MU Options History — February 2007

In February 2007, MU traded between $11.86 and $13.16. ATM implied volatility averaged 27.1%. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 2.6% (HV 20d: 24.5%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.29.

Notable Days

  • 2007-02-15: Highest Volume — 60,511 contracts
  • 2007-02-27: Largest IV spike — 20.2% change
  • 2007-02-13: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.48$11.86$13.16$12.85$11.86
Max Pain$13.05$13.00$14.00$14.00$13.00
ATM IV27.1%24.1%29.5%28.5%27.5%
Expected Move7.9%6.9%8.5%8.2%7.9%
HV 20d24.5%22.2%27.3%25.9%25.8%
Term Structure4.6%-0.1%7.1%-0.1%4.6%
VWIV27.7%23.8%31.9%28.6%28.4%
Skew 25d-0.2%-8.2%10.4%8.4%10.4%
Skew 10d-0.1%-14.4%16.7%13.3%16.7%
Call IV 25d28.0%22.4%33.9%23.9%22.4%
Put IV 25d27.7%19.2%37.2%32.3%32.8%
Bid-Ask Spread %12.246.8219.6611.788.41
Gamma HHI0.170.130.190.190.18
Net GEX88.8K-1.3M1.4M1.1M-1.1M
Net DEX25.4M-26.1M58.6M-7.2M58.6M
Net VEX-1.1M-1.2M-962.9K-1.0M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.076.401.840.75
Total Volume18,039.4211,78160,51111,5098,292
Total OI436,944.684392,636481,959392,636481,959

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$12.85$14.0028.5%8.2%25.9%0.0%28.6%8.4%-0.1%1.1M-7.2M-1.0M1.8411.78N/AN/A4,0477,462271,346121,290
2007-02-02$13.16$13.0025.7%8.1%27.3%0.0%28.3%-0.5%4.1%1.4M-26.1M-1.1M0.4716.37N/AN/A4,6272,195273,468127,420
2007-02-05$13.12$13.0025.6%8.0%26.8%0.0%27.5%1.6%4.4%1.3M-23.2M-1.1M0.6519.53N/AN/A2,2571,457275,902119,535
2007-02-06$13.02$13.0027.5%8.0%26.4%0.0%27.6%-0.9%3.8%1.2M-17.2M-1.1M0.4516.47N/AN/A1,232549276,462119,985
2007-02-07$12.97$13.0026.1%7.9%26.4%0.0%27.5%2.6%5.0%1.0M-15.4M-1.0M6.4013.55N/AN/A3,52722,585276,776119,836
2007-02-08$12.90$13.0028.0%8.0%23.7%0.0%28.3%0.8%4.3%651.8K4.1M-1.1M0.2613.11N/AN/A3,9121,034278,298135,667
2007-02-09$12.56$13.0027.8%8.0%24.8%0.0%28.1%-1.1%5.9%551.4K28.1M-1.0M0.9811.04N/AN/A13,14512,827280,299140,682
2007-02-12$12.27$13.0029.3%8.4%22.9%0.0%28.9%5.0%3.3%339.4K44.8M-962.9K1.069.11N/AN/A5,2235,514287,374146,550
2007-02-13$12.21$13.0029.5%8.5%22.2%0.0%28.9%0.2%4.5%398.7K44.6M-968.1K2.709.94N/AN/A5,18214,002288,734145,333
2007-02-14$12.56$13.0028.4%8.1%25.0%0.0%27.4%-0.1%3.5%376.5K26.9M-1.1M0.248.49N/AN/A14,1673,429290,152151,052
2007-02-15$12.51$13.0028.1%8.0%22.8%0.0%28.0%-3.1%4.9%416.8K31.8M-1.1M1.078.71N/AN/A29,20631,305298,772151,767
2007-02-16$12.32$13.0027.2%7.8%23.1%0.0%27.5%-5.2%5.8%-161.6K52.2M-1.1M0.079.44N/AN/A42,9452,909299,771181,621
2007-02-20$12.10$13.0027.3%7.8%23.4%0.0%27.3%-5.1%4.6%-303.3K42.1M-1.1M0.5815.50N/AN/A5,4023,160302,191163,996
2007-02-21$11.97$13.0024.1%6.9%23.4%0.0%23.8%-8.2%5.8%-826.4K48.6M-980.4K4.627.90N/AN/A7,61435,150260,633161,555
2007-02-22$12.16$13.0025.9%7.4%22.4%0.0%24.8%-3.8%5.2%-1.3M52.6M-1.1M1.146.82N/AN/A6,4917,422264,330193,441
2007-02-23$12.38$13.0024.7%7.1%23.6%0.0%26.0%-2.7%7.1%-1.2M41.0M-1.1M0.3214.34N/AN/A8,6022,746268,325197,238
2007-02-26$12.34$13.0024.4%7.0%23.2%0.0%27.6%-6.1%5.9%-1.0M40.8M-1.2M0.4612.35N/AN/A7,3753,385273,567198,392
2007-02-27$11.90$13.0029.3%8.4%25.8%0.0%31.9%3.3%3.8%-1.1M55.4M-1.1M0.4019.66N/AN/A8,8373,535278,989199,241
2007-02-28$11.86$13.0027.5%7.9%25.8%0.0%28.4%10.4%4.6%-1.1M58.6M-1.1M0.758.41N/AN/A4,7383,554282,237199,722