MSTR Options History — July 2016

In July 2016, MSTR traded between $17.22 and $19.06. ATM implied volatility averaged 39.8%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 6.9% (HV 20d: 32.9%). Max pain ranged from $17.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2016-07-15: Highest Volume — 29,730 contracts
  • 2016-07-29: Largest IV drop — 42.5% change
  • 2016-07-28: Highest IV Rank — 64.3%
  • 2016-07-28: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.16$17.22$19.06$17.22$17.48
Max Pain$17.13$17.00$17.50$17.00$17.50
ATM IV39.8%27.8%48.4%32.0%27.8%
Expected Move12.2%8.0%13.9%9.2%8.0%
HV 20d32.9%24.1%36.3%35.8%32.3%
HV 60d30.2%29.0%31.4%30.2%31.4%
IV Rank40.9%8.5%64.3%19.8%8.5%
IV Percentile68.3%4.8%93.7%39.7%4.8%
Term Structure-5.0%-9.0%8.3%8.3%1.4%
VWIV44.7%30.2%56.3%34.4%30.2%
Skew 25d3.5%1.4%6.1%3.8%4.2%
Skew 10d8.2%0.7%17.4%10.7%6.4%
Call IV 25d42.9%27.5%47.8%30.4%27.5%
Put IV 25d46.4%31.7%52.7%34.2%31.7%
Bid-Ask Spread %58.9244.5486.1986.1968.92
Gamma HHI0.280.200.380.260.24
Net GEX734.8K103.7K1.5M1.4M247.5K
Net DEX-8.7M-22.3M-1.7M-6.1M-1.7M
Net VEX-22.5K-33.4K-12.1K-33.4K-23.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.104.140.102.10
Total Volume14,680.55,61029,73025,2807,800
Total OI24,321.58,94041,00041,00019,850

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$17.22$17.0032.0%9.2%35.8%19.8%34.4%3.8%8.3%1.4M-6.1M-33.4K0.1086.19N/AN/A22,9302,35031,3509,650
2016-07-05$17.28$17.0034.3%12.0%33.4%26.1%42.4%3.4%-4.7%1.1M-5.7M-26.4K0.1351.48N/AN/A18,7702,37025,3609,670
2016-07-06$17.32$17.0034.3%12.0%33.6%25.9%42.0%2.7%-5.2%1.1M-4.7M-24.4K0.1258.20N/AN/A19,3002,35025,5009,780
2016-07-07$17.36$17.0033.1%12.2%33.7%22.8%43.0%4.4%-5.2%1.1M-5.6M-23.4K0.1257.25N/AN/A19,3002,41025,9709,910
2016-07-08$17.89$17.0029.4%12.0%35.9%12.8%42.5%2.8%-5.1%1.4M-10.6M-23.4K0.1344.54N/AN/A19,5902,51025,97010,000
2016-07-11$18.06$17.0033.1%12.3%35.3%22.6%44.0%4.0%-6.6%1.5M-13.4M-21.3K0.1249.85N/AN/A19,2302,32026,22010,270
2016-07-12$18.17$17.0032.3%12.2%35.4%20.6%44.0%5.1%-5.9%1.5M-15.7M-18.9K0.1452.59N/AN/A19,2302,61026,31010,330
2016-07-13$18.21$17.0043.5%12.5%35.3%50.9%45.0%2.9%-6.9%1.4M-15.4M-17.3K0.1459.00N/AN/A19,2302,72026,32010,710
2016-07-14$18.23$17.0043.1%12.4%35.3%49.9%45.9%2.7%-5.8%1.4M-15.5M-15.0K0.1460.46N/AN/A19,2302,72026,32010,610
2016-07-15$18.66$17.0042.4%12.2%36.3%48.0%44.2%3.1%-4.9%103.7K-22.3M-12.1K0.1061.35N/AN/A27,0002,73026,32010,610
2016-07-18$18.69$17.0044.3%12.7%33.8%53.1%45.3%2.9%-5.7%269.6K-6.7M-20.9K0.3159.17N/AN/A4,4501,4006,7702,170
2016-07-19$18.68$17.0044.0%12.6%31.9%52.4%44.7%1.7%-5.2%283.4K-6.8M-21.5K0.3148.88N/AN/A4,6001,4406,9502,350
2016-07-20$19.06$17.0044.2%12.7%32.4%52.9%47.2%4.2%-5.0%279.0K-7.4M-21.8K0.3262.63N/AN/A4,4901,4507,1002,490
2016-07-21$18.36$17.0045.0%12.9%34.7%55.1%45.3%1.4%-5.3%283.2K-6.0M-21.5K0.3560.67N/AN/A4,6701,6207,1102,510
2016-07-22$18.76$17.0045.1%12.9%35.0%55.4%46.7%5.3%-6.7%286.5K-6.9M-21.8K0.6061.74N/AN/A3,5002,1107,2102,790
2016-07-25$18.46$17.5047.1%13.5%30.4%60.8%49.5%3.1%-7.5%267.2K-6.0M-22.0K1.4060.87N/AN/A2,5303,5307,2303,290
2016-07-26$18.50$17.5045.6%13.1%26.5%56.6%51.0%3.1%-7.1%265.2K-5.8M-26.4K1.2862.06N/AN/A2,7403,5008,4704,940
2016-07-27$18.32$17.5046.7%13.4%27.1%59.6%51.2%3.6%-8.6%259.4K-5.0M-26.7K1.2265.38N/AN/A2,9703,6308,6904,960
2016-07-28$18.52$17.5048.4%13.9%24.1%64.3%56.3%6.1%-9.0%289.3K-6.1M-27.6K4.1447.15N/AN/A1,6106,6709,2105,160
2016-07-29$17.48$17.5027.8%8.0%32.3%8.5%30.2%4.2%1.4%247.5K-1.7M-23.2K2.1068.92N/AN/A2,5205,2809,59010,260