MU Options History — August 2007 In August 2007, MU traded between $10.60 and $12.50. ATM implied volatility averaged 43.3%, placing in the 72.8% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 2.0% (HV 20d: 41.3%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.38.
Notable Days 2007-08-01 : Highest Volume — 39,239 contracts2007-08-08 : Largest IV drop — 17.5% change2007-08-13 : Highest IV Rank — 100.0%2007-08-16 : Largest Expected Move — 14.6%Monthly Statistics Metric Avg Min Max Open Close Price $11.47 $10.60 $12.50 $12.10 $11.45 Max Pain $11.65 $11.00 $13.00 $13.00 $11.00 ATM IV 43.3% 34.4% 52.6% 48.5% 35.1% Expected Move 12.1% 9.9% 14.6% 13.9% 10.1% HV 20d 41.3% 33.7% 48.8% 39.0% 43.0% HV 60d 36.7% 34.1% 38.7% 35.1% 38.3% IV Rank 72.8% 43.2% 100.0% 91.1% 45.6% IV Percentile 84.5% 59.3% 100.0% 98.6% 63.5% Term Structure 3.0% -3.9% 8.8% -3.9% 5.4% VWIV 42.8% 35.1% 54.7% 49.8% 35.8% Skew 25d -0.0% -10.2% 7.8% 5.3% 7.8% Skew 10d 2.3% -33.1% 25.8% -5.3% 25.8% Call IV 25d 42.8% 29.7% 52.3% 47.9% 29.7% Put IV 25d 42.7% 36.9% 53.1% 53.1% 37.5% Bid-Ask Spread % 14.11 7.57 24.12 13.99 9.67 Gamma HHI 0.19 0.13 0.30 0.27 0.16 Net GEX 3.4M 1.0M 8.3M 4.1M 3.1M Net DEX -30.5M -131.3M 22.3M -16.7M -49.2M Net VEX -1.2M -1.4M -1.1M -1.2M -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.38 0.05 1.68 0.32 0.46 Total Volume 17,051.217 2,237 39,239 39,239 4,067 Total OI 646,456.261 540,703 728,485 682,778 587,017
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-08-01 $12.10 $13.00 48.5% 13.9% 39.0% 91.1% 49.8% 5.3% -3.9% 4.1M -16.7M -1.2M 0.32 13.99 N/A N/A 29,807 9,432 495,854 186,924 2007-08-02 $11.82 $13.00 44.7% 12.8% 39.4% 78.9% 47.4% -4.2% -3.6% 4.3M -29.0M -1.3M 0.16 12.65 N/A N/A 13,206 2,127 506,016 187,912 2007-08-03 $11.64 $13.00 45.9% 13.2% 34.1% 82.9% 54.7% -10.2% -2.8% 3.9M -13.8M -1.2M 0.26 16.54 N/A N/A 21,577 5,612 505,481 188,244 2007-08-06 $11.63 $12.00 49.9% 12.5% 34.2% 95.6% 43.3% 0.5% 0.5% 3.8M -8.8M -1.2M 1.06 15.69 N/A N/A 6,752 7,171 507,405 188,977 2007-08-07 $11.59 $12.00 49.2% 12.9% 33.7% 93.6% 44.4% 0.9% -0.4% 3.5M -4.4M -1.2M 0.13 13.79 N/A N/A 21,416 2,741 508,902 188,704 2007-08-08 $12.07 $12.00 40.6% 11.5% 36.4% 65.6% 40.2% 0.9% 2.3% 5.4M -53.1M -1.3M 0.05 20.40 N/A N/A 36,932 1,669 523,540 180,416 