MU Options History — June 2007

In June 2007, MU traded between $11.94 and $13.24. ATM implied volatility averaged 40.1%. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 6.7% (HV 20d: 33.4%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2007-06-01: Highest Volume — 144,293 contracts
  • 2007-06-12: Largest IV spike — 33.8% change
  • 2007-06-01: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.44$11.94$13.24$12.60$12.53
Max Pain$12.00$12.00$12.00$12.00$12.00
ATM IV40.1%31.9%51.2%51.2%31.9%
Expected Move11.8%9.1%14.7%14.7%9.1%
HV 20d33.4%29.6%36.2%36.2%34.0%
HV 60d31.9%30.3%33.4%30.4%33.4%
Term Structure-3.3%-7.1%-0.4%-7.1%-0.4%
VWIV41.6%30.6%50.6%50.6%30.6%
Skew 25d-3.3%-20.4%1.0%-20.4%-4.7%
Skew 10d-7.3%-45.8%14.5%-45.8%-11.3%
Call IV 25d44.0%34.7%62.5%62.5%34.7%
Put IV 25d40.7%30.1%44.7%42.1%30.1%
Bid-Ask Spread %10.897.6615.5911.7811.49
Gamma HHI0.270.190.430.220.29
Net GEX8.9M6.5M11.6M7.8M10.7M
Net DEX-195.3M-303.6M-112.0M-216.5M-214.0M
Net VEX-1.6M-1.7M-1.5M-1.6M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.040.640.240.44
Total Volume38,911.0489,669144,293144,29324,746
Total OI825,170.19750,004881,333770,914867,517

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$12.60$12.0051.2%14.7%36.2%0.0%50.6%-20.4%-7.1%7.8M-216.5M-1.6M0.2411.78N/AN/A116,64927,644538,459232,455
2007-06-04$12.57$12.0048.1%12.1%33.1%0.0%43.1%-3.3%-5.3%8.8M-214.1M-1.6M0.1311.30N/AN/A32,2554,239561,835241,362
2007-06-05$12.45$12.0035.8%11.9%33.3%0.0%43.2%-1.7%-4.1%9.0M-195.7M-1.6M0.2715.59N/AN/A17,4954,713564,310243,514
2007-06-06$12.24$12.0039.1%11.8%33.8%0.0%41.7%-5.6%-3.5%7.9M-155.2M-1.5M0.0913.44N/AN/A38,3573,287557,443244,638
2007-06-07$11.95$12.0039.9%12.3%31.5%0.0%43.2%-1.9%-5.2%8.0M-112.0M-1.5M0.1613.89N/AN/A31,0294,889574,298245,635
2007-06-08$12.35$12.0036.3%12.1%33.1%0.0%41.4%-2.9%-2.6%9.7M-177.6M-1.6M0.0910.98N/AN/A36,6763,196583,434248,700
2007-06-11$11.99$12.0033.3%11.8%34.3%0.0%41.3%-2.7%-3.9%9.7M-124.2M-1.5M0.6410.39N/AN/A7,1484,554606,335248,937
2007-06-12$11.96$12.0044.6%12.6%34.3%0.0%45.0%-2.3%-4.5%9.0M-122.7M-1.5M0.157.66N/AN/A23,5813,544598,313249,267
2007-06-13$11.94$12.0034.2%12.1%33.7%0.0%43.5%-1.6%-2.0%9.8M-117.8M-1.5M0.3314.46N/AN/A20,6266,802605,161249,017
2007-06-14$12.23$12.0044.8%12.8%34.8%0.0%45.8%-5.1%-5.3%11.6M-184.7M-1.6M0.2611.06N/AN/A38,1579,829613,234249,954
2007-06-15$12.58$12.0041.0%11.8%29.6%0.0%41.1%-1.3%-2.3%8.4M-248.5M-1.6M0.138.14N/AN/A39,4955,052628,533252,800
2007-06-18$12.55$12.0038.6%11.1%29.6%0.0%38.9%-1.5%-1.4%6.5M-188.1M-1.6M0.2213.66N/AN/A16,9833,754518,613231,391
2007-06-19$12.44$12.0038.5%11.0%29.9%0.0%39.8%-1.0%-2.2%6.5M-173.5M-1.5M0.219.94N/AN/A7,9721,697528,485232,682
2007-06-20$12.72$12.0039.6%11.4%30.3%0.0%39.9%-0.9%-2.5%7.0M-217.4M-1.6M0.218.43N/AN/A60,23512,819534,015233,280
2007-06-21$13.24$12.0040.1%11.5%32.6%0.0%40.5%1.0%-2.6%8.5M-303.6M-1.7M0.0410.61N/AN/A85,4233,220567,032233,212
2007-06-22$12.83$12.0042.0%12.0%34.6%0.0%42.1%-4.6%-4.9%9.8M-278.1M-1.7M0.439.66N/AN/A12,6125,382616,170230,922
2007-06-25$12.65$12.0041.9%12.0%35.0%0.0%41.6%-3.3%-4.7%9.5M-230.1M-1.6M0.259.63N/AN/A21,1755,331610,191232,190
2007-06-26$12.45$12.0037.9%10.9%35.6%0.0%39.0%-3.3%-1.4%9.2M-206.1M-1.6M0.588.61N/AN/A15,6249,074608,760235,617
2007-06-27$12.66$12.0041.7%12.0%35.9%0.0%40.6%-0.1%-3.0%9.6M-233.3M-1.6M0.519.37N/AN/A10,2295,227614,237240,904
2007-06-28$12.41$12.0040.7%11.7%35.9%0.0%41.5%-1.6%-1.3%9.3M-188.5M-1.6M0.558.67N/AN/A23,56112,851615,951239,771
2007-06-29$12.53$12.0031.9%9.1%34.0%0.0%30.6%-4.7%-0.4%10.7M-214.0M-1.5M0.4411.49N/AN/A17,1757,571620,482247,035