MSTR Options History — August 2016

In August 2016, MSTR traded between $16.40 and $17.17. ATM implied volatility averaged 28.7%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 1.3% (HV 20d: 27.4%). Max pain ranged from $17.00 to $17.50. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.03.

Notable Days

2016-08-01: Highest Volume — 7,780 contracts
2016-08-23: Largest IV drop — 7.9% change
2016-08-02: Highest IV Rank — 18.5%
2016-08-02: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.65	$16.40	$17.17	$17.17	$16.69
Max Pain	$17.07	$17.00	$17.50	$17.50	$17.00
ATM IV	28.7%	26.6%	31.5%	30.6%	28.6%
Expected Move	8.2%	7.6%	9.0%	8.8%	8.2%
HV 20d	27.4%	13.2%	34.0%	32.6%	13.2%
HV 60d	30.1%	28.3%	31.8%	31.6%	28.3%
IV Rank	10.9%	5.0%	18.5%	15.9%	10.5%
IV Percentile	10.7%	0.4%	32.1%	21.8%	11.9%
Term Structure	0.8%	-1.3%	1.9%	0.1%	0.3%
VWIV	29.3%	27.9%	32.1%	31.8%	28.2%
Skew 25d	3.1%	-0.5%	5.5%	3.4%	2.6%
Skew 10d	5.5%	-3.7%	16.5%	9.5%	3.9%
Call IV 25d	28.4%	26.8%	30.5%	30.0%	28.0%
Put IV 25d	31.4%	28.7%	34.4%	33.4%	30.6%
Bid-Ask Spread %	79.14	68.30	90.17	73.99	90.17
Gamma HHI	0.18	0.13	0.41	0.19	0.13
Net GEX	-55.9K	-434.7K	144.5K	144.5K	-24.5K
Net DEX	1.3M	-620.4K	2.9M	-119.5K	-91.5K
Net VEX	-17.8K	-24.7K	-15.0K	-24.7K	-15.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.00	2.18	2.18	0.98
Total Volume	4,435.217	10	7,780	7,780	3,430
Total OI	18,840	9,070	24,680	22,990	10,240

