MU Options History — November 2007

In November 2007, MU traded between $7.94 and $10.47. ATM implied volatility averaged 45.1%, placing in the 71.3% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 3.9% (HV 20d: 41.2%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2007-11-20: Highest Volume — 63,112 contracts
  • 2007-11-15: Largest IV spike — 49.5% change
  • 2007-11-13: Highest IV Rank — 100.0%
  • 2007-11-26: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.08$7.94$10.47$10.32$8.32
Max Pain$9.67$9.00$10.00$10.00$9.00
ATM IV45.1%30.4%56.2%38.5%52.3%
Expected Move13.0%10.5%15.1%11.0%15.0%
HV 20d41.2%32.9%48.5%33.2%48.5%
HV 60d41.2%39.3%44.3%41.4%44.3%
IV Rank71.3%27.7%100.0%56.1%89.0%
IV Percentile85.3%22.8%100.0%73.8%98.3%
Term Structure0.7%-3.0%5.3%3.1%-2.4%
VWIV45.3%36.9%54.9%38.7%44.1%
Skew 25d1.7%-6.5%13.9%-3.0%13.2%
Skew 10d3.3%-19.0%34.4%-1.0%27.6%
Call IV 25d45.3%36.7%57.4%39.2%43.3%
Put IV 25d47.0%36.2%56.5%36.2%56.5%
Bid-Ask Spread %11.247.2414.3613.4910.20
Gamma HHI0.160.130.190.180.15
Net GEX1.1M477.9K2.7M2.6M913.4K
Net DEX28.3M-23.8M50.4M-20.7M22.8M
Net VEX-746.3K-939.7K-626.7K-935.9K-725.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.032.000.300.37
Total Volume15,533.9522,70363,1128,0526,426
Total OI623,786.571605,171642,058613,683642,058

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$10.32$10.0038.5%11.0%33.2%56.1%38.7%-3.0%3.1%2.6M-20.7M-935.9K0.3013.49N/AN/A6,2111,841457,764155,919
2007-11-02$10.47$10.0036.8%10.5%32.9%50.7%36.9%-0.1%4.5%2.7M-23.8M-939.7K0.3212.16N/AN/A2,999955456,756156,579
2007-11-05$10.14$10.0040.2%11.8%34.7%61.5%41.6%3.1%1.8%2.3M-3.3M-873.6K0.7514.21N/AN/A1,7741,334456,924156,919
2007-11-06$9.92$10.0039.4%11.2%35.2%58.9%40.8%1.7%1.6%1.9M17.4M-797.1K1.4212.13N/AN/A5,4997,813457,186156,625
2007-11-07$9.49$10.0040.5%11.7%37.8%62.4%41.8%-1.5%2.5%1.3M36.1M-739.0K0.5513.02N/AN/A6,9903,815457,439160,204
2007-11-08$9.33$10.0042.9%13.1%37.9%69.9%44.6%4.3%-1.7%1.1M41.9M-716.5K1.0614.36N/AN/A3,7323,971461,435161,213
2007-11-09$9.64$10.0042.8%13.1%40.4%69.6%45.8%-0.2%-0.8%1.6M24.7M-766.1K0.3811.35N/AN/A9,8383,763463,606160,341
2007-11-12$9.32$10.0045.0%12.8%41.7%76.5%47.2%0.4%1.6%1.1M40.0M-719.1K0.8412.38N/AN/A1,4701,233469,920161,600
2007-11-13$9.42$10.0056.2%13.0%42.1%100.0%47.5%3.0%-1.9%1.2M39.9M-705.4K0.3312.75N/AN/A4,3211,438469,922161,995
2007-11-14$9.35$10.0030.4%12.2%42.1%27.7%42.2%-2.9%1.5%803.1K41.6M-704.4K0.119.47N/AN/A4,773548470,242161,788
2007-11-15$9.24$10.0045.5%13.0%41.4%69.9%46.1%-0.1%-0.8%760.9K43.3M-698.2K0.3013.61N/AN/A9,3462,849472,401161,175
2007-11-16$9.15$10.0043.8%12.5%39.1%65.1%42.9%2.5%2.7%633.6K47.3M-650.1K0.1011.59N/AN/A45,0604,565478,751159,469
2007-11-19$8.84$10.0045.3%13.0%40.5%69.4%46.1%-6.4%0.8%736.6K40.0M-849.6K0.2111.20N/AN/A7,5621,552458,210175,166
2007-11-20$8.53$10.0045.0%12.9%41.7%68.5%45.5%3.3%3.6%555.3K50.4M-777.7K2.007.24N/AN/A21,01242,100460,880170,908
2007-11-21$8.08$9.0047.7%13.7%44.7%76.0%48.8%-2.5%5.3%479.2K41.5M-664.1K0.768.07N/AN/A24,20618,504454,076151,095
2007-11-23$8.37$9.0048.7%14.0%46.2%78.8%49.0%1.8%1.1%625.8K32.5M-693.3K0.248.18N/AN/A4,7001,119462,723150,245
2007-11-26$8.02$9.0052.7%15.1%45.3%90.0%54.9%-6.5%-1.0%577.8K35.5M-669.9K1.348.40N/AN/A3,1914,278464,597150,027
2007-11-27$7.94$9.0052.5%15.1%43.6%89.6%54.2%1.3%-1.9%477.9K40.0M-626.7K0.3812.36N/AN/A9,8333,759465,579149,852
2007-11-28$8.46$9.0050.4%14.5%48.5%83.7%43.8%13.9%-3.0%719.8K25.1M-695.1K0.138.52N/AN/A26,5403,333472,694146,547
2007-11-29$8.23$9.0050.7%14.5%47.9%84.4%47.9%10.0%-1.3%958.4K23.1M-726.2K0.0311.41N/AN/A11,584376489,905148,783
2007-11-30$8.32$9.0052.3%15.0%48.5%89.0%44.1%13.2%-2.4%913.4K22.8M-725.0K0.3710.20N/AN/A4,6921,734493,330148,728