MSCI is scheduled to publish its November 2026 Index Review on Wednesday, November 11, and for Strategy (MSTR) this one is different. It's the first review under MSCI's new rule that makes "non-operating companies" ineligible for its Global Investable Market Indexes. MSCI said in its consultation results that the final list of affected constituents would come out on November 11 and that the changes take effect as of the close of November 30, 2026. Stocktwits reported the additions and deletions are due shortly after 5 p.m. ET (2 p.m. PT), after the regular session ends.

The Screen Strategy Has to Pass

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MSCI's method, as described in its announcement, runs in two steps:

  • A core screen checks whether an issuer has substantial operating assets.
  • Issuers that fail it are tested on five financial ratios. Being flagged on four or more makes a security ineligible.
  • Current constituents are removed only if they fail in each of their two most recent annual filing periods. MSCI may also use the latest interim filing.

    • A simulation using May 2026 data showed Strategy as one of three companies that would be deleted from the MSCI ACWI IMI, alongside Metaplanet and Yellow Cake, per Stocktwits and The Block. Strategy has called the rules "discriminatory, arbitrary, and misguided" and asked MSCI to withdraw them, Yahoo Finance reported. MSCI also said it will end its earlier freeze on share-count and inclusion-factor increases for digital-asset-heavy companies with this review.

    How Much Stock Is Actually Tied to MSCI Funds

    The size of any rebalance is the part traders keep coming back to. According to Bitcoin.com News:

  • Strategy disclosed in August that funds tracking MSCI indexes held about 13 million shares, or 3.1% of basic shares outstanding.
  • JPMorgan analysts had estimated an exclusion could trigger roughly $2.8 billion of selling, though that figure was calculated against MSCI's earlier digital-asset proposal, not the final rules.
  • MSTR closed at $121.07 on November 10, down from $145.16 on October 28, with bitcoin near $73,700.

    • Removal wouldn't affect Strategy's Nasdaq listing. Other index providers make their own decisions.

    Two Dates Inside the MSTR Chain

    Yahoo Finance data showed MSTR around $122.31 in premarket trading at 8:23 a.m. ET, about 1% above Tuesday's close. Tuesday's 30-day implied volatility was about 76%, per Cboe delayed quotes. At-the-money straddles at Tuesday's close, using bid/ask midpoints:

    | Expiration | Strike | Straddle (mid) | Share of $121.07 | IV near the money | Nov 13$121about $8.30about 6.9%about 94% Nov 20$121about $13.32about 11.0%about 84% Dec 4$120about $19.15about 15.8%about 78% | Dec 18 | $120 | about $23.88 | about 19.7% | about 77% |

    The November 13 contracts capture Thursday's first reaction to the list. The December 4 weekly is the first one that expires after the November 30 effective date, when index funds would trade. Implied volatility is highest in the front week and drifts lower further out, a common shape when the market sees a specific near-term catalyst.

    Tuesday's volume was close to balanced, about 138,000 calls and 130,000 puts. The busiest single line was the November 13 $135 call, with about 10,400 contracts against open interest near 11,500. The November 20 $100 put traded about 4,900 contracts and carried open interest above 10,500. Volume alone doesn't show whether contracts were bought or sold.

    When the Outcome Is Widely Expected

    A few points traders usually think about around an index decision like this:

  • A predictable result can already be in the price. The stock has fallen sharply since the rules were finalized on October 15. If deletion is announced, part of the reaction may already have happened. If Strategy stays in, the surprise runs the other way.
  • The front-week premium tends to drop after the news. Once the list is public, Thursday's implied volatility in the November 13 contracts usually deflates, whichever way the stock moves.
  • The effective date is a separate event. Passive funds typically trade near the close on the effective date, so expirations after November 30 still carry that risk.
  • Bitcoin is still the bigger driver. MSTR moves with bitcoin, and a large crypto move can swamp the index news on any given day.
  • Defined-risk spreads cap the damage. With implied volatility near 94% in the front week, short premium positions are exposed to large gaps, and long premium positions lose value quickly if the move is small.

    • Our implied volatility explainer covers event premium and how it fades, and the OCC options disclosure document explains the risks of standardized options. This article was published before MSCI's announcement.

    Sources

  • MSCI: Results of the consultation on non-operating companies
  • MSCI: Index consultations
  • Stocktwits: MSCI prepares first index review under new crypto treasury rules
  • Bitcoin.com News: MSCI rules on Strategy today
  • The Block: MSCI finalizes index rules that put Strategy at risk of exclusion
  • Yahoo Finance: Strategy pushes back against MSCI index exclusion proposal
  • Yahoo Finance: MSTR quote
  • Cboe: MSTR delayed quotes

    • *By the OptionsPilot Editorial Team. Published November 11, 2026, 5:25 AM PT. This article is for education only and is not investment advice. Options involve risk and are not suitable for all investors.*