MSTR Options History — January 2017

In January 2017, MSTR traded between $19.74 and $20.54. ATM implied volatility averaged 37.4%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 16.7% (HV 20d: 20.6%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.37.

Notable Days

  • 2017-01-31: Highest Volume — 17,760 contracts
  • 2017-01-11: Largest IV spike — 57.6% change
  • 2017-01-31: Highest IV Rank — 91.0%
  • 2017-01-31: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.08$19.74$20.54$19.79$20.10
Max Pain$18.98$17.00$20.00$19.50$20.00
ATM IV37.4%24.3%50.0%25.3%50.0%
Expected Move11.5%7.3%14.3%7.3%14.3%
HV 20d20.6%16.0%23.6%23.6%16.0%
HV 60d26.2%18.9%28.2%28.1%18.9%
IV Rank43.7%3.1%91.0%6.2%91.0%
IV Percentile60.9%3.2%98.4%6.0%98.4%
Term Structure-6.7%-13.2%12.5%12.4%-13.2%
VWIV40.1%25.5%55.5%27.6%55.5%
Skew 25d5.6%3.9%8.3%3.9%7.4%
Skew 10d12.3%1.6%17.7%15.7%11.8%
Call IV 25d37.2%22.5%45.7%23.9%45.7%
Put IV 25d42.7%26.4%53.1%27.7%53.1%
Bid-Ask Spread %63.3344.9595.4191.5044.95
Gamma HHI0.350.220.500.220.43
Net GEX462.0K140.3K666.0K146.6K583.3K
Net DEX-5.6M-7.9M-3.5M-3.5M-4.7M
Net VEX-24.7K-28.7K-17.9K-19.0K-27.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.187.710.267.71
Total Volume5,160.51,80017,7607,31017,760
Total OI17,94012,48020,85012,48020,850

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$19.79$19.5025.3%7.3%23.6%6.2%27.6%3.9%12.4%146.6K-3.5M-19.0K0.2691.50N/AN/A5,8001,5108,6603,820
2017-01-04$19.74$19.5026.2%7.5%23.1%8.9%25.5%4.0%12.5%140.3K-3.6M-19.4K0.5195.41N/AN/A2,8101,4308,7103,830
2017-01-05$20.00$17.0024.3%10.6%22.9%3.1%34.8%4.9%-6.4%167.1K-4.0M-17.9K0.1851.99N/AN/A8,3001,4708,7103,830
2017-01-06$19.95$17.0024.4%10.7%22.9%3.6%35.7%5.4%-6.4%429.6K-6.4M-28.7K0.3158.19N/AN/A5,0401,55015,1303,850
2017-01-09$19.88$17.0024.3%11.0%22.5%3.2%36.9%4.5%-8.3%379.6K-6.0M-26.8K0.3163.25N/AN/A5,0401,58015,1703,850
2017-01-10$20.07$17.0024.5%10.7%22.7%3.7%36.4%7.8%-6.6%445.8K-6.4M-26.0K0.7160.31N/AN/A2,2301,59015,1703,880
2017-01-11$20.08$17.0038.6%11.1%22.6%45.8%37.8%6.4%-7.3%460.7K-6.7M-25.7K0.7557.37N/AN/A2,2201,67015,2703,880
2017-01-12$20.02$18.5038.7%11.1%22.2%46.3%38.5%6.6%-7.9%407.9K-6.3M-25.5K0.7956.38N/AN/A2,2401,77015,2604,020
2017-01-13$20.33$18.5039.7%11.4%21.2%49.2%39.4%7.2%-8.3%552.3K-7.6M-26.8K0.8564.43N/AN/A2,0901,77015,3104,120
2017-01-17$20.14$18.5041.9%12.0%20.6%55.7%42.0%4.6%-10.5%506.5K-7.2M-24.3K0.7459.98N/AN/A2,2401,65015,3204,120
2017-01-18$20.28$20.0041.0%11.8%20.3%53.2%37.6%8.3%-10.0%549.2K-7.5M-24.2K0.5861.51N/AN/A2,8501,66015,4504,140
2017-01-19$19.90$20.0041.9%12.0%20.7%55.9%41.7%4.2%-10.4%456.2K-6.3M-22.9K0.6562.60N/AN/A2,8501,84016,1904,140
2017-01-20$20.18$20.0042.9%12.3%21.4%58.7%41.2%4.8%-11.4%559.8K-7.9M-24.7K0.6367.35N/AN/A2,9401,85016,1904,330
2017-01-23$20.54$20.0042.1%12.1%21.8%56.3%45.4%7.4%-8.5%666.0K-5.4M-23.4K1.4763.13N/AN/A7301,07012,5901,450
2017-01-24$20.28$20.0044.7%12.8%19.9%64.2%46.8%4.0%-9.6%596.8K-5.6M-24.8K3.9462.68N/AN/A6902,72012,9001,560
2017-01-25$20.32$20.0043.2%12.4%17.9%59.6%40.3%6.2%-8.2%534.5K-4.6M-25.4K0.6957.96N/AN/A3,2002,21012,9103,360
2017-01-26$20.15$20.0042.8%12.3%18.2%59.7%43.9%4.8%-7.5%609.6K-4.8M-28.3K1.7356.56N/AN/A8301,44015,3604,640
2017-01-27$19.97$20.0044.3%12.7%16.3%71.5%46.3%4.5%-9.5%542.6K-4.0M-26.5K2.4064.06N/AN/A6801,63015,4004,900
2017-01-30$19.94$20.0046.4%13.3%16.0%78.8%48.0%4.4%-9.7%505.8K-3.6M-25.5K2.2366.99N/AN/A7001,56015,4205,110
2017-01-31$20.10$20.0050.0%14.3%16.0%91.0%55.5%7.4%-13.2%583.3K-4.7M-27.5K7.7144.95N/AN/A2,04015,72015,6905,160