MU Options History — January 2007

In January 2007, MU traded between $12.93 and $14.23. ATM implied volatility averaged 29.6%. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 1.5% (HV 20d: 28.1%). Max pain ranged from $12.50 to $14.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2007-01-11: Highest Volume — 28,320 contracts
  • 2007-01-11: Largest IV spike — 11.0% change
  • 2007-01-18: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.48$12.93$14.23$14.03$12.95
Max Pain$13.85$12.50$14.00$12.50$14.00
ATM IV29.6%25.0%32.7%26.8%28.9%
Expected Move8.7%7.5%9.4%7.7%8.3%
HV 20d28.1%26.6%29.4%29.4%26.6%
Term Structure1.8%-2.9%4.7%3.6%-0.1%
VWIV30.8%26.1%33.8%27.6%29.5%
Skew 25d0.3%-9.0%3.6%-5.0%0.7%
Skew 10d2.9%-15.0%15.1%-5.4%6.1%
Call IV 25d31.5%28.8%34.4%28.8%31.9%
Put IV 25d31.8%21.7%34.1%23.7%32.6%
Bid-Ask Spread %12.747.2321.678.329.03
Gamma HHI0.190.160.230.170.19
Net GEX2.4M994.7K4.0M3.6M1.2M
Net DEX-65.7M-145.9M-7.5M-122.8M-14.2M
Net VEX-1.1M-1.2M-986.9K-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.121.900.540.47
Total Volume14,506.54,41128,32013,2145,504
Total OI573,870.55336,126753,030680,781390,133

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$14.03$12.5026.8%7.7%0.0%0.0%27.6%-5.0%3.6%3.6M-122.8M-1.1M0.548.32N/AN/A8,5884,626401,616279,165
2007-01-04$13.79$12.5026.1%7.5%0.0%0.0%26.1%-9.0%4.7%3.2M-102.4M-1.1M1.027.23N/AN/A5,4365,529405,741281,037
2007-01-05$13.58$14.0025.0%9.0%0.0%0.0%32.8%0.3%3.8%2.6M-77.7M-1.0M0.5719.25N/AN/A2,8071,604405,824283,200
2007-01-08$13.74$14.0027.0%9.1%0.0%0.0%33.0%2.6%3.1%3.3M-98.3M-1.0M1.1410.72N/AN/A8,6549,859406,659280,474
2007-01-09$13.67$14.0026.5%8.9%0.0%0.0%31.4%2.2%3.1%2.8M-87.2M-1.0M0.2216.78N/AN/A4,476969409,502288,978
2007-01-10$14.07$14.0029.2%8.9%0.0%0.0%30.9%1.5%4.7%3.8M-131.1M-1.1M0.2614.24N/AN/A21,4125,557414,206289,463
2007-01-11$13.88$14.0032.4%9.3%0.0%0.0%32.8%0.6%2.9%3.9M-114.6M-1.1M0.5012.00N/AN/A18,9049,416425,266293,286
2007-01-12$14.23$14.0031.2%8.9%0.0%0.0%30.9%0.3%2.9%4.0M-145.9M-1.2M0.4121.67N/AN/A6,0462,477425,479300,328
2007-01-16$13.92$14.0030.3%8.7%0.0%0.0%31.4%0.4%4.4%3.5M-104.2M-1.1M0.8111.80N/AN/A9,4627,654425,981301,058
2007-01-17$13.68$14.0031.8%9.1%0.0%0.0%32.3%0.8%2.7%3.4M-84.6M-1.0M0.9311.89N/AN/A6,6436,207430,376298,626
2007-01-18$13.25$14.0032.7%9.4%0.0%0.0%32.9%-1.6%2.1%1.7M-47.1M-998.2K0.329.14N/AN/A20,6196,654434,108300,787
2007-01-19$13.27$14.0031.0%8.9%0.0%0.0%28.9%-1.1%3.4%1.5M-59.1M-1.0M1.059.05N/AN/A13,21113,907449,887303,143
2007-01-22$13.07$14.0030.4%8.7%0.0%0.0%29.8%2.6%0.2%1.3M-18.9M-989.6K1.9021.29N/AN/A5,26710,033238,50797,619
2007-01-23$12.93$14.0031.3%9.0%0.0%0.0%31.5%1.2%-2.9%994.7K-7.5M-986.9K1.5614.77N/AN/A7,99712,467242,000106,733
2007-01-24$13.23$14.0031.5%9.0%0.0%0.0%31.4%2.7%-1.2%1.2M-21.7M-1.1M0.2712.71N/AN/A10,7862,954246,864116,219
2007-01-25$13.09$14.0030.2%8.7%29.4%0.0%30.0%1.1%-1.0%1.2M-19.8M-1.1M0.2512.26N/AN/A5,3611,356253,451116,154
2007-01-26$13.20$14.0030.1%8.6%28.9%0.0%29.7%3.6%-1.2%1.4M-22.9M-1.1M0.1212.61N/AN/A4,287507257,256117,135
2007-01-29$13.03$14.0031.2%9.0%28.2%0.0%33.8%-0.3%-0.4%1.3M-17.0M-1.0M0.2711.15N/AN/A12,0273,263258,144117,334
2007-01-30$12.99$14.0028.2%8.1%27.4%0.0%28.3%1.7%1.8%1.3M-17.6M-1.1M0.938.90N/AN/A3,9453,659267,815117,857
2007-01-31$12.95$14.0028.9%8.3%26.6%0.0%29.5%0.7%-0.1%1.2M-14.2M-1.1M0.479.03N/AN/A3,7471,757269,854120,279