MU Options History — May 2007

In May 2007, MU traded between $11.35 and $12.36. ATM implied volatility averaged 34.1%. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 1.5% (HV 20d: 32.6%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2007-05-24: Highest Volume — 147,708 contracts
  • 2007-05-24: Largest IV spike — 79.1% change
  • 2007-05-24: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.84$11.35$12.36$11.35$12.18
Max Pain$11.50$11.00$12.00$11.00$12.00
ATM IV34.1%24.4%51.1%27.3%38.6%
Expected Move9.6%7.0%14.6%7.8%11.1%
HV 20d32.6%27.5%37.2%30.3%34.7%
HV 60d28.8%26.5%30.4%26.5%30.0%
Term Structure3.8%-2.7%8.5%0.7%5.3%
VWIV34.3%24.1%51.4%26.9%45.4%
Skew 25d-2.5%-14.5%3.9%-0.2%-10.5%
Skew 10d-5.9%-34.3%8.2%-0.5%-32.7%
Call IV 25d36.0%25.0%59.7%27.2%53.6%
Put IV 25d33.5%24.7%45.2%27.0%43.1%
Bid-Ask Spread %13.787.2723.0010.3512.80
Gamma HHI0.210.170.280.190.24
Net GEX3.8M1.8M6.9M1.8M6.9M
Net DEX-67.0M-146.0M1.1M1.1M-146.0M
Net VEX-1.3M-1.6M-822.3K-1.1M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.059.640.170.05
Total Volume33,938.2734,207147,70825,90736,771
Total OI634,200.545437,777751,105567,711751,105

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$11.35$11.0027.3%7.8%30.3%0.0%26.9%-0.2%0.7%1.8M1.1M-1.1M0.1710.35N/AN/A22,1423,765369,812197,899
2007-05-02$11.45$11.0024.4%7.0%30.4%0.0%24.1%-0.3%4.6%2.5M-18.8M-1.2M0.397.27N/AN/A3,0261,181386,574200,400
2007-05-03$11.39$11.0025.3%7.3%30.2%0.0%25.9%-1.9%5.0%2.0M-6.4M-1.2M9.6416.02N/AN/A5,09449,105382,697200,707
2007-05-04$11.91$11.0037.3%8.9%29.8%0.0%31.2%-0.1%3.2%3.3M-60.9M-1.3M1.1317.56N/AN/A33,22537,529385,509200,682
2007-05-07$11.96$11.0034.5%9.3%27.5%0.0%32.2%1.2%1.6%3.5M-64.2M-1.3M0.1317.24N/AN/A12,5091,664402,443230,721
2007-05-08$11.86$11.0034.2%8.9%27.8%0.0%30.4%2.1%3.2%3.6M-58.4M-1.3M1.6518.50N/AN/A2,8764,736402,288205,320
2007-05-09$12.36$11.0033.6%9.6%31.0%0.0%32.9%3.9%4.4%4.6M-112.9M-1.4M0.1316.29N/AN/A52,9717,070402,751207,714
2007-05-10$12.13$11.0032.1%9.2%31.9%0.0%32.9%-1.4%4.7%5.1M-109.8M-1.4M0.1021.28N/AN/A18,7961,871436,924209,614
2007-05-11$12.32$11.0032.1%9.2%31.3%0.0%31.9%1.8%3.6%5.5M-129.8M-1.4M0.5221.99N/AN/A8,9904,671438,780211,139
2007-05-14$12.29$11.0032.9%9.4%30.4%0.0%33.5%0.4%4.1%4.4M-104.5M-822.3K0.739.39N/AN/A9,8177,166278,615159,162
2007-05-15$12.07$11.0031.5%9.0%31.0%0.0%31.4%-1.2%5.8%4.5M-93.7M-1.4M0.7223.00N/AN/A13,4109,591442,148219,901
2007-05-16$12.14$12.0031.4%9.0%30.8%0.0%31.5%0.7%5.7%4.9M-109.2M-1.4M0.8212.23N/AN/A5,1154,214448,379223,192
2007-05-17$11.50$12.0033.1%9.5%37.2%0.0%33.6%-2.8%3.5%2.9M-21.5M-1.3M0.5913.52N/AN/A21,03712,504446,688225,340
2007-05-18$11.47$12.0033.8%9.7%37.2%0.0%31.0%2.0%4.6%2.4M-10.0M-1.3M0.5910.26N/AN/A9,6205,688448,643232,020
2007-05-21$11.45$12.0031.1%8.9%37.2%0.0%33.8%-6.4%5.6%2.3M-15.9M-1.3M0.629.70N/AN/A12,6007,753401,357209,011
2007-05-22$11.38$12.0029.5%8.5%35.2%0.0%31.7%-2.7%8.5%2.3M-6.5M-1.2M1.6310.86N/AN/A7,87212,832406,163210,510
2007-05-23$11.53$12.0028.5%8.2%35.1%0.0%28.5%3.9%7.8%2.8M-25.2M-1.3M1.3310.93N/AN/A5,0326,706410,991213,126
2007-05-24$11.81$12.0051.1%14.6%35.7%0.0%51.4%-14.5%-1.0%2.7M-67.4M-1.4M0.2211.69N/AN/A121,18626,522409,129207,998
2007-05-25$11.97$12.0047.8%13.7%34.9%0.0%49.3%-9.3%-2.7%4.4M-106.7M-1.5M0.2914.47N/AN/A56,05016,198466,083215,628
2007-05-29$11.96$12.0039.9%11.4%34.1%0.0%43.1%-8.8%3.9%5.7M-107.6M-1.5M0.178.36N/AN/A37,2986,233492,553228,628
2007-05-30$11.90$12.0039.9%11.4%33.9%0.0%42.8%-11.5%1.0%5.9M-98.5M-1.4M0.179.55N/AN/A20,6583,548502,994231,074
2007-05-31$12.18$12.0038.6%11.1%34.7%0.0%45.4%-10.5%5.3%6.9M-146.0M-1.6M0.0512.80N/AN/A34,8751,896519,031232,074