MSTR Options History — December 2016

In December 2016, MSTR traded between $19.12 and $20.37. ATM implied volatility averaged 25.7%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 6.8% (HV 20d: 19.0%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2016-12-30: Highest Volume — 7,830 contracts
  • 2016-12-12: Largest IV spike — 21.1% change
  • 2016-12-12: Highest IV Rank — 19.0%
  • 2016-12-01: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.90$19.12$20.37$19.12$19.67
Max Pain$18.76$18.00$20.00$20.00$19.50
ATM IV25.7%23.2%30.7%28.5%24.4%
Expected Move7.2%6.7%8.2%8.2%7.0%
HV 20d19.0%14.6%24.0%17.3%23.6%
HV 60d28.5%27.9%29.2%28.4%28.1%
IV Rank5.1%0.0%19.0%12.2%3.6%
IV Percentile7.9%0.0%44.4%19.4%3.2%
Term Structure8.0%-1.7%13.6%-1.7%12.9%
VWIV25.2%23.0%29.7%29.0%24.7%
Skew 25d3.6%1.9%6.6%4.0%2.0%
Skew 10d6.7%-1.5%19.3%18.7%5.8%
Call IV 25d23.3%20.8%28.0%28.0%23.5%
Put IV 25d26.9%24.6%33.2%32.0%25.5%
Bid-Ask Spread %87.7383.2991.8385.4790.18
Gamma HHI0.300.120.890.270.22
Net GEX-333.4K-2.3M122.6K-405.8K122.6K
Net DEX-1.2M-2.9M2.8M2.8M-2.9M
Net VEX-14.0K-18.8K-11.3K-16.9K-18.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.341.651.600.34
Total Volume5,467.1434,0407,8306,8207,830
Total OI10,804.2867,51014,93011,55012,380

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$19.12$20.0028.5%8.2%17.3%12.2%29.0%4.0%-1.7%-405.8K2.8M-16.9K1.6085.47N/AN/A2,6204,2004,5407,010
2016-12-02$19.23$20.0028.1%8.1%16.1%11.1%29.7%6.6%-1.5%-411.1K2.7M-18.3K1.0786.20N/AN/A2,5902,7804,6407,130
2016-12-05$19.51$18.0029.5%7.6%16.8%15.4%27.1%3.8%6.2%-440.4K1.7M-17.4K1.1384.53N/AN/A2,4602,7804,6407,310
2016-12-06$19.82$18.0026.4%7.3%17.4%5.7%25.6%4.3%6.4%-448.9K574.7K-16.9K1.0886.26N/AN/A2,5702,7804,6807,310
2016-12-07$19.88$18.0026.9%7.2%17.2%7.2%25.2%4.2%6.1%-445.6K-529-16.2K1.1184.30N/AN/A2,5002,7804,6807,310
2016-12-08$20.12$18.0026.3%7.3%17.4%5.3%24.9%4.5%6.2%-393.9K-1.2M-14.9K1.0783.29N/AN/A2,5702,7404,6707,310
2016-12-09$20.02$18.0025.3%7.3%17.5%2.4%25.0%4.2%5.9%-428.2K-1.1M-15.0K1.0587.46N/AN/A2,6102,7405,0607,330
2016-12-12$20.15$18.0030.7%7.4%16.6%19.0%25.5%4.1%6.5%-367.5K-1.8M-13.3K1.1286.32N/AN/A2,5702,8705,0707,330
2016-12-13$20.37$18.5029.5%7.4%14.6%15.5%26.3%3.8%6.3%-203.9K-2.7M-13.2K1.1683.86N/AN/A2,4802,8705,0707,480
2016-12-14$19.90$18.5024.6%7.0%17.3%0.1%25.5%2.4%7.0%-581.4K-1.1M-12.4K1.6287.04N/AN/A2,8404,6105,1007,480
2016-12-15$20.23$18.5024.4%7.0%17.5%0.0%23.9%4.0%6.4%-977.9K-2.3M-13.4K1.6588.37N/AN/A2,7904,6105,5309,400
2016-12-16$20.00$18.5023.9%6.9%18.0%0.0%24.5%4.1%6.2%-2.3M-2.0M-12.2K1.1288.03N/AN/A2,5402,8405,5308,000
2016-12-19$20.30$18.5024.2%6.9%18.5%0.7%23.0%4.1%9.6%83.8K-2.8M-11.3K0.8190.35N/AN/A2,3401,8904,5103,000
2016-12-20$20.35$18.5024.0%6.9%18.5%0.1%23.5%2.5%11.4%89.4K-2.9M-11.3K0.7791.21N/AN/A2,3901,8304,5103,010
2016-12-21$20.09$18.5023.9%6.8%19.0%0.0%24.5%2.8%11.7%69.4K-2.7M-11.5K0.7489.29N/AN/A2,4301,7904,6103,130
2016-12-22$19.56$19.0025.1%7.2%21.4%3.7%25.8%2.0%10.5%42.3K-1.8M-12.7K0.9387.93N/AN/A2,3602,2004,7203,240
2016-12-23$20.05$19.5023.2%6.7%23.2%0.0%23.1%4.3%12.5%4.0K-2.2M-12.5K0.9289.67N/AN/A2,1501,9704,7203,760
2016-12-27$20.13$19.5024.2%6.9%22.2%2.9%25.1%3.4%12.8%1.4K-2.3M-12.0K0.9691.83N/AN/A2,0601,9804,7603,780
2016-12-28$19.66$19.5024.1%6.9%23.9%2.7%24.0%1.9%13.1%-29.2K-1.7M-12.0K0.9689.84N/AN/A2,0601,9804,7703,800
2016-12-29$19.83$19.5023.3%6.7%24.0%0.2%24.1%2.6%13.6%-19.8K-2.0M-11.8K0.3490.98N/AN/A5,8201,9904,7703,810
2016-12-30$19.67$19.5024.4%7.0%23.6%3.6%24.7%2.0%12.9%122.6K-2.9M-18.8K0.3490.18N/AN/A5,8401,9908,5603,820