MSTR implied volatility now & im history

Strategy (MicroStrategy) dey carry one bitcoin-treasury proxy wey get one of di highest big-cap IV for di tape. Dis page dey track MSTR implied volatility — di market live price for im future movement — for three ways: every session for di last three months, im month-by-month history against di index benchmarks, and how e dey slope across expirations. Every number na from real option closing prices dem measure am and dem dey refresh am with di weekly batch.

MSTR implied volatility, di last 90 days

SELECT toString(date) AS session_date,
       round(100 * quantileExact(0.5)(implied_volatility), 1) AS atm_iv_pct
FROM global_markets.options_greeks
WHERE underlying_symbol = 'MSTR'
  AND date >= (SELECT max(date) - 90 FROM global_markets.options_greeks)
  AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5
  AND abs(strike_price / underlying_close - 1) <= 0.05
  AND expiration_date BETWEEN date + 7 AND date + 60
GROUP BY date
HAVING count() >= 10
ORDER BY date

Each point na one session median implied volatility across MSTR near-the-money contracts (strikes wey dey within 5% of di stock, wey dey expire from one week to two months out). Di latest reading na 87.4%. One IV of dat size na annualized number: di yearly percentage move wey di option prices dey treat as typical, and if you divide am by roughly 16 e go give you di implied one-day move.

MSTR IV history vs di market, month by month

SELECT toString(toStartOfMonth(date)) AS month,
       round(100 * quantileExactIf(0.5)(implied_volatility, underlying_symbol = 'MSTR'), 1) AS mstr_iv_pct,
       round(100 * quantileExactIf(0.5)(implied_volatility, underlying_symbol = 'SPY'), 1) AS spy_iv_pct,
       round(100 * quantileExactIf(0.5)(implied_volatility, underlying_symbol = 'QQQ'), 1) AS qqq_iv_pct
FROM global_markets.options_greeks
WHERE underlying_symbol IN ('MSTR', 'SPY', 'QQQ')
  AND date >= toDate('2022-07-01')
  AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5
  AND abs(strike_price / underlying_close - 1) <= 0.05
  AND expiration_date BETWEEN date + 7 AND date + 60
GROUP BY month
HAVING countIf(underlying_symbol = 'MSTR') >= 50
ORDER BY month

Di chart na MSTR fear gauge over time, dem draw am against di market own. Di SPY and QQQ lines dey carry di same measurement for di market benchmark chains — di latest month dey read 91.1% for MSTR against 13.3% for SPY and 23.5% for QQQ. One diversified index nearly always dey carry less implied volatility dan any single name inside am — di gap between di lines na di single-name premium, and how dat gap dey wide and narrow na di story of MSTR risk cycles. Di peaks dey mark di episodes when option buyers pay up hardest; di troughs na di stretches wey di market treat di name as quiet.

Di term structure: MSTR IV by expiration

SELECT multiIf(days_to_expiry <= 14, 'Under 2 weeks', days_to_expiry <= 45, '2-6 weeks',
               days_to_expiry <= 120, '6 weeks - 4 months', 'Beyond 4 months') AS expiry_bucket,
       round(100 * quantileExact(0.5)(implied_volatility), 1) AS atm_iv_pct,
       count() AS contracts
FROM global_markets.options_greeks
WHERE underlying_symbol = 'MSTR'
  AND date = (SELECT max(date) FROM global_markets.options_greeks)
  AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5
  AND abs(strike_price / underlying_close - 1) <= 0.05
GROUP BY expiry_bucket
HAVING count() >= 5
ORDER BY min(days_to_expiry)

If you read across di buckets e dey show wetin di market dey expect WHEN. One front end wey dey above di back end mean say near-term event risk dey priced — one report, one decision, one catalyst inside di window. One flat or upward-sloping curve na di resting state: more time, more uncertainty, gently higher IV.

FAQ

Wetin be MSTR implied volatility right now?

87.4% at di money as of di latest session wey dey for file, dem measure am across near-the-money contracts wey dey expire 7-60 days out. Di 90-day chart above dey carry di full recent path; di number dey refresh with di weekly batch.

MSTR IV high or low right now?

Judge am three ways: against im own recent path (di 90-day chart), against im own history (di monthly chart, where di latest month dey read 91.1%), and against di benchmarks wey dem draw on di same axes. For where di market extremes dey sit, di high-IV board dey track di names wey dey price di biggest moves.

How dem dey measure dis one?

From MSTR near-the-money contracts (strikes wey dey within 5% of di stock price) at each session close, dem only keep contracts where di volatility solve converge; each value na di median, and thin sessions and months dem drop am by di contract floors wey dey visible for each panel SQL.

Wetin dey move MSTR implied volatility?

Scheduled events dey load IV in advance and crush am after; realized turbulence dey raise am; calm dey grind am down. Di monthly history above na di record of exactly those cycles.

Every panel na stored, versioned query over di full options tape — expand any panel to audit am, or measure any strike of MSTR chain on di Strasmore terminal. For di concept, start at wetin implied volatility be; for how strikes dey differ on di same stock, see volatility skew.