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-08-01	$17.17	$17.50	30.6%	8.8%	32.6%	15.9%	31.8%	3.4%	0.1%	144.5K	-119.5K	-24.7K	2.18	73.99	N/A	N/A	2,450	5,330	10,670	12,320
2016-08-02	$16.73	$17.50	31.5%	9.0%	33.8%	18.5%	30.1%	3.9%	-1.3%	37.5K	1.6M	-23.0K	1.71	77.36	N/A	N/A	2,440	4,180	10,760	12,440
2016-08-03	$16.64	$17.50	30.9%	8.9%	33.8%	16.9%	32.1%	3.3%	-1.1%	930	1.9M	-21.3K	0.99	79.82	N/A	N/A	2,760	2,730	10,660	12,220
2016-08-04	$16.45	$17.00	29.7%	8.4%	34.0%	13.5%	29.6%	3.3%	-0.2%	-23.2K	2.4M	-20.9K	1.03	68.64	N/A	N/A	2,630	2,700	11,070	12,160
2016-08-05	$16.63	$17.00	28.3%	8.3%	32.1%	9.7%	29.2%	3.3%	0.8%	30.1K	1.4M	-21.3K	1.04	68.30	N/A	N/A	2,600	2,700	11,080	12,150
2016-08-08	$16.41	$17.00	30.4%	8.3%	31.8%	15.5%	29.6%	3.6%	0.8%	-67.6K	2.7M	-18.9K	1.08	70.42	N/A	N/A	2,510	2,700	11,060	12,150
2016-08-09	$16.49	$17.00	29.1%	8.3%	31.8%	12.0%	29.6%	5.5%	0.6%	-68.8K	2.7M	-18.4K	1.14	78.00	N/A	N/A	2,510	2,870	11,070	12,340
2016-08-10	$16.57	$17.00	28.5%	8.2%	31.9%	10.3%	29.4%	3.6%	1.0%	-84.9K	2.6M	-18.6K	1.09	72.86	N/A	N/A	2,510	2,730	11,070	12,600
2016-08-11	$16.63	$17.00	28.6%	8.2%	32.0%	10.5%	28.9%	4.2%	0.8%	-94.0K	2.7M	-17.9K	0.97	72.40	N/A	N/A	2,980	2,890	11,070	12,610
2016-08-12	$16.53	$17.00	28.4%	8.1%	30.2%	10.0%	29.0%	4.3%	1.6%	-105.8K	2.9M	-17.9K	0.96	72.04	N/A	N/A	3,090	2,980	11,500	12,840
2016-08-15	$16.67	$17.00	28.8%	8.3%	30.6%	11.1%	29.2%	3.7%	1.2%	-57.1K	2.4M	-17.4K	0.94	76.85	N/A	N/A	3,140	2,950	11,630	12,960
2016-08-16	$16.54	$17.00	28.9%	8.3%	30.5%	11.3%	29.1%	3.8%	0.8%	-194.3K	2.9M	-16.8K	0.87	70.33	N/A	N/A	3,170	2,750	11,680	13,000
2016-08-17	$16.40	$17.00	27.8%	8.0%	28.9%	8.4%	0.0%	2.4%	1.9%	-350.5K	2.9M	-15.8K	0.00	82.77	N/A	N/A	0	130	11,710	12,600
2016-08-18	$16.56	$17.00	27.7%	7.9%	27.2%	8.0%	29.0%	3.8%	1.5%	-434.7K	2.2M	-15.7K	0.00	86.85	N/A	N/A	0	130	11,710	12,630
2016-08-19	$16.67	$17.00	27.3%	7.8%	25.7%	7.1%	28.3%	3.1%	1.6%	7.3K	36.5K	-15.2K	0.64	78.33	N/A	N/A	3,360	2,160	11,710	11,960
2016-08-22	$16.70	$17.00	29.0%	8.3%	25.6%	11.6%	29.4%	2.6%	-0.1%	15.1K	-177.5K	-15.4K	0.97	82.90	N/A	N/A	1,980	1,930	4,680	4,390
2016-08-23	$16.89	$17.00	26.7%	7.7%	26.1%	5.4%	27.9%	1.8%	1.9%	25.0K	-620.4K	-16.2K	1.02	84.52	N/A	N/A	1,890	1,920	4,770	4,800
2016-08-24	$16.68	$17.00	28.1%	8.0%	26.2%	9.0%	0.0%	2.1%	0.4%	-6.9K	-176.1K	-16.3K	0.00	87.09	N/A	N/A	10	0	4,780	4,880
2016-08-25	$16.81	$17.00	26.6%	7.6%	26.0%	5.0%	29.4%	-0.5%	1.8%	8.0K	-354.4K	-16.0K	1.03	84.60	N/A	N/A	1,880	1,930	4,790	4,920
2016-08-26	$16.73	$17.00	28.4%	8.1%	16.9%	10.0%	28.9%	2.3%	1.5%	-5.8K	-280.1K	-15.4K	1.05	87.18	N/A	N/A	1,880	1,970	4,790	4,940
2016-08-29	$16.60	$17.00	28.7%	8.2%	16.0%	10.9%	28.0%	1.5%	1.5%	-11.4K	-104.1K	-15.2K	1.03	87.66	N/A	N/A	1,760	1,810	4,790	4,990
2016-08-30	$16.70	$17.00	28.5%	8.2%	13.4%	10.3%	28.9%	2.8%	0.9%	-23.2K	33.7K	-15.3K	1.02	87.09	N/A	N/A	1,750	1,790	4,920	5,210
2016-08-31	$16.69	$17.00	28.6%	8.2%	13.2%	10.5%	28.2%	2.6%	0.3%	-24.5K	-91.5K	-15.0K	0.98	90.17	N/A	N/A	1,730	1,700	5,030	5,210