MSTR Options History — November 2017

In November 2017, MSTR traded between $13.20 and $13.82. ATM implied volatility averaged 25.6%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 6.6% (HV 20d: 18.9%). Max pain ranged from $13.50 to $14.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2017-11-21: Highest Volume — 9,700 contracts
  • 2017-11-29: Largest IV spike — 14.2% change
  • 2017-11-29: Highest IV Rank — 25.9%
  • 2017-11-29: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.48$13.20$13.82$13.45$13.66
Max Pain$13.98$13.50$14.00$13.50$14.00
ATM IV25.6%22.6%27.6%27.3%26.2%
Expected Move7.2%6.5%7.9%7.8%7.5%
HV 20d18.9%12.6%20.7%19.5%12.6%
HV 60d16.9%16.6%17.3%17.3%16.9%
IV Rank19.0%9.1%25.9%24.9%21.2%
IV Percentile54.3%12.3%76.6%70.6%68.7%
Term Structure-0.6%-2.3%1.5%-1.9%-1.7%
VWIV24.6%20.2%27.2%26.6%26.6%
Skew 25d2.6%0.7%4.7%3.3%4.7%
Skew 10d4.5%-2.3%10.5%5.9%9.2%
Call IV 25d24.5%20.9%26.3%26.3%25.3%
Put IV 25d27.2%24.0%30.5%29.6%30.0%
Bid-Ask Spread %59.2120.8497.0866.0186.83
Gamma HHI0.150.130.170.160.13
Net GEX-190.3K-359.9K-5.0K-183.3K-81.1K
Net DEX2.1M-278.3K4.1M2.2M683.0K
Net VEX-36.4K-44.9K-27.1K-44.9K-29.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.600.910.650.73
Total Volume9,372.3818,6309,7009,5109,410
Total OI46,736.66743,01048,69048,15044,610

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$13.45$13.5027.3%7.8%19.5%24.9%26.6%3.3%-1.9%-183.3K2.2M-44.9K0.6566.01N/AN/A5,7703,74014,18033,970
2017-11-02$13.40$14.0026.8%7.4%19.6%23.0%24.8%2.6%-0.9%-202.4K2.5M-43.5K0.6726.44N/AN/A5,4503,64013,98033,670
2017-11-03$13.38$14.0026.2%7.3%19.6%21.3%24.3%2.6%-0.4%-228.4K2.8M-44.0K0.6058.61N/AN/A5,4103,22013,97033,360
2017-11-06$13.45$14.0027.6%7.2%19.6%25.9%24.4%2.6%-0.5%-165.1K1.9M-37.6K0.7120.84N/AN/A5,4603,86013,97033,360
2017-11-07$13.34$14.0027.3%7.1%19.9%24.6%24.4%2.4%-0.2%-255.3K3.1M-41.9K0.7021.59N/AN/A5,4903,86014,18034,180
2017-11-08$13.46$14.0026.1%7.5%20.1%20.8%24.6%3.8%-2.2%-215.3K2.5M-39.9K0.6925.07N/AN/A5,5203,83014,17034,160
2017-11-09$13.33$14.0025.5%7.3%20.2%18.7%25.2%2.3%-0.2%-262.7K3.1M-41.6K0.6838.78N/AN/A5,5303,75014,17034,170
2017-11-10$13.35$14.0025.2%7.2%19.6%17.9%25.2%3.2%-0.4%-293.9K3.6M-42.9K0.7171.98N/AN/A5,5303,94014,18034,170
2017-11-13$13.25$14.0025.4%7.3%19.6%18.6%24.6%2.2%-0.4%-333.5K3.9M-38.8K0.7160.39N/AN/A5,3603,81014,18034,110
2017-11-14$13.32$14.0025.1%7.2%19.7%17.4%24.5%3.2%-0.1%-297.1K3.4M-35.5K0.7158.43N/AN/A5,3603,82014,18034,180
2017-11-15$13.20$14.0026.0%7.4%19.9%20.3%25.3%1.8%-0.8%-359.9K4.1M-36.7K0.8055.08N/AN/A5,3704,29014,18034,210
2017-11-16$13.36$14.0025.0%7.2%20.4%17.0%26.1%2.5%-0.6%-252.5K2.8M-35.1K0.8972.39N/AN/A4,8104,29014,20034,490
2017-11-17$13.38$14.0024.1%6.9%19.8%14.2%20.2%1.4%0.9%-269.0K3.1M-35.9K0.9136.11N/AN/A4,8704,43014,21034,360
2017-11-20$13.49$14.0025.2%7.2%20.0%17.7%25.0%0.7%-0.8%-189.4K2.0M-32.2K0.7973.78N/AN/A5,3304,20010,29032,720
2017-11-21$13.67$14.0024.7%7.1%20.6%16.2%24.0%1.6%-0.2%-115.5K974.6K-34.7K0.7973.50N/AN/A5,4304,27011,58032,920
2017-11-22$13.75$14.0022.6%6.5%20.7%9.1%23.3%2.5%1.5%-37.0K84.6K-30.4K0.7881.36N/AN/A5,4304,24011,73032,920
2017-11-24$13.74$14.0023.2%6.7%19.1%11.3%21.8%3.1%-0.1%-68.1K432.6K-32.0K0.7897.08N/AN/A5,4304,24011,73032,920
2017-11-27$13.65$14.0025.4%7.3%19.2%18.4%24.9%2.6%-0.4%-91.8K781.8K-29.9K0.7872.92N/AN/A5,4304,23011,73032,920
2017-11-28$13.82$14.0024.2%6.9%14.7%14.5%24.2%1.8%-0.2%-5.0K-278.3K-27.1K0.7369.83N/AN/A5,4303,95011,73032,920
2017-11-29$13.67$14.0027.6%7.9%13.2%25.9%27.2%4.2%-2.3%-90.6K793.6K-30.6K0.7376.46N/AN/A5,4403,95011,73032,880
2017-11-30$13.66$14.0026.2%7.5%12.6%21.2%26.6%4.7%-1.7%-81.1K683.0K-29.7K0.7386.83N/AN/A5,4403,97011,73032,880