MSTR Options History — September 2017

In September 2017, MSTR traded between $12.39 and $13.21. ATM implied volatility averaged 25.0%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 8.8% (HV 20d: 16.2%). Max pain ranged from $13.50 to $14.50. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.22.

Notable Days

  • 2017-09-11: Highest Volume — 9,130 contracts
  • 2017-09-05: Largest IV spike — 14.1% change
  • 2017-09-11: Highest IV Rank — 24.0%
  • 2017-09-25: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.73$12.39$13.21$12.85$12.77
Max Pain$13.88$13.50$14.50$13.50$13.50
ATM IV25.0%22.4%27.1%22.4%24.2%
Expected Move7.2%6.4%7.4%6.4%6.9%
HV 20d16.2%11.6%19.8%16.0%17.7%
HV 60d63.7%63.5%63.9%63.8%63.7%
IV Rank17.3%8.6%24.0%8.6%14.6%
IV Percentile44.9%10.7%60.7%10.7%34.1%
Term Structure6.3%2.4%10.2%2.4%10.2%
VWIV24.4%22.3%25.9%22.3%23.9%
Skew 25d2.4%1.6%3.0%1.6%1.9%
Skew 10d3.9%2.8%5.6%5.6%3.4%
Call IV 25d24.0%21.5%24.8%21.5%24.0%
Put IV 25d26.4%23.1%27.8%23.1%25.9%
Bid-Ask Spread %14.539.9523.1710.1810.64
Gamma HHI0.240.210.420.220.21
Net GEX-350.1K-607.6K816.9K-483.8K-468.9K
Net DEX7.5M2.1M9.6M7.6M6.7M
Net VEX-63.4K-67.0K-60.6K-62.2K-61.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.662.311.191.31
Total Volume6,3745,2309,1305,7105,630
Total OI46,78042,78055,52046,53043,610

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$12.85$13.5022.4%6.4%16.0%8.6%22.3%1.6%2.4%-483.8K7.6M-62.2K1.1910.18N/AN/A2,6103,10012,41034,120
2017-09-05$12.85$14.5025.6%7.3%13.9%19.1%25.0%2.5%4.0%-472.0K7.7M-61.4K1.2413.26N/AN/A2,5503,16012,53034,370
2017-09-06$12.82$14.5024.7%7.3%13.8%16.1%25.4%2.5%3.7%-484.3K7.8M-61.5K1.2814.12N/AN/A2,5903,31012,56034,730
2017-09-07$12.83$14.5025.0%7.4%13.5%17.1%25.6%2.7%3.5%-495.2K8.0M-61.4K0.6912.88N/AN/A4,8303,32012,63034,980
2017-09-08$12.84$14.5023.9%7.2%11.9%13.6%24.7%2.4%4.0%-164.5K6.8M-62.5K0.6617.25N/AN/A4,8703,21014,99035,000
2017-09-11$12.82$14.5027.1%7.3%11.6%24.0%25.9%2.4%3.4%-152.6K6.8M-60.6K2.3112.72N/AN/A2,7606,37015,07035,000
2017-09-12$12.86$14.0026.0%7.1%11.7%20.5%24.0%2.3%4.0%-64.4K6.9M-63.6K0.7212.95N/AN/A4,0702,94015,34036,420
2017-09-13$13.21$14.0024.9%7.1%15.2%16.8%24.0%2.1%4.2%354.6K2.1M-61.0K0.7211.71N/AN/A4,5603,28016,60036,500
2017-09-14$13.01$14.0024.5%7.0%16.3%15.6%24.6%2.5%4.4%816.9K4.5M-61.7K1.1911.16N/AN/A3,7504,46017,40036,840
2017-09-15$12.69$14.0025.0%7.2%18.4%17.2%24.3%2.3%4.3%-483.6K9.0M-65.0K0.9613.22N/AN/A3,8403,69017,56037,960
2017-09-18$12.58$14.0025.3%7.3%18.1%18.2%24.4%2.9%7.7%-536.2K9.3M-67.0K1.3118.93N/AN/A2,2903,0109,58033,990
2017-09-19$12.57$13.5025.3%7.2%17.9%18.0%24.2%2.4%8.7%-532.6K8.9M-66.8K1.2816.48N/AN/A2,3503,0009,58033,590
2017-09-20$12.53$13.5024.9%7.1%17.6%16.8%24.4%2.8%8.8%-550.9K9.1M-66.6K1.3423.17N/AN/A2,3203,1009,66033,560
2017-09-21$12.46$13.5024.5%7.0%17.7%15.6%22.7%2.5%9.0%-573.0K8.8M-66.5K1.3016.21N/AN/A2,2702,9609,65033,130
2017-09-22$12.48$13.5025.1%7.2%17.7%17.6%25.1%2.4%8.0%-570.4K8.9M-66.0K1.4215.38N/AN/A2,2703,2309,68033,340
2017-09-25$12.39$13.5025.9%7.4%17.9%20.2%25.2%3.0%9.0%-607.6K9.6M-64.1K1.4918.63N/AN/A2,1603,2109,68033,510
2017-09-26$12.46$13.5025.9%7.4%18.0%20.1%24.9%2.4%8.6%-586.9K8.7M-63.9K1.3619.47N/AN/A2,3603,2009,88033,310
2017-09-27$12.75$13.5025.5%7.3%19.8%18.9%23.4%2.2%9.6%-479.4K6.9M-62.4K1.3012.31N/AN/A2,3603,06010,04033,340
2017-09-28$12.77$13.5024.9%7.1%19.6%16.8%23.6%1.7%9.5%-467.5K6.6M-61.8K1.309.95N/AN/A2,3603,07010,11033,350
2017-09-29$12.77$13.5024.2%6.9%17.7%14.6%23.9%1.9%10.2%-468.9K6.7M-61.5K1.3110.64N/AN/A2,4403,19010,26033,350