MSTR Options History — February 2017

In February 2017, MSTR traded between $18.75 and $19.62. ATM implied volatility averaged 24.3%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.6% (HV 20d: 22.6%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 7.36.

Notable Days

  • 2017-02-02: Highest Volume — 20,250 contracts
  • 2017-02-02: Largest IV spike — 8.7% change
  • 2017-02-02: Highest IV Rank — 11.3%
  • 2017-02-08: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.22$18.75$19.62$19.62$19.21
Max Pain$19.21$19.00$20.00$20.00$19.00
ATM IV24.3%22.7%26.6%24.4%24.1%
Expected Move7.0%6.5%7.3%7.0%6.9%
HV 20d22.6%18.1%24.2%18.1%22.2%
HV 60d20.7%19.2%21.4%19.2%20.7%
IV Rank4.5%0.0%11.3%4.1%5.0%
IV Percentile4.8%0.0%10.7%4.0%5.2%
Term Structure0.2%-0.6%1.7%0.0%0.5%
VWIV26.8%24.7%28.9%28.9%26.6%
Skew 25d2.7%0.6%3.9%1.0%3.2%
Skew 10d6.7%-0.9%13.0%8.7%8.5%
Call IV 25d23.9%22.2%27.9%27.9%23.9%
Put IV 25d26.6%24.0%28.9%28.9%27.1%
Bid-Ask Spread %80.6771.3591.1078.8987.23
Gamma HHI0.210.120.420.320.13
Net GEX-66.3K-276.3K242.6K242.6K43.4K
Net DEX-1.7M-3.4M1.4M-1.1M-2.5M
Net VEX-17.3K-20.8K-12.0K-16.2K-14.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.361.1113.2711.591.39
Total Volume13,694.2112,30020,25018,1302,390
Total OI26,363.6848,08036,26030,4508,550

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$19.62$20.0024.4%7.0%18.1%4.1%28.9%1.0%0.0%242.6K-1.1M-16.2K11.5978.89N/AN/A1,44016,69016,14014,310
2017-02-02$19.13$20.0026.6%7.2%20.2%11.3%26.2%3.4%0.9%-159.7K1.4M-12.0K5.3571.35N/AN/A3,19017,06016,15014,740
2017-02-03$19.58$20.0024.3%7.1%21.5%3.7%28.7%3.3%0.6%69.2K-2.3M-18.7K13.2772.93N/AN/A1,34017,78018,13015,260
2017-02-06$18.99$20.0025.2%7.2%23.9%6.8%26.5%2.8%0.1%-169.2K-287.1K-18.9K11.1972.88N/AN/A1,54017,23018,28016,040
2017-02-07$18.80$19.0024.8%7.2%24.1%5.5%26.3%3.7%0.2%-179.9K-53.8K-19.9K12.9971.67N/AN/A1,36017,67018,84016,030
2017-02-08$18.75$19.0025.6%7.3%23.6%8.0%26.1%2.7%0.0%-276.3K479.2K-20.8K12.5673.20N/AN/A1,39017,46019,08016,550
2017-02-09$18.97$19.0024.5%7.0%24.2%4.5%25.9%3.1%0.2%-271.7K-276.3K-20.3K8.8274.16N/AN/A1,96017,29019,08016,560
2017-02-10$18.91$19.0024.5%7.0%24.2%4.6%25.7%2.7%0.1%-250.9K-597.1K-20.6K8.5775.71N/AN/A1,96016,80019,35016,570
2017-02-13$19.04$19.0024.9%7.1%23.5%6.1%27.1%3.1%-0.5%-224.9K-1.4M-19.3K8.4377.37N/AN/A1,98016,70019,35016,550
2017-02-14$19.30$19.0024.0%6.9%24.1%2.8%27.2%3.3%-0.0%-159.8K-2.4M-18.6K8.7080.18N/AN/A1,92016,71019,45016,520
2017-02-15$19.40$19.0024.0%6.9%24.0%2.7%27.1%2.3%0.5%-74.2K-3.3M-17.6K8.7381.97N/AN/A1,91016,67019,46016,630
2017-02-16$19.26$19.0022.7%6.5%23.3%0.0%27.1%2.4%0.6%-240.3K-2.2M-17.5K11.0285.88N/AN/A1,56017,19019,24016,730
2017-02-17$19.27$19.0022.7%6.5%22.6%0.0%26.5%2.9%1.7%72.2K-2.7M-16.8K10.9485.75N/AN/A1,58017,29019,24017,020
2017-02-21$19.55$19.0024.6%7.1%22.2%7.0%28.5%3.9%-0.5%75.4K-3.4M-15.8K1.1188.34N/AN/A1,1901,3204,5103,640
2017-02-22$19.45$19.0023.8%6.8%21.9%4.0%28.8%3.0%0.4%59.3K-2.9M-16.0K1.3587.89N/AN/A9801,3204,4503,640
2017-02-23$19.26$19.0023.8%6.8%22.1%4.0%26.3%0.6%-0.5%57.1K-2.8M-15.4K1.2987.33N/AN/A1,0501,3504,4503,630
2017-02-24$19.41$19.0023.1%6.6%22.2%1.7%24.7%3.7%-0.1%70.6K-3.0M-15.0K1.3088.98N/AN/A1,0701,3904,5403,670
2017-02-27$19.33$19.0023.9%6.8%22.1%4.4%24.8%1.2%-0.6%58.2K-2.9M-14.5K1.3091.10N/AN/A1,0701,3904,5703,960
2017-02-28$19.21$19.0024.1%6.9%22.2%5.0%26.6%3.2%0.5%43.4K-2.5M-14.8K1.3987.23N/AN/A1,0001,3904,5703,980