MSTR Options History — September 2016

In September 2016, MSTR traded between $16.46 and $17.28. ATM implied volatility averaged 30.2%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 15.8% (HV 20d: 14.4%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2016-09-30: Highest Volume — 6,310 contracts
  • 2016-09-13: Largest IV spike — 31.8% change
  • 2016-09-13: Highest IV Rank — 57.4%
  • 2016-09-14: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.91$16.46$17.28$16.70$16.76
Max Pain$17.00$17.00$17.00$17.00$17.00
ATM IV30.2%26.9%45.9%27.7%28.8%
Expected Move8.3%7.7%9.0%7.9%8.3%
HV 20d14.4%11.9%19.3%12.5%19.3%
HV 60d25.8%22.5%28.5%28.3%23.4%
IV Rank14.9%5.9%57.4%8.0%11.2%
IV Percentile23.3%1.6%89.7%3.2%15.9%
Term Structure7.2%1.3%11.5%1.5%11.5%
VWIV31.2%27.1%36.9%27.4%36.9%
Skew 25d3.5%1.8%5.1%2.0%3.8%
Skew 10d7.5%-1.0%21.3%11.2%11.8%
Call IV 25d28.9%26.6%32.8%28.7%29.7%
Put IV 25d32.4%29.9%34.6%30.7%33.5%
Bid-Ask Spread %82.6074.3191.5591.5588.60
Gamma HHI0.190.130.740.150.14
Net GEX61.0K-1.1M184.6K50.3K80.4K
Net DEX-764.9K-1.9M621.1K-528.4K-8.3K
Net VEX-14.7K-16.1K-12.5K-15.7K-12.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.451.130.760.49
Total Volume4,8003,5106,3103,9306,310
Total OI11,217.1439,05012,13010,76011,860

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$16.70$17.0027.7%7.9%12.5%8.0%27.4%2.0%1.5%50.3K-528.4K-15.7K0.7691.55N/AN/A2,2301,7005,5505,210
2016-09-02$16.94$17.0026.9%7.7%12.9%5.9%27.1%4.5%1.3%89.2K-1.1M-15.6K0.7891.22N/AN/A2,2501,7505,5505,210
2016-09-06$17.04$17.0028.9%8.1%11.9%11.5%28.5%4.3%5.6%106.2K-1.2M-15.1K0.8477.79N/AN/A2,2501,9005,6205,240
2016-09-07$17.21$17.0029.1%8.1%12.2%12.0%29.2%4.1%5.9%148.3K-1.8M-14.6K0.9077.28N/AN/A2,2702,0405,6205,110
2016-09-08$17.23$17.0029.4%8.2%12.2%12.7%28.4%4.3%6.0%153.9K-1.9M-15.0K0.8574.31N/AN/A2,3101,9705,8405,290
2016-09-09$17.16$17.0031.4%8.7%12.4%18.3%29.3%3.9%5.1%156.6K-1.9M-15.5K0.8880.52N/AN/A2,2401,9705,9305,390
2016-09-12$17.28$17.0034.8%8.7%12.2%27.3%31.1%5.1%3.5%184.6K-1.8M-15.0K1.1377.87N/AN/A1,8402,0706,0305,560
2016-09-13$17.00$17.0045.9%8.6%13.6%57.4%31.7%3.4%5.6%133.1K-1.2M-16.1K1.1078.99N/AN/A1,8402,0206,2205,760
2016-09-14$16.82$17.0031.3%9.0%13.9%17.8%31.6%1.8%4.2%92.2K-580.5K-15.7K1.0482.07N/AN/A1,8401,9106,1905,810
2016-09-15$16.80$17.0029.5%8.5%13.5%13.1%30.1%3.7%5.8%130.3K-432.4K-15.0K1.0983.53N/AN/A1,8502,0206,1905,820
2016-09-16$16.50$17.0031.0%8.9%14.8%17.0%30.5%3.1%4.2%-1.1M621.1K-13.7K1.0479.48N/AN/A1,9402,0206,2105,920
2016-09-19$16.46$17.0030.7%8.8%14.5%16.1%32.4%2.5%9.0%33.7K249.7K-13.5K1.1179.87N/AN/A1,6601,8505,2903,760
2016-09-20$16.69$17.0030.4%8.7%15.4%15.4%30.2%3.6%8.8%42.7K99.2K-13.3K0.5377.59N/AN/A3,6501,9305,3003,860
2016-09-21$16.80$17.0028.2%8.1%15.1%9.4%32.3%2.4%9.3%117.7K-516.9K-15.5K0.5485.63N/AN/A3,6501,9707,1803,910
2016-09-22$17.01$17.0027.1%7.8%15.0%6.3%27.9%2.3%9.8%150.4K-937.1K-16.1K0.5482.69N/AN/A3,6101,9607,1803,950
2016-09-23$17.20$17.0027.6%7.9%15.2%7.8%30.5%4.0%10.0%176.0K-1.2M-15.7K0.5585.10N/AN/A3,5401,9307,2403,950
2016-09-26$17.10$17.0028.8%8.2%15.3%11.0%35.2%4.0%10.0%160.7K-931.0K-14.8K0.4585.45N/AN/A4,2301,9007,2603,970
2016-09-27$16.88$17.0029.6%8.5%15.7%13.2%35.5%3.8%11.2%116.9K-408.7K-14.1K0.4585.67N/AN/A4,2301,9107,8803,980
2016-09-28$17.05$17.0027.6%7.9%15.9%7.9%32.9%3.9%11.3%128.1K-596.5K-13.7K0.4584.79N/AN/A4,2301,8907,8803,990
2016-09-29$16.59$17.0029.4%8.4%18.9%12.8%35.6%2.7%11.2%81.2K-61.6K-13.4K0.4584.55N/AN/A4,2301,8907,8803,970
2016-09-30$16.76$17.0028.8%8.3%19.3%11.2%36.9%3.8%11.5%80.4K-8.3K-12.5K0.4988.60N/AN/A4,2302,0807,8803,980