MU Options History — July 2007

In July 2007, MU traded between $11.87 and $13.98. ATM implied volatility averaged 36.9%, placing in the 55.3% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 3.6% (HV 20d: 33.2%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2007-07-17: Highest Volume — 100,556 contracts
  • 2007-07-06: Largest IV spike — 16.4% change
  • 2007-07-31: Highest IV Rank — 90.5%
  • 2007-07-31: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.13$11.87$13.98$12.48$11.87
Max Pain$12.90$12.00$14.00$12.00$13.00
ATM IV36.9%30.1%48.3%32.3%48.3%
Expected Move10.5%8.6%13.8%9.2%13.8%
HV 20d33.2%26.7%38.8%34.0%38.8%
HV 60d32.9%31.4%36.0%31.8%34.9%
IV Rank55.3%40.5%90.5%40.5%90.5%
IV Percentile78.7%61.8%98.6%62.7%98.6%
Term Structure-0.3%-6.8%3.1%1.0%-6.8%
VWIV37.7%29.0%56.5%31.6%48.2%
Skew 25d-1.3%-9.6%10.4%2.9%-6.7%
Skew 10d-4.2%-30.4%11.9%3.7%-20.9%
Call IV 25d37.5%22.2%52.6%29.0%50.6%
Put IV 25d36.2%28.3%45.4%31.9%43.9%
Bid-Ask Spread %12.407.4422.599.1213.46
Gamma HHI0.310.230.430.300.25
Net GEX11.1M4.2M16.4M10.9M4.5M
Net DEX-284.3M-484.1M-33.5M-195.5M-33.5M
Net VEX-1.5M-1.7M-1.3M-1.5M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.041.680.210.99
Total Volume39,491.5716,184100,55615,35222,427
Total OI834,667.048614,549996,957871,678680,917

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$12.48$12.0032.3%9.2%34.0%0.0%31.6%2.9%1.0%10.9M-195.5M-1.5M0.219.12N/AN/A12,6422,710624,341247,337
2007-07-03$12.69$12.0030.1%8.6%34.3%0.0%29.0%4.3%1.4%12.6M-232.2M-1.5M0.397.44N/AN/A4,4421,742620,458245,911
2007-07-05$12.80$12.0032.9%9.4%33.7%40.5%32.6%10.4%-1.9%13.0M-257.5M-1.5M0.188.51N/AN/A8,2081,485626,681245,216
2007-07-06$13.45$13.0038.3%9.9%36.2%58.1%34.0%0.6%1.8%12.7M-374.7M-1.6M0.1012.17N/AN/A50,9535,099620,897245,734
2007-07-09$13.42$13.0035.3%9.6%34.8%48.1%33.8%-2.0%3.1%13.7M-375.0M-1.5M0.4511.30N/AN/A12,7785,810633,178246,655
2007-07-10$13.54$13.0035.9%10.7%32.5%50.2%36.9%-2.9%-1.9%13.4M-406.0M-1.5M0.4722.59N/AN/A51,91024,382635,662249,142
2007-07-11$13.84$13.0034.7%9.6%32.8%46.2%31.3%2.0%2.1%14.1M-465.8M-1.6M1.689.61N/AN/A18,28230,720663,031259,330
2007-07-12$13.74$14.0033.0%9.5%33.0%40.6%33.9%0.3%3.1%13.2M-413.0M-1.7M0.0611.36N/AN/A84,4565,227656,949284,388
2007-07-13$13.74$13.0034.1%9.8%32.5%44.4%34.4%1.1%0.8%14.0M-445.3M-1.6M0.1212.45N/AN/A22,0172,743674,566280,582
2007-07-16$13.98$13.0034.2%9.8%31.7%44.5%34.1%0.3%0.6%13.8M-484.1M-1.6M0.1210.63N/AN/A22,5772,630671,173280,869
2007-07-17$13.85$13.0034.8%10.0%32.0%46.6%36.2%-4.1%0.9%14.2M-456.0M-1.5M0.049.66N/AN/A97,0943,462666,302281,693
2007-07-18$13.66$13.0034.9%10.0%32.4%47.0%35.2%1.2%0.7%15.7M-431.7M-1.6M0.3912.52N/AN/A20,0377,737705,988283,310
2007-07-19$13.60$13.0035.2%10.1%31.8%47.9%34.3%1.0%-0.8%14.3M-425.4M-1.6M0.1412.33N/AN/A63,5638,856712,506284,451
2007-07-20$13.41$13.0034.1%9.8%29.2%44.3%35.9%-1.3%2.6%16.4M-366.3M-1.6M0.3317.69N/AN/A26,7968,917700,187290,706
2007-07-23$13.44$13.0037.4%10.7%26.7%54.9%41.0%-5.9%0.2%6.9M-181.8M-1.5M0.119.28N/AN/A51,4585,815452,151162,398
2007-07-24$13.05$13.0038.4%11.0%28.4%58.5%39.1%-2.7%-0.9%7.2M-141.6M-1.5M0.1911.44N/AN/A16,2003,003473,912165,903
2007-07-25$13.08$13.0037.4%10.7%27.6%55.0%38.8%-5.3%-1.9%7.4M-144.1M-1.5M0.3417.64N/AN/A9,7703,306476,781166,616
2007-07-26$12.14$13.0042.8%12.3%38.3%72.7%44.9%-4.2%-2.7%5.0M-58.1M-1.4M0.7613.27N/AN/A22,81017,364479,426168,533
2007-07-27$11.87$13.0044.8%12.8%38.5%79.0%49.8%-9.6%-3.6%4.2M-34.3M-1.3M0.1914.45N/AN/A44,4508,368488,602180,304
2007-07-30$12.02$13.0045.7%13.1%38.6%82.0%56.5%-7.2%-3.7%5.1M-49.2M-1.3M0.1813.47N/AN/A14,4592,618511,518183,704
2007-07-31$11.87$13.0048.3%13.8%38.8%90.5%48.2%-6.7%-6.8%4.5M-33.5M-1.3M0.9913.46N/AN/A11,29111,136496,623184,294