MU Options History — March 2007

In March 2007, MU traded between $11.26 and $12.08. ATM implied volatility averaged 31.7%. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 7.3% (HV 20d: 24.4%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2007-03-27: Highest Volume — 46,525 contracts
  • 2007-03-13: Largest IV spike — 85.7% change
  • 2007-03-05: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.61$11.26$12.08$11.86$12.08
Max Pain$12.86$12.00$13.00$13.00$12.00
ATM IV31.7%20.5%38.0%28.4%33.4%
Expected Move9.8%8.1%11.1%8.1%9.6%
HV 20d24.4%23.1%26.2%25.8%25.2%
HV 60d25.0%24.4%25.6%24.8%25.5%
Term Structure-0.9%-5.0%5.3%5.3%-2.1%
VWIV34.1%29.0%38.5%29.6%33.4%
Skew 25d0.8%-3.2%11.4%11.4%1.4%
Skew 10d0.6%-9.7%17.7%17.7%10.1%
Call IV 25d34.6%22.7%38.8%22.7%34.0%
Put IV 25d35.5%32.0%39.4%34.1%35.5%
Bid-Ask Spread %8.556.1511.939.098.82
Gamma HHI0.190.160.260.180.20
Net GEX-755.8K-1.2M451.1K-1.1M451.1K
Net DEX58.4M6.6M83.0M58.6M6.6M
Net VEX-1.1M-1.2M-993.5K-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.102.540.130.69
Total Volume13,003.0452,63446,52510,89216,661
Total OI523,364.955487,775565,206487,775565,206

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$11.86$13.0028.4%8.1%25.8%0.0%29.6%11.4%5.3%-1.1M58.6M-1.1M0.139.09N/AN/A9,6541,238285,068202,707
2007-03-02$11.83$13.0034.4%9.9%25.8%0.0%35.4%-1.8%1.8%-838.5K53.7M-1.1M0.107.29N/AN/A29,1552,944291,883202,543
2007-03-05$11.67$13.0036.4%11.1%23.8%0.0%38.5%-0.5%-3.8%-528.1K60.3M-1.1M0.469.38N/AN/A5,0362,313302,785204,052
2007-03-06$11.71$13.0030.0%10.1%24.0%0.0%35.0%-0.5%-0.9%-784.4K64.0M-1.1M0.5011.93N/AN/A5,3982,692303,766204,590
2007-03-07$11.44$13.0030.8%10.0%24.8%0.0%35.3%-3.2%0.5%-773.0K74.7M-1.1M0.317.81N/AN/A3,6291,131306,689205,374
2007-03-08$11.33$13.0028.9%10.2%24.8%0.0%35.9%-0.8%-1.0%-823.3K83.0M-993.5K0.728.34N/AN/A7,8425,621308,856204,706
2007-03-09$11.42$13.0023.3%10.1%25.3%0.0%34.3%-0.4%-2.4%-800.0K77.5M-1.0M0.548.85N/AN/A5,5783,022312,571206,383
2007-03-12$11.40$13.0020.5%10.2%24.2%0.0%34.1%-0.7%-0.7%-767.8K77.5M-1.0M0.419.57N/AN/A11,2694,599316,911207,416
2007-03-13$11.26$13.0038.0%10.3%23.4%0.0%32.4%0.7%-1.0%-739.1K82.0M-1.0M0.846.19N/AN/A7,2506,104324,136211,093
2007-03-14$11.59$13.0025.3%10.2%26.2%0.0%36.5%0.8%-1.4%-788.9K68.0M-1.1M0.639.52N/AN/A7,0374,405327,786212,791
2007-03-15$11.56$13.0035.1%10.1%23.5%0.0%35.0%1.1%-0.5%-850.4K68.5M-1.1M0.199.33N/AN/A6,5321,260331,350214,767
2007-03-16$11.44$13.0034.3%9.8%23.6%0.0%35.3%1.4%0.5%-785.8K74.5M-1.1M0.406.15N/AN/A4,6241,854334,697213,866
2007-03-19$11.27$13.0034.3%9.8%23.6%0.0%34.9%-0.9%-0.8%-894.2K69.0M-1.0M0.636.43N/AN/A4,3782,771303,802195,264
2007-03-20$11.27$13.0031.8%9.1%23.1%0.0%32.1%0.7%0.0%-965.3K69.0M-1.0M2.547.12N/AN/A3,7979,652306,069196,415
2007-03-21$11.60$13.0031.0%8.9%25.6%0.0%31.8%0.4%-0.2%-911.8K52.4M-1.1M1.528.16N/AN/A6,2779,545306,899202,687
2007-03-22$11.62$13.0031.6%9.1%24.8%0.0%29.0%0.2%-1.7%-1.2M55.1M-1.1M0.238.16N/AN/A2,147487308,914210,192
2007-03-23$11.59$13.0032.9%9.4%23.6%0.0%33.0%-1.7%-2.3%-1.2M56.2M-1.1M0.158.60N/AN/A7,6881,134310,132210,344
2007-03-26$11.61$13.0031.4%9.0%23.7%0.0%32.0%-0.5%-0.5%-1.2M55.2M-1.1M0.148.02N/AN/A3,885551313,587211,380
2007-03-27$12.01$13.0035.8%10.3%23.7%0.0%36.4%4.3%-2.2%-707.9K29.1M-1.2M0.1210.09N/AN/A41,6924,833315,571211,638
2007-03-28$12.01$12.0036.5%10.5%23.7%0.0%36.3%4.2%-5.0%-95.5K17.4M-1.2M0.3210.58N/AN/A8,8102,831339,370213,065
2007-03-29$11.84$12.0033.1%9.5%24.2%0.0%33.0%2.7%-1.1%-373.6K32.9M-1.2M0.118.63N/AN/A16,9211,820342,129214,579
2007-03-30$12.08$12.0033.4%9.6%25.2%0.0%33.4%1.4%-2.1%451.1K6.6M-1.2M0.698.82N/AN/A9,8726,789350,617214,589