MSTR Options History — May 2016

In May 2016, MSTR traded between $17.85 and $19.09. ATM implied volatility averaged 31.7%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 1.8% (HV 20d: 29.8%). Max pain ranged from $17.50 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 2.59.

Notable Days

  • 2016-05-11: Highest Volume — 8,390 contracts
  • 2016-05-31: Largest IV spike — 13.0% change
  • 2016-05-03: Highest IV Rank — 26.0%
  • 2016-05-03: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.41$17.85$19.09$18.44$18.66
Max Pain$18.19$17.50$19.00$19.00$17.50
ATM IV31.7%28.1%34.2%32.2%31.8%
Expected Move9.0%8.1%9.8%9.2%9.1%
HV 20d29.8%26.2%31.7%28.3%26.4%
HV 60d29.1%26.3%33.6%33.6%26.6%
IV Rank19.2%9.6%26.0%20.6%19.5%
IV Percentile40.0%13.5%58.7%44.8%40.5%
Term Structure-1.2%-2.9%-0.0%-0.9%-2.9%
VWIV35.5%30.7%42.5%33.5%40.5%
Skew 25d4.5%2.2%6.2%6.0%3.7%
Skew 10d11.1%2.6%17.8%13.7%5.5%
Call IV 25d30.3%28.0%32.5%30.2%31.6%
Put IV 25d34.8%31.6%38.2%36.3%35.4%
Bid-Ask Spread %68.4255.8680.3271.9080.32
Gamma HHI0.400.350.490.390.37
Net GEX1.2M979.3K1.4M1.1M1.4M
Net DEX-21.4M-28.5M-15.6M-21.8M-24.1M
Net VEX-81.9K-91.3K-71.9K-91.3K-71.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.591.763.462.642.22
Total Volume6,918.0955,3808,3908,0505,730
Total OI41,169.52436,09044,47041,05036,770

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$18.44$19.0032.2%9.2%28.3%20.6%33.5%6.0%-0.9%1.1M-21.8M-91.3K2.6471.90N/AN/A2,2105,84026,80014,250
2016-05-03$18.07$19.0034.2%9.8%29.0%26.0%33.9%5.7%-2.0%1.0M-18.6M-89.9K2.6767.80N/AN/A2,2105,90027,09014,590
2016-05-04$18.05$19.0033.5%9.6%29.0%24.1%34.7%4.8%-2.1%979.3K-17.5M-90.6K3.1674.84N/AN/A1,8305,79027,09014,720
2016-05-05$17.97$18.5033.3%8.9%28.4%23.6%34.0%4.9%-0.8%1.0M-17.3M-87.1K3.1163.70N/AN/A1,8705,81027,17014,850
2016-05-06$18.25$18.5032.5%8.9%28.9%21.4%37.8%5.4%-0.9%1.1M-19.6M-88.7K2.9059.20N/AN/A2,0005,81027,17014,880
2016-05-09$18.87$18.5033.5%8.9%31.0%24.1%30.7%6.2%-1.2%1.2M-26.2M-86.7K3.3361.42N/AN/A1,8806,26027,28014,850
2016-05-10$19.04$18.5032.6%8.8%31.0%21.9%31.6%6.1%-1.8%1.3M-28.5M-85.4K3.3466.84N/AN/A1,8706,25027,33015,480
2016-05-11$18.52$18.5030.8%8.8%31.5%17.0%31.7%3.7%-1.3%1.2M-22.7M-85.9K3.4655.86N/AN/A1,8806,51027,40015,800
2016-05-12$18.46$18.5031.1%8.9%31.5%17.6%33.1%3.2%-1.3%1.2M-21.8M-87.3K3.3961.88N/AN/A1,8506,28027,41016,260
2016-05-13$18.26$18.5030.6%8.8%31.7%16.4%32.9%3.9%-0.6%1.1M-19.3M-83.7K2.6468.65N/AN/A1,7604,65027,31016,440
2016-05-16$18.25$18.5032.2%9.2%31.4%20.6%34.4%4.4%-0.6%1.1M-19.3M-80.7K2.4768.70N/AN/A1,8504,57027,20016,540
2016-05-17$18.16$18.5032.8%9.4%31.3%22.3%32.9%5.5%-2.2%1.1M-19.1M-81.5K2.4777.01N/AN/A1,8504,57027,25016,560
2016-05-18$17.98$18.5032.6%9.3%31.4%21.6%37.3%3.8%-2.3%1.1M-15.6M-78.0K1.7967.67N/AN/A2,2804,08027,25016,610
2016-05-19$17.85$17.5032.8%9.4%31.4%22.2%34.8%5.3%-1.4%1.2M-15.8M-75.9K1.7665.27N/AN/A2,2804,01027,76016,700
2016-05-20$17.95$17.5031.9%9.1%30.9%19.9%36.6%4.8%-1.0%1.2M-15.6M-75.5K2.4464.18N/AN/A2,2605,51027,76016,710
2016-05-23$18.32$17.5030.5%8.7%29.7%16.0%37.8%4.5%-1.0%1.3M-20.4M-76.5K2.2864.96N/AN/A1,6403,74025,84010,250
2016-05-24$18.92$17.5029.0%8.3%30.4%12.2%40.8%5.1%-0.2%1.3M-26.8M-77.4K1.9368.68N/AN/A1,9203,71026,14010,350
2016-05-25$18.73$17.5030.8%8.8%30.6%16.8%32.5%3.6%-0.9%1.4M-24.8M-77.4K2.0473.31N/AN/A1,8303,73026,46010,440
2016-05-26$18.83$17.5028.4%8.1%26.7%10.5%41.6%2.6%-0.1%1.4M-25.9M-75.5K2.1075.19N/AN/A1,7803,73026,44010,460
2016-05-27$19.09$17.5028.1%8.1%26.2%9.6%42.5%2.2%-0.0%1.4M-28.4M-73.5K2.2379.42N/AN/A1,7803,97026,44010,460
2016-05-31$18.66$17.5031.8%9.1%26.4%19.5%40.5%3.7%-2.9%1.4M-24.1M-71.9K2.2280.32N/AN/A1,7803,95026,49010,280