MSTR Options History — June 2016

In June 2016, MSTR traded between $16.76 and $19.47. ATM implied volatility averaged 31.0%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 3.0% (HV 20d: 27.9%). Max pain ranged from $17.00 to $18.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.08.

Notable Days

  • 2016-06-30: Highest Volume — 9,330 contracts
  • 2016-06-24: Largest IV spike — 28.3% change
  • 2016-06-27: Highest IV Rank — 35.8%
  • 2016-06-27: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.34$16.76$19.47$18.70$17.44
Max Pain$17.07$17.00$18.50$18.50$17.00
ATM IV31.0%27.1%37.9%31.7%30.2%
Expected Move8.8%7.8%10.9%9.1%8.7%
HV 20d27.9%23.0%36.6%25.2%35.7%
HV 60d27.5%26.5%30.3%26.6%30.3%
IV Rank17.3%6.9%35.8%19.4%14.9%
IV Percentile30.8%6.3%71.8%39.7%21.8%
Term Structure6.3%-1.6%11.0%-1.6%11.0%
VWIV32.4%28.2%39.5%38.8%33.1%
Skew 25d3.9%2.2%6.4%4.9%2.3%
Skew 10d10.4%0.1%26.1%0.1%7.4%
Call IV 25d30.5%26.4%36.0%31.0%31.8%
Put IV 25d34.3%30.5%42.4%35.9%34.2%
Bid-Ask Spread %81.5276.1590.6279.8890.62
Gamma HHI0.360.260.440.390.26
Net GEX1.6M861.7K2.0M1.5M1.4M
Net DEX-20.1M-33.3M-1.5M-24.1M-7.0M
Net VEX-54.6K-70.9K-27.2K-70.9K-33.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.312.482.090.33
Total Volume6,772.2734,0509,3305,7809,330
Total OI38,742.27336,99040,81036,99040,810

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$18.70$18.5031.7%9.1%25.2%19.4%38.8%4.9%-1.6%1.5M-24.1M-70.9K2.0979.88N/AN/A1,8703,91026,61010,380
2016-06-02$19.05$17.0029.8%8.1%25.9%14.3%29.9%4.6%5.8%1.5M-28.1M-70.4K1.6576.15N/AN/A2,3003,80026,77010,400
2016-06-03$18.88$17.0029.0%8.0%26.1%12.0%29.1%4.0%5.8%1.6M-27.1M-69.7K1.8778.65N/AN/A2,0403,82027,35010,470
2016-06-06$19.47$17.0029.8%7.9%27.7%14.1%31.0%3.9%5.6%1.5M-33.3M-66.6K2.4878.47N/AN/A1,5703,89027,36010,440
2016-06-07$19.36$17.0029.6%7.9%25.4%13.6%29.8%2.4%5.7%1.6M-32.7M-64.6K2.1178.24N/AN/A1,7803,75027,44010,590
2016-06-08$19.25$17.0028.2%8.1%25.3%10.0%30.2%2.2%6.5%1.6M-31.5M-65.1K2.1177.22N/AN/A1,7803,75027,60010,610
2016-06-09$19.25$17.0027.1%7.8%23.0%6.9%29.1%3.6%6.6%1.8M-31.9M-62.9K1.2880.19N/AN/A1,7802,27027,60010,590
2016-06-10$18.78$17.0029.1%8.3%24.9%12.3%30.9%4.3%5.3%1.7M-26.1M-62.9K1.2880.53N/AN/A1,7802,27027,60010,720
2016-06-13$18.64$17.0032.3%9.3%24.6%20.9%33.1%2.7%3.5%1.6M-24.5M-61.4K1.3479.01N/AN/A1,7402,34027,59010,720
2016-06-14$18.53$17.0033.2%9.5%24.8%23.3%34.9%4.5%2.7%1.6M-22.8M-59.7K1.3880.96N/AN/A1,8002,48027,59010,830
2016-06-15$18.53$17.0032.3%9.3%24.7%20.9%33.7%2.9%2.9%1.7M-23.2M-58.7K1.4182.11N/AN/A1,7602,48027,66010,890
2016-06-16$18.49$17.0030.4%8.7%24.4%15.8%31.5%4.0%5.3%1.7M-21.4M-57.0K1.2778.97N/AN/A2,2102,81027,66010,880
2016-06-17$17.85$17.0031.2%8.9%27.5%17.9%31.1%4.4%4.0%1.5M-14.7M-52.8K0.4581.62N/AN/A6,3002,83028,16011,180
2016-06-20$18.44$17.0029.1%8.3%29.7%12.3%32.8%3.9%9.4%2.0M-21.6M-55.4K0.3582.95N/AN/A6,5002,25029,9008,730
2016-06-21$18.26$17.0029.1%8.4%29.1%12.4%29.2%3.2%9.9%1.9M-18.4M-53.4K0.3579.13N/AN/A6,5002,26030,0909,060
2016-06-22$17.95$17.0030.4%8.7%27.0%15.9%34.5%2.4%9.1%1.7M-16.3M-52.9K0.3185.55N/AN/A6,5002,04030,0909,070
2016-06-23$18.26$17.0028.5%8.2%27.7%10.3%28.2%3.8%10.4%2.0M-18.5M-51.4K0.3184.41N/AN/A6,4701,98030,1009,090
2016-06-24$17.38$17.0036.6%10.5%32.4%32.2%34.0%3.7%5.5%1.3M-9.0M-42.0K0.3387.67N/AN/A6,7802,27030,2709,130
2016-06-27$16.76$17.0037.9%10.9%33.6%35.8%39.5%6.4%6.8%861.7K-1.5M-27.2K0.3381.30N/AN/A6,6002,20030,5909,330
2016-06-28$16.83$17.0034.9%10.0%33.3%27.5%35.2%4.3%9.2%1.0M-2.8M-30.5K0.3583.28N/AN/A6,6002,28030,8109,370
2016-06-29$17.49$17.0030.9%8.9%36.6%16.9%32.6%6.3%9.9%1.4M-6.4M-31.4K0.3186.55N/AN/A7,0902,23030,8109,390
2016-06-30$17.44$17.0030.2%8.7%35.7%14.9%33.1%2.3%11.0%1.4M-7.0M-33.3K0.3390.62N/AN/A7,0002,33031,3409,470