2007-08-09 $12.50 $12.00 44.2% 12.4% 39.3% 77.3% 42.6% 4.4% 0.7% 8.3M -131.3M -1.4M 0.21 19.60 N/A N/A 16,420 3,513 535,586 179,386 2007-08-10 $12.21 $12.00 47.6% 13.3% 39.8% 88.3% 45.3% -0.8% 0.4% 6.6M -88.4M -1.4M 0.24 24.12 N/A N/A 10,805 2,574 534,903 180,488 2007-08-13 $11.97 $12.00 51.3% 12.9% 39.1% 100.0% 45.2% -0.0% 2.0% 5.6M -59.2M -1.3M 0.09 18.55 N/A N/A 8,538 745 540,211 182,710 2007-08-14 $11.52 $12.00 50.9% 13.7% 40.6% 98.9% 46.7% -2.6% 0.7% 3.6M -22.8M -1.2M 0.39 13.03 N/A N/A 4,635 1,820 546,405 182,080 2007-08-15 $11.06 $12.00 52.6% 13.1% 42.1% 100.0% 47.9% -5.3% 1.5% 2.1M 9.8M -1.1M 1.04 19.13 N/A N/A 5,796 6,023 546,685 178,299 2007-08-16 $10.60 $12.00 50.8% 14.6% 43.5% 94.5% 51.7% -1.7% 1.5% 1.5M 22.3M -1.1M 0.18 13.49 N/A N/A 30,610 5,374 540,228 171,531 2007-08-17 $10.99 $11.00 48.1% 13.8% 46.8% 86.1% 48.7% -0.4% 1.9% 1.0M 938.2K -1.1M 0.20 11.33 N/A N/A 20,964 4,197 551,106 172,020 2007-08-20 $10.98 $11.00 45.5% 13.0% 46.7% 77.9% 46.4% -3.1% 4.8% 2.3M -28.4M -1.1M 0.34 12.60 N/A N/A 13,340 4,560 400,023 140,680 2007-08-21 $11.36 $11.00 40.3% 11.6% 48.6% 61.7% 40.4% 0.0% 6.7% 2.7M -46.0M -1.2M 0.45 15.03 N/A N/A 15,712 7,114 407,203 147,935 2007-08-22 $11.45 $11.00 37.1% 10.6% 48.8% 51.8% 37.1% -0.8% 7.5% 2.6M -46.1M -1.2M 1.68 9.28 N/A N/A 2,394 4,031 408,499 153,154 2007-08-23 $11.12 $11.00 36.1% 10.4% 42.7% 48.8% 37.1% 0.7% 6.4% 2.2M -22.6M -1.1M 0.26 13.47 N/A N/A 4,412 1,131 406,364 155,398 2007-08-24 $11.02 $11.00 34.4% 9.9% 42.2% 43.2% 35.2% 4.0% 8.6% 2.0M -13.2M -1.1M 0.38 10.37 N/A N/A 10,221 3,855 405,966 154,201 2007-08-27 $11.23 $11.00 34.4% 9.9% 42.6% 43.3% 35.1% -0.0% 8.0% 2.4M -30.2M -1.1M 0.14 7.57 N/A N/A 8,859 1,223 412,190 156,590 2007-08-28 $11.00 $11.00 38.1% 10.9% 42.9% 54.7% 38.3% 1.0% 5.5% 2.2M -16.0M -1.1M 0.39 14.60 N/A N/A 1,605 632 415,622 156,285 2007-08-29 $11.24 $11.00 36.4% 10.4% 43.1% 49.7% 36.6% 2.9% 7.2% 2.4M -23.8M -1.1M 0.06 11.59 N/A N/A 18,409 1,060 415,832 156,105 2007-08-30 $11.21 $11.00 34.7% 9.9% 42.4% 44.2% 35.8% -0.4% 8.8% 2.6M -32.2M -1.1M 0.24 7.99 N/A N/A 7,361 1,736 422,924 156,493 2007-08-31 $11.45 $11.00 35.1% 10.1% 43.0% 45.6% 35.8% 7.8% 5.4% 3.1M -49.2M -1.2M 0.46 9.67 N/A N/A 2,787 1,280 429,949 157,068
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