MSTR Options History — July 2017

In July 2017, MSTR traded between $13.46 and $19.29. ATM implied volatility averaged 32.0%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 3.7% (HV 20d: 28.3%). Max pain ranged from $15.00 to $19.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 2.83.

Notable Days

  • 2017-07-28: Highest Volume — 18,250 contracts
  • 2017-07-12: Largest IV spike — 41.6% change
  • 2017-07-26: Highest IV Rank — 63.1%
  • 2017-07-26: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.23$13.46$19.29$18.65$13.46
Max Pain$18.55$15.00$19.00$18.00$15.00
ATM IV32.0%21.5%38.9%21.5%38.0%
Expected Move9.7%6.2%11.2%6.2%10.9%
HV 20d28.3%17.3%107.5%19.8%107.2%
HV 60d22.7%17.8%64.0%17.8%64.0%
IV Rank40.5%5.6%63.1%5.6%60.3%
IV Percentile62.2%2.4%84.5%2.4%83.3%
Term Structure-5.7%-9.4%10.1%9.8%-6.2%
VWIV34.8%22.4%43.3%22.4%37.4%
Skew 25d4.0%-0.1%5.7%2.7%1.3%
Skew 10d7.7%-1.9%10.4%5.0%0.9%
Call IV 25d32.3%20.1%38.1%20.1%38.1%
Put IV 25d36.3%22.8%42.0%22.8%39.4%
Bid-Ask Spread %42.50-1.9891.5391.5318.57
Gamma HHI0.320.180.620.280.18
Net GEX48.3K-304.4K216.9K175.1K-188.7K
Net DEX-98.9K-1.6M6.6M-1.3M6.6M
Net VEX-12.2K-19.3K-10.7K-12.3K-19.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.831.026.312.501.02
Total Volume6,795.54,67018,2505,18012,940
Total OI10,7185,88020,3509,23020,350

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$18.65$18.0021.5%6.2%19.8%5.6%22.4%2.7%9.8%175.1K-1.3M-12.3K2.5091.53N/AN/A1,4803,7005,9703,260
2017-07-05$18.41$18.0022.2%6.4%20.2%7.8%23.7%3.7%10.1%-19.7K-145.6K-13.6K2.5991.19N/AN/A1,4903,8605,9904,470
2017-07-06$18.21$18.5024.8%9.6%20.6%16.6%33.2%4.2%-6.1%-66.7K489.0K-13.7K2.5941.29N/AN/A1,4903,8606,0004,630
2017-07-07$18.50$18.5022.6%9.4%20.8%9.3%33.3%4.3%-6.0%-12.4K-257.1K-13.5K2.5940.14N/AN/A1,4903,8606,0004,630
2017-07-10$18.40$18.5023.5%9.6%17.4%12.3%33.8%4.9%-6.7%-49.2K22.6K-12.5K2.5339.59N/AN/A1,4903,7706,0004,630
2017-07-11$18.47$18.5023.3%9.6%17.3%11.4%33.8%4.1%-6.5%60.1K-498.7K-11.6K2.5338.20N/AN/A1,4903,7706,0003,900
2017-07-12$18.83$18.5032.9%9.4%18.3%43.4%34.0%4.5%-6.7%145.1K-1.4M-11.3K2.5336.16N/AN/A1,4903,7706,0003,900
2017-07-13$18.54$18.5033.8%9.7%19.3%46.2%34.3%4.1%-7.2%76.2K-773.0K-11.1K3.0437.29N/AN/A1,4304,3406,0003,900
2017-07-14$18.48$19.0033.8%9.7%19.2%46.2%34.0%4.4%-7.5%23.8K-136.9K-12.2K2.8839.16N/AN/A1,5204,3706,0104,530
2017-07-17$18.64$19.0035.0%10.0%19.4%50.1%35.1%4.3%-8.2%73.7K-615.6K-11.9K2.8839.46N/AN/A1,5304,4106,1104,560
2017-07-18$18.86$19.0034.8%10.0%19.7%49.5%35.8%4.9%-8.3%131.8K-1.2M-11.6K2.1539.84N/AN/A1,5703,3706,1104,580
2017-07-19$18.95$19.0034.9%10.0%19.7%49.8%36.1%4.4%-8.8%216.9K-1.6M-11.3K1.9238.46N/AN/A1,6603,1806,1004,570
2017-07-20$18.91$19.0035.4%10.1%19.7%51.4%36.8%4.9%-9.1%201.4K-1.5M-11.0K1.9044.21N/AN/A1,6203,0806,1604,580
2017-07-21$18.91$19.0035.4%10.1%19.7%51.5%37.1%5.0%-9.4%80.6K-1.3M-10.7K1.9442.76N/AN/A1,5903,0806,2104,600
2017-07-24$19.20$19.0037.8%10.8%20.2%59.6%43.3%4.5%-8.7%102.8K-1.1M-11.1K6.3143.38N/AN/A9606,0602,9402,940
2017-07-25$19.29$19.0036.6%10.5%19.9%55.6%35.9%4.1%-8.4%115.0K-1.3M-11.3K5.9144.09N/AN/A1,0306,0903,0806,660
2017-07-26$19.11$19.0038.9%11.2%20.3%63.1%37.4%5.7%-9.1%99.8K-995.9K-11.3K5.4944.12N/AN/A1,1106,0903,1706,890
2017-07-27$18.86$19.0038.4%11.0%20.1%61.6%40.1%4.4%-8.5%103.8K-811.3K-11.7K2.0442.46N/AN/A3,1606,4603,5706,910
2017-07-28$14.00$19.0037.2%10.7%107.5%57.6%37.7%-0.1%-3.4%-304.4K5.7M-11.0K1.37-1.98N/AN/A7,70010,5505,4706,980
2017-07-31$13.46$15.0038.0%10.9%107.2%60.3%37.4%1.3%-6.2%-188.7K6.6M-19.3K1.0218.57N/AN/A6,4106,53010,6709,680