Shares of Strategy (MSTR) are under pressure once again today as Bitcoin is down about 7% (after it rallied from ~ 80k to 93k off the recent lows). MSTR has been underperforming Bitcoin now since May, as the premium to Bitcoin that had been in the shares continues to come out. Concerns about their ability to raise additional funds, to either buy more Bitcoin or pay off existing debt, continues to put pressure on the shares. There is also a concern that MSCI is considering removing MSTR from their major indices since more than 50% of their assets are held in Bitcoin (MSCI is currently holding a consultation on a proposal to exclude companies whose digital asset holdings (like bitcoin) represent 50% or more of their total assets from its major indices). Should MSCI vote to remove MSTR from their indices not only would we expect a decent amount of stock for sale, but that decision could also spark other well-known funds/owners to follow suit.
With MSTR down a whopping 65%+ from the July highs (a combination of Bitcoin weakness AND embedded premium to BTC coming out) I don’t necessarily want to press that short bet right here. With that being said, I do believe that we could see further weakness in MSTR for a myriad of reasons (lower Bitcoin price, further concerns about their funding capabilities and then the MSCI decision). With the decision by MSCI expected to be announced on Jan 15th, 2026, I believe owning vol/puts that expire the next day (Jan 16th) makes a lot of sense (whether as a hedge to MSTR or Bitcoin) or as a limited-risk way to play the MSCI vote. With 1-month 10% downside put vol up ~ 60% from the Sept lows, I also want to be mindful of owning “expensive” vol here for the event (especially since we really don’t know how much of the current weakness could be attributable to the expected negative ruling from MSCI and possible front-running).
What does stand out to me, however, is how “tight” the vol skew is between the Jan 16th puts (that capture the MSCI vote) and the options/puts that expire the week before on Jan 9th. For example, if looking at the 140 puts for both of those dates, there currently is little to no real vol skew between the two (Jan 9th vol is ~ 90 while the Jan 16th vol is ~ 92). I believe as we move closer to the vote date we should start to see much more of a bid to vol (at least on a relative basis). Therefore, the trade I favor here is to own low-cost put calendars in MSTR that are targeting the Jan 15th MSCI date.
Trade
Sell MSTR Jan 9th 140 puts
Buy MSTR Jan 16th 140 puts
Costs ~ $1.80 (MSTR 158.50 price ref)
Trade Details:
- Buying the MSTR 140 put calendar to “own” the MSCI index inclusion vote date on Jan 15th
- We could see additional weakness/selling pressure in MSTR as there would be forced selling on a negative ruling/decision
- With MSTR already down substantially from the highs, I prefer to establish lower-cost and low-delta put calendars vs buying puts/put spreads at this time
- I expect to start seeing a better bid to vol in the Jan 16th puts as we get closer to the date (why I want to establish the put calendars now)
- Please contact me or the 22V sales team for updated pricing and execution capabilities
Strategy (MSTR) now down ~ 65% from the July highs
Have really seen MSTR dislocate from Bitcoin as well….
MSTR 10% downside put vol is up ~ 60% from the Sept lows
