MU Options History — December 2007

In December 2007, MU traded between $7.25 and $9.26. ATM implied volatility averaged 51.9%, placing in the 78.3% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 1.9% (HV 20d: 50.1%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.39.

Notable Days

  • 2007-12-04: Highest Volume — 70,474 contracts
  • 2007-12-21: Largest IV drop — 16.5% change
  • 2007-12-10: Highest IV Rank — 100.0%
  • 2007-12-18: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.16$7.25$9.26$8.30$7.25
Max Pain$9.80$9.00$10.00$9.00$10.00
ATM IV51.9%42.4%62.7%52.0%48.3%
Expected Move14.5%12.2%16.6%14.9%13.8%
HV 20d50.1%41.7%55.3%47.7%41.7%
HV 60d45.8%41.3%47.7%44.3%41.3%
IV Rank78.3%52.0%100.0%88.0%65.8%
IV Percentile92.7%74.1%100.0%97.8%87.6%
Term Structure-1.7%-7.0%2.9%-2.3%1.0%
VWIV51.2%43.4%61.6%52.6%48.3%
Skew 25d1.7%-6.5%12.0%-5.2%10.7%
Skew 10d3.2%-19.0%19.7%-0.1%18.3%
Call IV 25d51.4%37.0%62.0%49.5%42.3%
Put IV 25d53.0%44.4%59.5%44.4%53.0%
Bid-Ask Spread %7.644.7810.358.686.36
Gamma HHI0.150.130.170.140.14
Net GEX1.0M378.1K1.9M916.3K378.1K
Net DEX23.5M-25.9M52.7M24.3M40.1M
Net VEX-592.4K-783.3K-408.9K-714.1K-408.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.061.601.350.15
Total Volume16,284.752,54270,4747,20817,965
Total OI643,712.05599,004668,228644,608599,004

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$8.30$9.0052.0%14.9%47.7%88.0%52.6%-5.2%-2.3%916.3K24.3M-714.1K1.358.68N/AN/A3,0624,146495,482149,126
2007-12-04$8.60$9.0049.1%14.1%49.8%79.9%50.2%4.1%-1.4%1.1M18.1M-736.2K0.669.58N/AN/A42,52827,946495,221151,678
2007-12-05$8.95$9.0051.7%14.8%52.4%87.3%51.2%10.4%-1.9%1.6M-6.3M-744.5K0.199.26N/AN/A24,9964,725494,445143,121
2007-12-06$9.26$9.0054.1%15.5%52.0%93.9%55.5%-0.1%0.4%1.9M-25.9M-783.3K0.2610.35N/AN/A42,38710,860495,188141,467
2007-12-07$9.03$10.0051.4%14.3%52.4%86.5%49.6%7.0%0.2%1.8M-7.4M-762.2K0.139.03N/AN/A9,7091,260512,322150,122
2007-12-10$8.98$10.0057.6%14.8%50.8%100.0%52.1%3.8%-4.2%1.7M-4.5M-751.0K0.397.65N/AN/A4,9901,946509,512150,751
2007-12-11$8.60$10.0062.7%14.3%51.6%100.0%50.6%3.1%-0.8%1.4M10.7M-685.4K0.158.04N/AN/A8,9891,340511,101151,657
2007-12-12$8.65$10.0057.8%14.8%51.5%88.2%51.9%4.0%-3.9%1.4M12.5M-676.9K0.149.38N/AN/A6,201889508,472151,384
2007-12-13$8.47$10.0052.4%15.0%51.8%75.5%51.4%2.3%-2.0%1.3M21.7M-648.9K0.228.88N/AN/A10,0002,193510,634151,927
2007-12-14$8.37$10.0052.0%14.9%51.8%74.6%53.0%-1.5%-2.4%1.3M25.1M-625.0K0.068.79N/AN/A6,767382515,041152,705
2007-12-17$7.89$10.0056.8%16.3%55.3%85.9%61.6%-6.5%-4.4%891.5K39.6M-537.4K0.449.04N/AN/A14,0536,226516,699151,529
2007-12-18$7.80$10.0057.7%16.6%54.4%88.2%58.6%-3.7%-6.3%809.6K40.1M-537.8K0.226.35N/AN/A10,5282,307514,871152,250
2007-12-19$7.84$10.0054.9%15.8%53.4%81.6%54.8%-4.1%-5.8%875.3K37.7M-518.3K1.606.82N/AN/A2,7094,333519,278148,433
2007-12-20$7.92$10.0056.7%16.3%50.2%85.7%57.1%-2.5%-7.0%901.1K36.0M-531.0K0.186.37N/AN/A9,8031,781520,027148,050
2007-12-21$7.53$10.0047.4%13.6%51.2%63.7%45.9%-1.8%2.8%427.9K52.7M-452.8K0.646.54N/AN/A13,0128,376513,075148,060
2007-12-24$7.55$10.0045.0%12.9%49.3%58.1%46.7%-3.7%-0.6%554.2K36.9M-462.5K0.096.05N/AN/A4,280387473,315128,789
2007-12-26$7.50$10.0042.4%12.2%49.2%52.0%43.9%-5.0%2.9%453.0K38.8M-433.0K0.454.83N/AN/A1,966880472,916127,028
2007-12-27$7.36$10.0044.8%12.8%42.8%57.6%44.7%12.0%-0.1%424.7K39.5M-423.5K0.145.94N/AN/A8,0771,154473,197126,797
2007-12-28$7.27$10.0043.4%12.4%42.1%54.2%43.4%10.6%2.1%390.2K40.2M-414.9K0.314.78N/AN/A1,939603473,861125,706
2007-12-31$7.25$10.0048.3%13.8%41.7%65.8%48.3%10.7%1.0%378.1K40.1M-408.9K0.156.36N/AN/A15,6392,326473,075125,929