MU Options History — January 2008

In January 2008, MU traded between $5.75 and $7.04. ATM implied volatility averaged 68.9%, placing in the 80.6% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded above realized volatility by 18.2% (HV 20d: 50.7%). Max pain ranged from $6.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2008-01-11: Highest Volume — 36,519 contracts
  • 2008-01-08: Largest IV drop — 36.9% change
  • 2008-01-04: Highest IV Rank — 100.0%
  • 2008-01-22: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.47$5.75$7.04$7.04$6.99
Max Pain$6.48$6.00$10.00$10.00$6.00
ATM IV68.9%48.6%85.6%48.6%64.1%
Expected Move19.5%13.9%24.5%13.9%18.4%
HV 20d50.7%37.4%67.9%42.4%67.2%
HV 60d47.8%41.3%53.2%41.3%53.1%
IV Rank80.6%50.8%100.0%66.6%67.0%
IV Percentile97.4%88.0%100.0%88.0%94.0%
Term Structure-6.5%-15.0%2.0%-1.1%-6.0%
VWIV67.8%48.7%86.6%48.7%65.7%
Skew 25d7.2%-1.9%17.4%5.3%9.2%
Skew 10d15.3%-12.1%54.5%11.2%16.1%
Call IV 25d65.7%47.9%76.8%47.9%63.0%
Put IV 25d72.9%53.2%89.4%53.2%72.3%
Bid-Ask Spread %12.446.6819.577.6518.64
Gamma HHI0.150.110.200.130.18
Net GEX654.4K288.3K1.2M376.4K1.2M
Net DEX10.7M-32.3M41.9M39.5M-27.3M
Net VEX-430.1K-545.7K-339.9K-404.5K-501.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.042.660.470.13
Total Volume14,930.5243,87736,5195,7263,877
Total OI550,004.619378,930701,927605,341402,647

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$7.04$10.0048.6%13.9%42.4%66.6%48.7%5.3%-1.1%376.4K39.5M-404.5K0.477.65N/AN/A3,8831,843479,098126,243
2008-01-03$6.95$10.0055.7%16.0%39.1%83.4%55.6%0.6%-5.0%370.0K39.9M-393.5K0.306.68N/AN/A5,3321,603480,759126,463
2008-01-04$6.40$7.0064.8%15.9%42.1%100.0%57.3%-1.9%2.0%288.3K41.9M-351.9K0.3912.74N/AN/A14,3375,658485,761126,369
2008-01-07$6.39$7.0081.9%17.1%38.1%100.0%60.1%0.4%-3.2%325.9K41.6M-350.0K0.7215.91N/AN/A7,6325,516496,292127,627
2008-01-08$6.18$6.0051.6%17.8%38.4%50.8%61.0%-1.3%-5.1%344.5K39.7M-339.9K1.379.59N/AN/A2,2503,085500,433124,885
2008-01-09$6.20$6.0063.7%17.9%39.0%70.5%62.7%7.0%-4.7%356.7K35.6M-343.4K0.1610.36N/AN/A29,2024,536501,352120,891
2008-01-10$6.20$6.0063.4%18.2%38.3%69.9%63.5%0.4%-5.3%424.9K31.7M-365.0K1.308.00N/AN/A4,3255,626512,091124,390
2008-01-11$6.09$6.0072.4%20.7%37.4%84.5%72.6%5.3%-8.6%394.1K31.5M-374.5K0.1210.63N/AN/A32,6953,824515,567129,101
2008-01-14$6.25$6.0070.2%20.1%40.4%81.0%65.4%10.5%-6.7%696.3K20.9M-403.3K0.2612.06N/AN/A5,0011,309544,182131,570
2008-01-15$5.75$6.0076.5%21.9%47.1%91.2%73.7%2.2%-14.0%566.4K27.7M-367.6K2.6612.62N/AN/A5,33814,198545,033131,894
2008-01-16$5.93$6.0077.6%22.2%47.7%93.0%76.6%4.3%-11.3%555.3K24.5M-403.7K0.1213.26N/AN/A10,5611,263545,712141,370
2008-01-17$6.06$6.0077.8%22.3%49.4%93.4%76.9%2.5%-10.4%656.2K18.0M-424.8K0.1911.62N/AN/A10,8082,084553,714141,268
2008-01-18$6.44$6.0076.1%21.8%55.6%90.6%73.9%9.2%-7.3%766.5K8.4M-480.6K0.7414.48N/AN/A8,1116,036560,803141,124
2008-01-22$6.29$6.0085.6%24.5%55.3%100.0%79.8%12.6%-15.0%729.8K-10.9M-459.5K0.1711.81N/AN/A15,3812,598277,535101,395
2008-01-23$6.70$6.0077.5%22.2%59.2%87.5%86.6%16.4%-6.0%904.5K-26.4M-528.8K0.0413.60N/AN/A28,9431,142284,997103,291
2008-01-24$6.99$6.0066.1%18.9%61.6%70.0%67.5%17.4%-2.9%1.0M-32.3M-545.7K0.1212.81N/AN/A18,8732,235292,907103,153
2008-01-25$6.53$6.0066.2%19.0%65.7%70.1%72.1%12.7%-2.8%859.1K-14.3M-486.3K0.0613.24N/AN/A8,861552284,936103,887
2008-01-28$6.60$6.0071.9%20.6%65.8%79.0%79.0%14.9%-7.9%890.5K-15.3M-484.6K0.1911.57N/AN/A7,6201,454287,503104,096
2008-01-29$6.87$6.0070.8%20.3%67.7%77.2%71.6%13.2%-9.3%990.1K-23.1M-508.2K0.8214.37N/AN/A3,1752,591289,350105,092
2008-01-30$6.96$6.0064.4%18.5%67.9%67.5%54.3%9.8%-6.8%1.1M-25.8M-515.8K0.0719.57N/AN/A18,8751,308290,206105,110
2008-01-31$6.99$6.0064.1%18.4%67.2%67.0%65.7%9.2%-6.0%1.2M-27.3M-501.3K0.1318.64N/AN/A3,440437297,263105,384