MU Options History — March 2008

In March 2008, MU traded between $5.46 and $7.17. ATM implied volatility averaged 70.5%, placing in the 76.1% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded above realized volatility by 10.4% (HV 20d: 60.0%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 2.13.

Notable Days

  • 2008-03-04: Highest Volume — 42,733 contracts
  • 2008-03-13: Largest IV spike — 16.0% change
  • 2008-03-26: Highest IV Rank — 99.5%
  • 2008-03-26: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.25$5.46$7.17$7.17$5.97
Max Pain$7.25$7.00$8.00$7.00$7.00
ATM IV70.5%56.5%85.3%63.0%80.3%
Expected Move20.8%16.2%24.5%18.1%23.0%
HV 20d60.0%53.2%68.4%67.9%65.1%
HV 60d65.7%62.6%69.6%63.5%69.6%
IV Rank76.1%55.2%99.5%65.3%91.4%
IV Percentile93.6%84.1%99.6%90.1%98.4%
Term Structure-2.4%-10.2%14.2%4.9%-9.5%
VWIV73.3%58.8%83.3%61.2%81.0%
Skew 25d3.1%-4.4%9.7%7.6%9.7%
Skew 10d5.9%-14.6%30.4%26.1%24.6%
Call IV 25d72.5%58.3%84.6%59.9%79.2%
Put IV 25d75.7%60.3%88.9%67.5%88.9%
Bid-Ask Spread %10.237.5313.8513.0610.93
Gamma HHI0.170.130.400.170.16
Net GEX634.6K139.7K1.5M1.1M337.6K
Net DEX11.1M-14.8M26.9M-14.8M15.9M
Net VEX-453.4K-554.0K-345.8K-540.9K-392.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.130.0613.330.610.16
Total Volume14,395.23,71542,73318,30221,942
Total OI461,856.05418,440508,260418,440455,275

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$7.17$7.0063.0%18.1%67.9%65.3%61.2%7.6%4.9%1.1M-14.8M-540.9K0.6113.06N/AN/A11,3496,953303,914114,526
2008-03-04$6.98$7.0060.5%17.3%68.3%61.5%65.5%6.2%7.7%988.4K-8.7M-511.5K13.338.17N/AN/A2,98339,750309,639118,457
2008-03-05$7.03$7.0060.0%17.2%68.4%60.7%60.2%7.4%8.8%888.4K-5.8M-554.0K0.269.52N/AN/A12,0983,121311,212142,458
2008-03-06$6.74$7.0056.5%16.2%56.9%55.2%58.8%-4.4%14.2%820.6K750.7K-533.3K7.2610.35N/AN/A5664,112317,247144,079
2008-03-07$6.88$8.0059.5%19.6%57.0%59.8%70.1%3.9%-2.9%866.4K-1.9M-545.1K2.8212.50N/AN/A1,3323,760317,571146,204
2008-03-10$6.41$8.0062.8%21.5%58.2%65.0%74.5%3.6%-2.6%565.6K11.4M-495.2K0.218.73N/AN/A11,8212,541317,881146,243
2008-03-11$6.86$8.0058.9%20.2%62.9%58.9%68.7%8.3%-3.2%882.4K-33.2K-524.0K0.287.53N/AN/A13,7103,880315,160145,627
2008-03-12$6.50$8.0062.7%20.6%64.8%62.6%70.1%1.9%-4.1%640.0K8.9M-499.3K1.1511.49N/AN/A2,2532,585320,702144,889
2008-03-13$6.49$8.0072.7%20.8%61.5%78.9%70.9%-0.7%-4.0%593.3K10.0M-491.4K0.128.63N/AN/A15,6641,809322,277146,254
2008-03-14$6.14$7.0073.7%21.1%63.4%80.5%73.7%0.0%-3.4%531.7K14.8M-454.2K0.2712.39N/AN/A12,2423,303330,169146,542
2008-03-17$6.02$7.0076.5%21.9%63.6%85.1%76.0%3.1%-3.5%694.3K16.8M-437.9K0.0610.72N/AN/A31,6681,848340,685147,320
2008-03-18$5.99$7.0074.3%21.3%59.3%81.6%78.1%9.0%-3.2%829.3K14.5M-442.4K1.059.50N/AN/A2,8162,947361,364146,896
2008-03-19$5.80$7.0079.8%22.9%56.7%90.5%78.0%-0.1%-8.0%575.6K22.2M-397.1K1.439.33N/AN/A2,5833,698341,411147,086
2008-03-20$5.98$7.0073.1%21.0%56.6%79.6%73.7%-1.7%-4.0%1.5M18.2M-396.5K5.698.96N/AN/A1,2166,914341,321143,829
2008-03-24$5.84$7.0074.9%21.5%55.5%82.5%83.3%-0.7%-5.9%299.2K18.9M-400.2K2.2010.70N/AN/A3,7478,250297,835143,106
2008-03-25$5.79$7.0073.9%21.2%53.2%80.9%77.9%3.9%-4.3%205.7K24.2M-368.5K0.3911.21N/AN/A2,6721,043299,860149,095
2008-03-26$5.50$7.0085.3%24.5%54.7%99.5%83.2%-4.3%-10.2%156.6K24.7M-368.7K1.2813.85N/AN/A6,2988,033301,133148,614
2008-03-27$5.52$7.0078.6%22.5%53.7%88.6%78.9%4.0%-7.9%165.1K25.0M-369.2K2.499.04N/AN/A4,29610,714304,793152,583
2008-03-28$5.46$7.0082.2%23.6%53.2%94.5%81.6%6.0%-6.5%139.7K26.9M-345.8K1.627.89N/AN/A4,3447,043306,066147,798
2008-03-31$5.97$7.0080.3%23.0%65.1%91.4%81.0%9.7%-9.5%337.6K15.9M-392.9K0.1610.93N/AN/A18,8473,095308,221147,054