MSTR Options History — November 2020

In November 2020, MSTR traded between $16.67 and $34.59. ATM implied volatility averaged 69.1%, placing in the 70.4% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 13.8% (HV 20d: 55.3%). Max pain ranged from $17.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2020-11-30: Highest Volume — 84,410 contracts
  • 2020-11-30: Largest IV spike — 40.3% change
  • 2020-11-18: Highest IV Rank — 100.0%
  • 2020-11-30: Largest Expected Move — 37.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.21$16.67$34.59$16.67$34.59
Max Pain$17.35$17.00$19.00$17.00$19.00
ATM IV69.1%44.9%129.9%58.2%129.9%
Expected Move20.1%14.2%37.2%16.7%37.2%
HV 20d55.3%47.3%95.8%53.0%95.8%
HV 60d54.8%51.0%76.9%54.3%76.9%
IV Rank70.4%39.9%100.0%62.3%100.0%
IV Percentile86.6%66.7%100.0%85.3%100.0%
Term Structure-2.3%-15.0%9.7%-0.1%-6.2%
VWIV71.3%49.2%127.6%63.4%127.6%
Skew 25d-5.6%-26.2%6.9%-13.4%-26.2%
Skew 10d-7.4%-36.4%8.8%-31.9%-26.8%
Call IV 25d76.1%46.1%149.2%75.2%149.2%
Put IV 25d70.4%45.2%122.9%61.8%122.9%
Bid-Ask Spread %71.6546.6692.4070.3746.66
Gamma HHI0.130.070.230.120.08
Net GEX954.1K559.7K1.5M559.7K817.7K
Net DEX-68.7M-210.6M-21.6M-21.6M-210.6M
Net VEX-202.3K-312.9K-146.4K-146.4K-312.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.041.510.731.51
Total Volume11,3401,13084,4101,56084,410
Total OI57,826.543,60092,41043,60092,410

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$16.67$17.0058.2%16.7%53.0%62.3%63.4%-13.4%-0.1%559.7K-21.6M-146.4K0.7370.37N/AN/A90066036,9606,640
2020-11-03$17.15$17.0056.0%16.0%53.6%58.5%60.4%-12.0%7.9%610.2K-24.7M-151.3K0.0773.98N/AN/A1,80012036,9606,640
2020-11-04$17.22$17.0049.6%14.2%53.4%47.8%56.2%-11.1%9.7%675.0K-25.1M-152.2K0.7782.05N/AN/A64049037,2307,260
2020-11-05$18.07$17.0051.8%16.1%50.6%51.6%55.8%-0.6%-0.2%761.3K-31.1M-159.8K0.0791.89N/AN/A2,38017037,4407,150
2020-11-06$18.58$17.0044.9%17.3%51.3%39.9%49.2%-10.8%-15.0%841.1K-35.2M-164.4K0.3292.40N/AN/A1,33042038,2607,180
2020-11-09$18.52$17.0056.2%14.7%51.2%58.9%51.7%0.1%0.2%903.1K-35.4M-159.5K0.6075.44N/AN/A1,9101,15038,5107,140
2020-11-10$18.59$17.0045.4%14.9%51.0%40.7%55.3%1.2%4.2%815.8K-34.8M-162.1K0.0974.40N/AN/A1,91017038,7608,230
2020-11-11$19.17$17.0052.0%14.9%51.5%51.9%51.9%-7.3%-1.8%880.1K-40.7M-169.0K0.1473.97N/AN/A1,97027039,7808,240
2020-11-12$18.62$17.0050.8%14.6%53.0%49.9%54.4%-7.0%0.6%861.7K-37.2M-167.5K0.0573.73N/AN/A4,33021040,4508,290
2020-11-13$19.29$17.0050.4%14.5%53.7%49.2%56.1%-7.9%0.5%1.1M-44.4M-179.5K0.1173.66N/AN/A1,30014043,3208,450
2020-11-16$20.38$17.0059.1%17.0%56.0%63.9%62.3%-0.6%-2.6%1.1M-55.0M-182.1K0.0470.78N/AN/A11,78046043,8808,480
2020-11-17$20.84$17.0059.5%17.0%55.8%64.4%64.1%-2.9%-2.9%1.4M-68.1M-194.3K0.0971.33N/AN/A4,80042049,5808,870
2020-11-18$21.52$17.0080.9%23.2%52.6%100.0%80.5%6.9%-9.8%1.1M-78.6M-209.9K0.1368.30N/AN/A12,9001,74053,2609,190
2020-11-19$21.70$17.0087.4%25.1%52.5%100.0%83.5%-0.6%-6.4%1.4M-85.7M-231.0K0.1968.29N/AN/A5,6401,08058,79010,620
2020-11-20$22.23$17.5093.4%26.8%52.7%100.0%91.3%-2.2%-5.9%1.5M-93.0M-237.7K0.2170.08N/AN/A5,2101,12059,77011,490
2020-11-23$21.99$17.5094.1%27.0%47.3%100.0%96.7%-2.3%-5.4%1.0M-81.7M-247.1K0.1968.29N/AN/A5,8801,12056,0207,850
2020-11-24$24.77$17.5074.1%21.2%60.8%72.3%76.7%-3.5%-3.9%980.0K-110.8M-244.8K0.1660.51N/AN/A21,9103,45057,8208,780
2020-11-25$27.26$18.5095.2%27.3%55.0%100.0%94.3%-5.0%-2.9%851.7K-126.2M-269.6K0.5068.02N/AN/A17,2908,68060,18011,350
2020-11-27$27.02$19.0092.6%26.5%55.3%96.5%94.8%-7.7%-5.2%1.0M-133.7M-305.0K0.4758.86N/AN/A11,2905,35067,94017,360
2020-11-30$34.59$19.00129.9%37.2%95.8%100.0%127.6%-26.2%-6.2%817.7K-210.6M-312.9K1.5146.66N/AN/A33,60050,81071,77020,640