MU Options History — September 2007

In September 2007, MU traded between $10.41 and $11.64. ATM implied volatility averaged 39.9%, placing in the 60.5% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 5.4% (HV 20d: 34.5%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.52.

Notable Days

  • 2007-09-27: Highest Volume — 47,656 contracts
  • 2007-09-13: Largest IV spike — 33.7% change
  • 2007-09-27: Highest IV Rank — 81.4%
  • 2007-09-27: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.13$10.41$11.64$11.60$11.10
Max Pain$11.84$11.00$12.00$11.00$12.00
ATM IV39.9%31.3%46.6%31.3%42.5%
Expected Move12.0%9.0%13.4%9.0%12.2%
HV 20d34.5%27.4%43.9%43.2%35.8%
HV 60d37.2%36.2%38.7%37.7%38.7%
IV Rank60.5%33.7%81.4%33.7%68.7%
IV Percentile74.5%33.9%92.4%33.9%83.9%
Term Structure-0.4%-5.7%8.7%8.6%-1.2%
VWIV42.3%31.5%45.5%31.5%43.6%
Skew 25d0.4%-6.4%5.6%3.8%-4.0%
Skew 10d1.5%-13.0%17.8%6.9%-13.0%
Call IV 25d42.1%27.7%46.3%27.7%44.7%
Put IV 25d42.5%31.5%47.6%31.5%40.7%
Bid-Ask Spread %9.806.0814.7214.547.83
Gamma HHI0.150.130.170.170.14
Net GEX2.3M1.1M3.7M3.4M3.2M
Net DEX-23.1M-68.9M25.5M-62.2M-44.3M
Net VEX-1.1M-1.2M-879.4K-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.081.490.620.55
Total Volume12,841.4214,25647,65617,5487,644
Total OI607,042.421576,944632,922587,905632,922

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$11.60$11.0031.3%9.0%43.2%33.7%31.5%3.8%8.6%3.4M-62.2M-1.2M0.6214.54N/AN/A10,8546,694430,677157,228
2007-09-05$11.36$11.0034.1%9.8%43.9%42.4%34.3%-3.4%8.7%2.7M-35.2M-1.2M0.339.84N/AN/A6,2702,069432,431162,343
2007-09-06$11.50$11.0035.0%10.0%41.4%45.2%35.8%-0.0%8.0%3.0M-48.1M-1.2M0.3012.48N/AN/A12,7973,895434,302163,665
2007-09-07$11.40$12.0036.2%12.9%39.0%48.8%42.3%3.7%-3.9%3.0M-44.1M-1.2M0.268.96N/AN/A10,8242,832441,450162,844
2007-09-10$11.64$12.0036.0%12.7%39.3%48.5%43.5%5.6%-0.8%3.6M-68.9M-1.2M0.468.63N/AN/A7,3603,384442,358162,265
2007-09-11$11.63$12.0033.2%12.3%38.8%39.5%44.2%3.6%-0.3%3.7M-65.3M-1.2M0.7714.72N/AN/A3,9493,042444,379162,695
2007-09-12$11.25$12.0033.0%12.7%38.2%39.0%44.5%0.7%-2.2%2.8M-37.4M-1.1M1.497.52N/AN/A3,8705,762444,701163,937
2007-09-13$11.28$12.0044.2%12.7%35.2%73.8%45.5%2.6%-2.1%2.5M-32.3M-1.2M0.579.29N/AN/A2,7111,545445,615168,605
2007-09-14$11.00$12.0043.5%12.5%32.8%71.7%44.3%1.1%-0.7%2.0M-7.1M-1.1M0.338.39N/AN/A8,5852,794446,198169,060
2007-09-17$10.94$12.0045.5%13.1%30.3%78.0%44.8%1.7%-2.2%1.7M-4.3M-1.1M1.2713.99N/AN/A2,5473,230449,019170,347
2007-09-18$11.17$12.0043.5%12.5%31.2%71.7%44.3%1.1%-1.4%1.8M-23.3M-1.1M0.419.44N/AN/A4,9182,032449,483168,816
2007-09-19$10.94$12.0042.1%12.1%29.5%67.3%44.0%-0.2%-0.6%1.4M635.7K-1.0M0.319.61N/AN/A4,4461,373452,421168,922
2007-09-20$10.78$12.0042.7%12.2%29.6%69.1%43.4%0.3%-0.3%1.3M13.8M-1.0M0.098.16N/AN/A9,406855454,336169,602
2007-09-21$10.73$12.0041.1%11.8%27.9%64.4%41.4%3.3%-1.3%1.3M21.8M-940.0K0.719.39N/AN/A8,0485,704459,840169,016
2007-09-24$10.54$12.0043.3%12.4%28.4%71.2%43.3%-6.1%-5.7%1.5M12.1M-921.9K0.998.85N/AN/A5,1955,123422,324154,620
2007-09-25$10.41$12.0042.3%12.1%27.4%68.0%44.0%-6.4%-1.2%1.1M25.5M-879.4K0.107.49N/AN/A10,2811,003424,838158,171
2007-09-26$10.75$12.0042.0%12.0%29.5%66.9%42.8%-2.5%-4.2%1.5M8.8M-911.5K0.2010.93N/AN/A21,0434,246431,875156,262
2007-09-27$11.36$12.0046.6%13.4%34.8%81.4%45.5%2.3%-4.3%2.9M-49.2M-1.1M0.086.08N/AN/A44,1533,503446,894159,345
2007-09-28$11.10$12.0042.5%12.2%35.8%68.7%43.6%-4.0%-1.2%3.2M-44.3M-1.1M0.557.83N/AN/A4,9352,709473,657159,265