MSTR Options History — March 2017

In March 2017, MSTR traded between $18.59 and $19.33. ATM implied volatility averaged 22.7%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.5% (HV 20d: 16.2%). Max pain ranged from $17.50 to $19.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 2.06.

Notable Days

  • 2017-03-03: Highest Volume — 7,970 contracts
  • 2017-03-13: Largest IV spike — 16.2% change
  • 2017-03-13: Highest IV Rank — 14.9%
  • 2017-03-07: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.88$18.59$19.33$19.25$18.78
Max Pain$17.87$17.50$19.00$19.00$18.00
ATM IV22.7%20.9%26.2%23.4%20.9%
Expected Move6.4%6.0%7.0%6.7%6.0%
HV 20d16.2%12.8%21.9%21.9%16.5%
HV 60d19.6%18.2%20.7%20.5%18.2%
IV Rank3.7%0.0%14.9%2.9%0.0%
IV Percentile3.2%0.0%19.0%2.0%0.0%
Term Structure7.8%-0.3%13.4%-0.3%12.9%
VWIV23.9%20.8%26.2%26.2%22.0%
Skew 25d2.9%2.0%4.1%2.0%2.0%
Skew 10d8.0%0.9%17.7%2.7%7.9%
Call IV 25d21.8%19.6%23.7%23.6%20.9%
Put IV 25d24.7%22.9%25.9%25.5%22.9%
Bid-Ask Spread %86.7174.4093.8792.4893.87
Gamma HHI0.250.140.330.140.25
Net GEX142.3K-115.0K477.2K54.5K269.7K
Net DEX-2.2M-4.6M-780.6K-2.9M-2.0M
Net VEX-19.1K-25.1K-13.8K-13.8K-14.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.060.323.891.401.91
Total Volume3,3701,8507,9702,4002,710
Total OI12,840.4358,50015,0308,50012,750

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$19.25$19.0023.4%6.7%21.9%2.9%26.2%2.0%-0.3%54.5K-2.9M-13.8K1.4092.48N/AN/A1,0001,4004,5803,920
2017-03-02$19.07$19.0023.9%6.8%20.5%4.3%23.9%2.2%0.1%34.0K-2.3M-14.1K1.8789.84N/AN/A1,0101,8904,5803,940
2017-03-03$19.00$19.0022.8%6.5%18.5%0.5%23.4%2.0%0.9%-56.7K-1.6M-14.9K0.3292.04N/AN/A6,0401,9304,6904,490
2017-03-06$18.82$17.5024.5%6.8%16.5%6.6%24.5%3.2%6.2%67.6K-2.2M-18.2K1.3179.93N/AN/A2,9403,8606,6104,500
2017-03-07$18.70$17.5024.8%7.0%12.8%7.6%26.1%3.3%5.6%51.5K-1.5M-25.1K3.7778.78N/AN/A1,0203,8508,3906,510
2017-03-08$19.04$17.5022.0%6.2%13.9%0.0%25.5%2.7%6.7%127.0K-3.3M-25.0K3.8981.70N/AN/A9803,8108,3706,520
2017-03-09$18.68$17.5023.8%6.7%15.5%6.3%25.6%2.6%6.2%27.1K-1.2M-24.3K3.8978.61N/AN/A9803,8108,3906,590
2017-03-10$18.71$17.5022.6%6.8%14.9%2.1%26.1%3.7%5.8%32.7K-780.6K-22.5K3.7174.40N/AN/A1,0503,9008,3606,570
2017-03-13$18.86$17.5026.2%6.5%15.2%14.9%24.9%3.4%6.4%22.9K-2.0M-22.6K1.4182.31N/AN/A1,0501,4808,2806,710
2017-03-14$18.88$17.5023.5%6.5%14.9%5.5%25.7%3.3%6.0%-88.1K-1.7M-23.2K1.5982.70N/AN/A9701,5408,2806,710
2017-03-15$19.00$17.5022.5%6.4%14.3%1.8%25.3%3.0%6.6%-33.6K-2.8M-21.8K1.6085.63N/AN/A9601,5408,2606,710
2017-03-16$19.09$17.5023.0%6.6%14.2%3.6%24.6%2.9%5.7%-115.0K-3.5M-21.9K1.7085.55N/AN/A9601,6308,2706,710
2017-03-17$19.14$17.5023.0%6.6%14.1%3.7%22.4%4.1%5.4%394.8K-4.3M-20.7K1.7490.15N/AN/A9401,6408,2706,760
2017-03-20$19.33$17.5020.9%6.0%14.6%0.0%20.8%3.9%9.7%477.2K-4.6M-19.0K1.3788.51N/AN/A7801,0707,4704,070
2017-03-21$18.78$17.5021.6%6.2%16.9%2.5%22.6%2.1%11.5%338.9K-3.0M-17.8K2.0888.19N/AN/A7801,6207,4704,070
2017-03-22$18.63$18.0022.7%6.5%17.0%6.1%23.2%3.0%11.4%240.5K-1.9M-18.9K1.9686.09N/AN/A8401,6507,4904,750
2017-03-23$18.59$18.0022.8%6.5%16.7%6.5%23.0%3.0%10.7%208.5K-997.1K-18.5K1.8290.98N/AN/A8801,6007,4704,840
2017-03-24$18.62$18.0021.5%6.2%16.4%2.2%21.9%2.0%12.0%208.6K-1.2M-17.9K2.0590.49N/AN/A8801,8007,4104,930
2017-03-27$18.77$18.0022.1%6.3%16.8%4.0%23.6%3.1%11.6%233.8K-1.5M-16.2K2.0088.60N/AN/A8901,7807,4105,130
2017-03-28$18.81$18.0022.0%6.3%16.7%3.9%23.2%3.3%12.3%249.2K-1.5M-17.3K2.0090.93N/AN/A8901,7807,4105,290
2017-03-29$18.75$18.0021.0%6.0%16.7%0.3%22.2%3.0%13.4%257.5K-2.1M-15.9K2.0090.25N/AN/A8901,7807,4105,290
2017-03-30$18.82$18.0021.0%6.0%16.5%0.2%22.3%2.6%13.3%270.9K-2.0M-15.6K1.9192.38N/AN/A9301,7807,4105,290
2017-03-31$18.78$18.0020.9%6.0%16.5%0.0%22.0%2.0%12.9%269.7K-2.0M-14.8K1.9193.87N/AN/A9301,7807,4605,290