MSTR Options History — October 2016

In October 2016, MSTR traded between $16.40 and $19.53. ATM implied volatility averaged 36.9%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 11.7% (HV 20d: 25.2%). Max pain ranged from $17.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2016-10-31: Highest Volume — 9,230 contracts
  • 2016-10-12: Largest IV spike — 44.8% change
  • 2016-10-27: Highest IV Rank — 63.0%
  • 2016-10-27: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.36$16.40$19.53$16.40$19.53
Max Pain$17.17$17.00$17.50$17.00$17.50
ATM IV36.9%26.7%45.6%29.5%29.2%
Expected Move11.3%7.9%13.1%8.5%8.4%
HV 20d25.2%20.1%41.3%20.1%40.1%
HV 60d22.7%18.3%27.4%22.9%27.4%
IV Rank31.8%5.1%63.0%13.1%8.7%
IV Percentile53.7%1.2%89.7%23.4%22.6%
Term Structure-4.7%-10.1%12.8%11.6%-1.0%
VWIV42.0%28.8%50.8%33.7%30.6%
Skew 25d4.6%1.9%6.4%3.0%4.0%
Skew 10d11.1%2.8%24.5%7.4%6.8%
Call IV 25d38.9%28.2%46.4%29.8%28.5%
Put IV 25d43.4%30.6%51.4%32.9%32.5%
Bid-Ask Spread %59.1942.5587.9485.2679.57
Gamma HHI0.200.110.420.110.30
Net GEX114.5K4.3K324.3K16.8K324.3K
Net DEX-890.7K-5.2M1.1M685.1K-5.2M
Net VEX-11.2K-15.4K-8.9K-11.3K-15.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.711.710.910.78
Total Volume5,237.1433,4309,2304,4809,230
Total OI11,490.9525,44014,38011,93011,680

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$16.40$17.0029.5%8.5%20.1%13.1%33.7%3.0%11.6%16.8K685.1K-11.3K0.9185.26N/AN/A2,3402,1407,8804,050
2016-10-04$17.05$17.0027.7%7.9%24.6%8.1%29.3%2.7%12.8%138.6K-658.3K-12.8K0.8487.94N/AN/A2,4602,0607,9604,030
2016-10-05$17.09$17.0027.8%8.0%24.3%8.3%28.8%1.9%12.0%149.7K-751.9K-12.6K0.9886.94N/AN/A2,4502,4108,0804,020
2016-10-06$17.23$17.0027.6%11.3%24.5%7.8%42.7%4.8%-5.9%152.3K-872.8K-12.6K0.8745.90N/AN/A2,3902,0808,1104,330
2016-10-07$17.30$17.0026.7%11.4%24.5%5.3%43.0%4.6%-6.9%183.4K-1.2M-13.2K0.8948.92N/AN/A2,4602,2008,2304,330
2016-10-10$17.47$17.0028.2%11.9%24.6%9.4%45.1%5.8%-7.2%247.7K-1.7M-12.4K0.9149.03N/AN/A2,4302,2008,2204,360
2016-10-11$17.29$17.0028.3%11.8%24.1%5.1%45.0%5.6%-7.7%118.9K-813.8K-11.4K0.8351.58N/AN/A2,4402,0308,3604,480
2016-10-12$17.30$17.0041.0%11.8%23.8%41.4%44.7%5.7%-7.4%93.7K-713.7K-10.9K0.8053.44N/AN/A2,4902,0008,3804,480
2016-10-13$17.30$17.0041.4%11.9%23.8%42.3%44.4%4.3%-8.8%118.1K-889.5K-11.3K0.7848.54N/AN/A2,5702,0008,5304,470
2016-10-14$17.24$17.0041.2%11.8%22.7%41.7%43.3%5.1%-7.6%64.5K-517.6K-10.5K0.7552.41N/AN/A3,1002,3108,5704,480
2016-10-17$17.16$17.0043.0%12.3%22.8%47.1%44.1%4.0%-9.3%136.7K-708.4K-10.3K0.7442.55N/AN/A3,2002,3809,0704,470
2016-10-18$17.26$17.0041.9%12.0%22.4%44.0%44.6%4.1%-8.5%168.5K-901.1K-10.1K0.8045.38N/AN/A3,1602,5409,1704,490
2016-10-19$17.06$17.0042.8%12.3%22.8%46.5%43.8%4.1%-9.4%57.4K-92.0K-9.8K0.8353.32N/AN/A3,1602,6209,2304,660
2016-10-20$16.82$17.5043.3%12.4%22.9%47.7%47.6%4.0%-9.5%4.3K611.5K-9.6K0.9354.99N/AN/A3,1502,9309,2504,730
2016-10-21$16.85$17.5043.3%12.4%22.5%47.8%48.1%5.8%-10.1%24.2K1.1M-8.9K0.9254.08N/AN/A3,1602,9009,3105,070
2016-10-24$17.37$17.5044.1%12.6%25.1%50.2%44.9%4.9%-7.7%42.8K-551.0K-9.4K0.9755.44N/AN/A1,7401,6903,2702,170
2016-10-25$17.24$17.5045.2%13.0%24.8%53.4%46.6%4.3%-7.9%42.1K-493.3K-9.6K0.9761.94N/AN/A1,8301,7803,3502,330
2016-10-26$17.16$17.5045.2%12.9%24.6%61.7%50.8%4.8%-7.4%38.0K-399.8K-9.7K1.7162.83N/AN/A1,8803,2203,5502,430
2016-10-27$17.34$17.5045.6%13.1%22.5%63.0%50.0%6.4%-10.0%6.0K-213.0K-11.5K0.9155.14N/AN/A3,7503,4003,6904,090
2016-10-28$19.15$17.0031.1%8.9%41.3%15.2%31.3%6.0%-2.3%277.2K-4.4M-13.1K0.7167.73N/AN/A3,3302,3705,6204,330
2016-10-31$19.53$17.5029.2%8.4%40.1%8.7%30.6%4.0%-1.0%324.3K-5.2M-15.4K0.7879.57N/AN/A5,2004,0306,6805,000