MSTR Options History — November 2016

In November 2016, MSTR traded between $18.93 and $19.81. ATM implied volatility averaged 28.2%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 8.3% (HV 20d: 36.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2016-11-18: Highest Volume — 9,080 contracts
  • 2016-11-28: Largest IV spike — 11.2% change
  • 2016-11-08: Highest IV Rank — 19.3%
  • 2016-11-02: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.44$18.93$19.81$19.54$19.38
Max Pain$19.76$17.50$20.00$17.50$20.00
ATM IV28.2%24.6%32.4%29.3%26.5%
Expected Move7.9%7.0%8.6%8.4%7.6%
HV 20d36.5%17.1%40.9%38.5%17.3%
HV 60d27.9%27.2%28.3%27.2%28.2%
IV Rank7.4%0.0%19.3%9.2%6.0%
IV Percentile16.6%0.0%55.6%24.2%1.6%
Term Structure-0.6%-2.9%0.9%-1.6%-0.5%
VWIV29.7%27.5%31.9%30.9%27.8%
Skew 25d3.7%1.2%5.4%4.5%2.1%
Skew 10d10.2%2.9%17.8%9.5%4.8%
Call IV 25d27.1%23.6%31.1%27.9%27.2%
Put IV 25d30.9%28.0%35.5%32.4%29.3%
Bid-Ask Spread %77.3159.0690.9774.9584.34
Gamma HHI0.280.230.380.240.27
Net GEX69.4K-452.9K467.3K227.7K-402.3K
Net DEX-1.9M-6.2M2.8M-3.6M2.0M
Net VEX-19.6K-23.1K-16.4K-20.2K-17.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.481.560.511.56
Total Volume7,144.7625,9809,0808,1306,660
Total OI14,016.1910,75016,24013,75011,500

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$19.54$17.5029.3%8.4%38.5%9.2%30.9%4.5%-1.6%227.7K-3.6M-20.2K0.5174.95N/AN/A5,3702,7606,9906,760
2016-11-02$19.27$17.5030.1%8.6%39.2%11.7%31.9%4.4%-2.9%194.9K-2.4M-23.1K0.5279.65N/AN/A5,2002,6807,3407,520
2016-11-03$18.93$20.0031.5%8.3%40.1%16.4%30.6%4.0%-0.0%185.9K-1.4M-22.5K0.5366.90N/AN/A5,2002,7507,4207,540
2016-11-04$19.03$20.0032.1%8.4%40.1%18.3%31.5%4.5%-0.3%202.0K-1.4M-21.7K0.5259.06N/AN/A5,2002,6907,4207,640
2016-11-07$19.16$20.0031.7%8.4%40.0%16.9%30.5%3.2%-1.4%236.0K-2.2M-21.4K0.5068.29N/AN/A5,3602,6907,4207,540
2016-11-08$19.05$20.0032.4%8.2%39.8%19.3%30.8%3.1%-0.8%247.7K-1.9M-21.7K0.5167.98N/AN/A5,2402,6907,6407,540
2016-11-09$19.23$20.0028.8%8.3%39.8%7.5%30.8%5.4%-1.4%258.7K-2.3M-20.4K0.4873.29N/AN/A5,4902,6407,6707,590
2016-11-10$19.34$20.0027.2%7.8%39.8%2.2%30.0%2.7%-0.4%357.0K-3.8M-20.9K0.4974.18N/AN/A5,5002,6808,1307,590
2016-11-11$19.68$20.0028.3%8.1%39.8%5.7%31.7%5.2%-1.1%363.5K-4.9M-20.3K0.4974.25N/AN/A5,5002,6808,1507,560
2016-11-14$19.25$20.0028.8%8.3%40.9%7.5%31.6%2.1%-0.9%380.3K-2.9M-18.9K0.5873.70N/AN/A3,9402,3008,1507,550
2016-11-15$19.37$20.0028.2%8.1%40.9%5.5%30.7%4.9%-0.4%467.3K-3.8M-19.0K0.5882.96N/AN/A3,9502,3008,4107,710
2016-11-16$19.66$20.0027.8%8.0%40.5%4.1%30.1%4.7%-0.4%436.0K-5.3M-18.3K0.6179.72N/AN/A3,7802,3008,5307,710
2016-11-17$19.76$20.0026.4%7.6%39.7%0.0%28.3%5.1%0.2%347.1K-6.0M-17.4K0.6179.72N/AN/A3,9102,4008,5307,710
2016-11-18$19.66$20.0027.2%7.8%40.0%2.5%28.0%3.3%-0.2%-125.0K-6.2M-16.4K1.5578.95N/AN/A3,5605,5208,3707,780
2016-11-21$19.64$20.0026.9%7.7%39.1%1.5%28.4%3.2%-0.1%-452.9K2.8M-21.8K1.5383.26N/AN/A2,4003,6804,1907,700
2016-11-22$19.81$20.0024.6%7.0%38.8%0.0%27.5%3.1%0.9%-275.0K498.2K-18.5K1.4380.84N/AN/A2,5203,6004,3306,420
2016-11-23$19.75$20.0025.3%7.2%38.7%2.1%27.8%2.5%0.6%-257.8K533.9K-18.3K1.3985.72N/AN/A2,5203,5104,3806,540
2016-11-25$19.79$20.0024.8%7.1%38.8%0.9%27.5%5.3%0.6%-272.4K450.2K-18.2K1.4290.97N/AN/A2,4703,5104,3806,550
2016-11-28$19.44$20.0027.6%7.9%18.4%9.5%28.5%3.9%-1.7%-321.0K1.5M-17.0K1.5280.56N/AN/A2,5603,8804,4006,550
2016-11-29$19.51$20.0027.3%7.8%17.1%8.6%28.8%1.2%-0.7%-341.2K1.5M-17.9K1.5284.14N/AN/A2,5603,8904,4907,000
2016-11-30$19.38$20.0026.5%7.6%17.3%6.0%27.8%2.1%-0.5%-402.3K2.0M-17.3K1.5684.34N/AN/A2,6004,0604,5007,000