$16.0031.4%9.0%34.4%18.6%31.4%4.6%5.9%1.1M-11.5M-40.0K0.6379.48N/AN/A3,7802,40024,1204,650
2016-03-11$17.04$16.0030.5%8.7%34.7%16.1%31.1%4.6%5.7%1.2M-14.7M-41.6K0.6681.83N/AN/A3,6402,40024,1804,870
2016-03-14$16.95$16.0030.7%8.8%34.8%16.6%32.1%5.5%5.4%1.1M-13.9M-40.4K0.6684.07N/AN/A3,6502,40024,2704,870
2016-03-15$16.59$16.0030.9%8.9%36.1%17.2%31.4%3.9%5.9%1.0M-10.3M-34.8K0.6685.14N/AN/A3,6502,41024,2804,870
2016-03-16$16.74$16.0030.8%8.8%35.2%16.8%30.4%3.5%6.1%1.2M-12.3M-36.1K0.5589.99N/AN/A4,4002,41024,2804,880
2016-03-17$16.98$16.0028.3%8.1%30.0%10.2%30.8%3.9%7.9%1.5M-16.4M-40.5K0.1689.47N/AN/A14,8702,41025,5404,880
2016-03-18$17.53$16.0028.5%8.2%30.4%10.8%23.5%3.9%5.5%1.6M-26.1M-57.1K0.1790.48N/AN/A15,0602,51030,3404,880
2016-03-21$17.70$16.0029.2%8.4%30.4%12.6%26.0%6.2%10.8%1.6M-24.6M-54.5K0.1491.07N/AN/A14,4402,04028,0204,240
2016-03-22$17.59$16.0027.4%7.8%29.9%7.6%27.3%3.9%12.9%1.6M-24.7M-60.2K0.1591.01N/AN/A15,4302,36029,2404,360
2016-03-23$17.03$16.0029.9%8.6%32.1%14.5%32.6%3.8%12.5%1.3M-17.8M-55.0K0.1590.34N/AN/A15,4502,31029,2404,810
2016-03-24$17.27$16.0028.4%8.1%32.3%10.3%33.0%5.1%13.0%1.5M-21.4M-58.6K0.1590.05N/AN/A15,4302,27029,2804,890
2016-03-28$17.21$16.0031.1%8.9%32.4%17.6%27.4%4.5%11.5%1.4M-19.4M-51.1K0.2388.47N/AN/A15,6703,57029,3304,890
2016-03-29$17.75$16.0029.8%8.5%33.6%14.1%30.7%4.7%13.7%1.7M-25.9M-53.5K0.2291.04N/AN/A15,6403,40029,4506,410
2016-03-30$18.10$16.0028.1%8.0%27.1%9.5%26.1%3.1%13.4%1.8M-30.3M-53.0K0.1788.37N/AN/A18,5103,15029,5906,850
2016-03-31$17.99$16.0027.7%7.9%26.3%8.5%27.7%3.0%14.5%1.9M-31.2M-56.6K0.2991.24N/AN/A18,5105,29031,2106,930