MSTR Options History — September 2020

In September 2020, MSTR traded between $13.96 and $17.44. ATM implied volatility averaged 51.7%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 0.6% (HV 20d: 52.3%). Max pain ranged from $14.00 to $15.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.15.

Notable Days

  • 2020-09-16: Highest Volume — 8,340 contracts
  • 2020-09-02: Largest IV spike — 23.3% change
  • 2020-09-28: Highest IV Rank — 75.2%
  • 2020-09-28: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.97$13.96$17.44$14.85$15.04
Max Pain$15.12$14.00$15.50$14.00$15.50
ATM IV51.7%40.4%65.8%41.4%60.7%
Expected Move14.7%11.6%18.9%11.9%17.4%
HV 20d52.3%26.1%67.5%41.1%67.0%
HV 60d40.6%32.7%47.8%34.3%47.5%
IV Rank51.4%32.2%75.2%33.9%66.6%
IV Percentile87.4%69.8%97.2%76.2%94.4%
Term Structure-0.4%-5.9%8.2%8.2%1.1%
VWIV53.6%37.0%69.1%41.3%62.4%
Skew 25d-2.0%-14.1%11.7%11.3%3.4%
Skew 10d-5.2%-26.9%26.1%-14.8%26.1%
Call IV 25d54.0%41.1%69.2%41.7%62.6%
Put IV 25d52.0%30.7%66.1%52.9%66.1%
Bid-Ask Spread %82.0572.1194.3991.4779.07
Gamma HHI0.140.090.280.170.12
Net GEX337.7K217.7K670.5K307.5K354.9K
Net DEX-8.2M-20.0M-3.1M-6.1M-9.3M
Net VEX-55.7K-74.5K-34.4K-43.1K-73.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.020.380.020.08
Total Volume1,350.952808,340460390
Total OI24,537.61919,99030,57020,21030,570

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$14.85$14.0041.4%11.9%41.1%33.9%41.3%11.3%8.2%307.5K-6.1M-43.1K0.0291.47N/AN/A4501016,4903,720
2020-09-02$15.10$14.0051.0%14.6%41.2%50.1%49.8%11.7%-4.3%318.2K-7.0M-44.5K0.0694.39N/AN/A1801016,4403,730
2020-09-03$14.51$15.0047.9%13.0%44.5%45.0%46.5%-8.5%-4.7%276.5K-5.2M-40.8K0.0485.28N/AN/A4702016,4903,740
2020-09-04$14.16$15.0048.1%12.8%45.9%45.2%45.4%-8.9%-4.5%237.6K-3.8M-37.5K0.0587.38N/AN/A1901016,2403,750
2020-09-08$13.96$15.0051.3%12.9%46.5%50.7%43.8%1.8%-2.3%217.7K-3.2M-35.5K0.1382.45N/AN/A3805016,2703,740
2020-09-09$14.14$15.0044.6%12.8%34.2%39.4%47.0%-2.4%-2.1%241.4K-3.9M-36.5K0.2582.56N/AN/A802016,5303,720
2020-09-10$13.99$15.0044.4%12.7%34.2%39.1%46.8%-5.5%0.6%224.9K-3.1M-34.4K0.1491.60N/AN/A701016,5803,740
2020-09-11$14.03$15.0040.4%11.6%34.2%32.2%39.3%0.6%-1.1%226.5K-3.1M-34.6K0.2084.72N/AN/A1002016,6003,740
2020-09-14$14.27$15.0040.5%11.6%26.1%32.4%37.0%-14.1%2.2%266.7K-4.1M-35.9K0.0886.12N/AN/A2402016,5803,750
2020-09-15$15.55$15.0044.3%12.7%40.1%38.8%43.0%-9.4%0.7%416.1K-9.8M-44.7K0.0385.88N/AN/A4,48015016,7303,770
2020-09-16$17.44$15.0052.9%15.2%56.0%53.4%55.7%-0.4%-4.3%390.5K-20.0M-63.8K0.1779.51N/AN/A7,1101,23019,7803,900
2020-09-17$16.30$15.0053.6%15.4%61.9%54.5%58.5%-9.7%-1.8%453.3K-15.6M-71.3K0.1875.93N/AN/A2,53046022,1605,110
2020-09-18$15.96$15.5049.1%14.1%62.6%47.0%56.6%-2.4%4.3%670.5K-13.3M-71.1K0.1877.73N/AN/A2,76049022,9805,240
2020-09-21$15.28$15.5057.4%16.4%64.9%60.9%60.3%-5.3%1.6%369.2K-9.9M-72.1K0.3472.11N/AN/A1,43049023,1404,240
2020-09-22$15.44$15.5058.1%16.7%64.6%62.1%64.1%-8.7%1.6%381.4K-10.6M-72.7K0.1476.85N/AN/A5107023,6704,240
2020-09-23$14.92$15.5061.4%17.6%65.8%67.6%67.5%9.2%-0.4%340.2K-8.8M-70.3K0.0777.20N/AN/A1,58011023,9304,270
2020-09-24$14.60$15.5057.4%16.5%66.2%61.0%69.1%-2.2%1.0%322.2K-8.0M-70.0K0.0875.62N/AN/A5104025,1504,370
2020-09-25$14.61$15.5055.5%15.9%66.2%57.7%63.7%4.5%2.2%331.4K-8.1M-69.9K0.2875.87N/AN/A2908025,3604,370
2020-09-28$15.16$15.5065.8%18.9%67.5%75.2%67.7%4.4%-5.9%377.3K-10.1M-73.7K0.1482.63N/AN/A6609025,5904,440
2020-09-29$15.01$15.5060.8%17.4%67.4%66.7%61.1%-11.7%0.6%368.3K-10.0M-74.5K0.3878.65N/AN/A42016025,9404,490
2020-09-30$15.04$15.5060.7%17.4%67.0%66.6%62.4%3.4%1.1%354.9K-9.3M-73.2K0.0879.07N/AN/A3603026,1704,400