MU Options History — April 2007

In April 2007, MU traded between $10.95 and $12.23. ATM implied volatility averaged 31.4%. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 2.3% (HV 20d: 29.2%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2007-04-10: Highest Volume — 111,458 contracts
  • 2007-04-05: Largest IV drop — 16.9% change
  • 2007-04-03: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.47$10.95$12.23$12.13$11.47
Max Pain$11.25$11.00$12.00$12.00$11.00
ATM IV31.4%24.2%37.1%37.0%24.2%
Expected Move8.9%6.9%10.6%10.6%6.9%
HV 20d29.2%23.6%31.3%24.7%30.3%
HV 60d25.9%25.0%27.0%25.4%27.0%
Term Structure0.3%-4.2%5.6%-3.9%5.6%
VWIV31.4%23.9%39.6%36.8%24.6%
Skew 25d1.7%-5.6%13.2%2.3%-2.7%
Skew 10d5.0%-6.5%18.6%-6.5%1.5%
Call IV 25d31.0%17.2%41.4%36.2%27.9%
Put IV 25d32.7%25.0%45.3%38.5%25.2%
Bid-Ask Spread %10.327.7116.539.1110.94
Gamma HHI0.200.140.310.210.20
Net GEX532.7K-2.0M3.0M418.0K2.3M
Net DEX24.0M-51.7M87.1M1.5M-15.5M
Net VEX-1.1M-1.3M-1.0M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.129.080.360.36
Total Volume29,245.255,571111,45826,4345,571
Total OI613,521.1520,636732,892573,392569,733

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$12.13$12.0037.0%10.6%24.7%0.0%36.8%2.3%-3.9%418.0K1.5M-1.2M0.369.11N/AN/A19,4816,953353,374220,018
2007-04-03$12.23$12.0037.1%10.6%24.8%0.0%39.6%-1.7%-4.2%807.2K-8.2M-1.3M0.608.75N/AN/A17,22710,254368,650225,656
2007-04-04$12.07$12.0036.0%10.3%23.6%0.0%37.8%5.3%-3.6%902.2K2.6M-1.3M0.5110.88N/AN/A22,71811,626379,372228,255
2007-04-05$11.51$12.0029.9%8.6%29.3%0.0%29.6%-1.2%0.8%-6.3K56.9M-1.2M1.077.71N/AN/A40,27842,952390,108232,503
2007-04-09$11.18$12.0032.7%8.8%31.0%0.0%32.2%-2.7%3.5%-291.5K71.4M-1.1M0.319.08N/AN/A26,4118,070402,792225,821
2007-04-10$11.22$11.0035.0%9.4%31.1%0.0%32.9%6.0%-0.7%161.2K61.3M-1.1M9.0816.53N/AN/A11,057100,401418,116225,811
2007-04-11$11.30$11.0033.2%9.0%30.9%0.0%31.4%0.7%2.4%-2.0M87.1M-1.3M1.1310.13N/AN/A12,96114,675414,764318,128
2007-04-12$11.45$11.0032.5%9.3%29.4%0.0%31.9%2.3%0.8%571.0K30.3M-1.1M0.299.90N/AN/A5,3161,540419,390227,369
2007-04-13$11.26$11.0031.5%9.0%30.0%0.0%33.1%-0.3%1.3%-190.0K44.7M-1.1M0.129.17N/AN/A10,4811,287416,966227,685
2007-04-16$11.07$11.0031.9%9.1%30.3%0.0%33.8%-3.7%1.2%-654.5K63.0M-1.0M3.058.70N/AN/A7,57423,128423,166227,630
2007-04-17$10.95$11.0032.7%9.4%30.1%0.0%33.4%2.0%0.8%-866.7K74.8M-1.0M0.5412.24N/AN/A11,1506,031427,097233,323
2007-04-18$11.10$11.0032.6%9.3%30.6%0.0%32.9%-1.7%1.6%-328.4K46.2M-1.1M0.8310.84N/AN/A14,83412,340433,976221,285
2007-04-19$11.13$11.0032.5%9.3%28.6%0.0%32.4%1.2%1.1%-396.7K41.2M-1.1M0.3810.66N/AN/A7,0542,674445,115221,454
2007-04-20$11.19$11.0032.2%9.2%28.7%0.0%31.8%4.2%0.5%250.4K29.5M-1.1M0.2811.95N/AN/A9,6452,697443,868220,612
2007-04-23$11.21$11.0029.0%8.3%28.7%0.0%29.4%-5.6%-1.0%797.4K17.9M-1.0M0.2711.88N/AN/A7,1031,941332,674187,962
2007-04-24$11.59$11.0030.0%8.6%31.3%0.0%28.3%4.8%-3.2%1.5M-13.7M-1.1M0.2910.93N/AN/A30,2388,844334,151188,897
2007-04-25$11.77$11.0026.8%7.7%29.2%0.0%27.1%6.3%0.9%2.3M-28.8M-1.2M0.269.03N/AN/A13,6933,618351,166195,153
2007-04-26$11.97$11.0025.9%7.4%29.9%0.0%23.9%13.2%1.3%3.0M-51.7M-1.2M0.189.19N/AN/A35,3606,406356,208198,669
2007-04-27$11.69$11.0026.0%7.5%30.7%0.0%26.1%4.8%1.4%2.5M-29.7M-1.2M0.238.71N/AN/A9,1632,153366,606196,899
2007-04-30$11.47$11.0024.2%6.9%30.3%0.0%24.6%-2.7%5.6%2.3M-15.5M-1.2M0.3610.94N/AN/A4,1111,460371,769197,964