MU Options History — June 2008

In June 2008, MU traded between $6.00 and $8.53. ATM implied volatility averaged 55.4%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 10.0% (HV 20d: 45.4%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.42.

Notable Days

  • 2008-06-18: Highest Volume — 44,192 contracts
  • 2008-06-12: Largest IV spike — 23.6% change
  • 2008-06-18: Highest IV Rank — 50.9%
  • 2008-06-18: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.51$6.00$8.53$8.20$6.00
Max Pain$8.48$8.00$9.00$8.00$8.00
ATM IV55.4%38.6%66.6%48.1%52.6%
Expected Move16.2%11.1%19.1%13.8%15.1%
HV 20d45.4%33.9%72.4%33.9%71.5%
HV 60d46.7%44.0%52.4%49.7%52.4%
IV Rank35.3%11.9%50.9%25.1%31.4%
IV Percentile67.0%25.4%86.1%54.0%62.7%
Term Structure-1.8%-7.3%5.8%3.1%0.7%
VWIV54.8%38.3%65.4%46.6%52.9%
Skew 25d4.3%-18.8%12.2%12.2%-18.8%
Skew 10d8.3%-30.6%30.8%25.8%-30.6%
Call IV 25d54.2%37.4%70.0%43.3%60.7%
Put IV 25d58.5%41.9%69.3%55.5%41.9%
Bid-Ask Spread %11.598.1818.428.889.88
Gamma HHI0.160.120.220.190.22
Net GEX427.9K-198.0K997.2K997.2K-198.0K
Net DEX14.7M-27.3M68.4M-25.6M68.4M
Net VEX-513.2K-620.1K-303.3K-569.3K-303.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.420.0916.0516.058.90
Total Volume15,470.3811,84344,19222,89730,154
Total OI504,190.048461,754534,926461,754512,394

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$8.20$8.0048.1%13.8%33.9%25.1%46.6%12.2%3.1%997.2K-25.6M-569.3K16.058.88N/AN/A1,34321,554292,631169,123
2008-06-03$8.16$8.0048.1%13.8%33.9%25.2%50.9%9.9%1.9%642.4K-11.7M-595.9K0.408.18N/AN/A1,320523293,223189,627
2008-06-04$8.41$8.0047.9%13.7%35.6%24.9%38.3%7.1%2.1%718.6K-23.8M-592.4K1.768.73N/AN/A5,1329,008293,310189,770
2008-06-05$8.53$8.0038.6%11.1%35.6%11.9%40.1%8.4%5.8%629.2K-27.3M-620.1K0.6418.42N/AN/A7,2684,687294,318197,108
2008-06-06$8.29$9.0047.2%14.4%37.2%23.9%46.5%6.8%0.4%581.8K-15.8M-598.9K0.1511.99N/AN/A7,9431,185297,071200,263
2008-06-09$8.02$9.0051.6%15.2%38.4%30.0%51.4%9.2%0.1%600.9K-3.1M-588.4K0.1014.60N/AN/A24,5462,489303,951200,529
2008-06-10$7.80$9.0048.0%15.5%39.4%25.0%56.0%2.7%-0.6%552.8K6.7M-558.1K1.3011.49N/AN/A3,0183,931306,432201,343
2008-06-11$7.34$9.0049.5%16.9%44.4%27.0%54.4%9.9%-1.3%312.8K29.1M-507.7K1.4011.53N/AN/A4,3936,169308,835201,324
2008-06-12$7.34$9.0061.2%17.5%42.9%43.3%59.4%10.6%-2.1%289.0K30.4M-496.5K6.4812.73N/AN/A4713,053311,161202,469
2008-06-13$7.66$9.0054.4%15.6%44.0%33.9%54.4%6.1%-1.0%530.5K15.7M-546.4K0.2611.40N/AN/A21,8235,647312,526201,311
2008-06-16$7.73$9.0054.6%15.7%44.3%34.2%54.5%5.6%-1.8%800.1K9.9M-556.6K0.9012.06N/AN/A2,0491,846329,723205,203
2008-06-17$7.43$9.0059.9%17.2%45.9%41.6%54.9%5.3%-3.4%412.9K26.0M-496.4K0.949.64N/AN/A3,4433,234312,382202,062
2008-06-18$7.15$9.0066.6%19.1%42.4%50.9%63.9%4.0%-6.6%2.7K36.1M-464.8K0.239.29N/AN/A36,0078,185305,827202,943
2008-06-19$7.44$9.0064.1%18.4%44.7%47.5%62.1%4.4%-4.7%372.1K17.6M-522.9K0.7615.09N/AN/A6,4084,840319,575203,870
2008-06-20$7.23$8.0064.5%18.5%45.0%48.0%63.9%5.2%-6.1%212.7K27.1M-491.7K3.3913.50N/AN/A8672,937324,492207,374
2008-06-23$7.01$8.0065.4%18.7%45.5%49.2%61.5%2.4%-5.2%339.7K29.1M-465.0K1.4212.11N/AN/A2,1743,083299,752193,572
2008-06-24$7.40$8.0065.0%18.6%50.6%48.7%62.7%4.8%-7.3%424.7K16.1M-504.5K0.2311.17N/AN/A4,8541,107300,317194,494
2008-06-25$7.53$8.0060.0%17.2%50.7%41.7%60.7%6.8%-6.2%501.6K12.2M-506.9K2.2212.18N/AN/A3,7598,328302,570194,718
2008-06-26$6.99$8.0062.4%17.9%56.2%45.1%65.4%-0.7%-6.1%336.8K29.4M-468.1K0.0912.22N/AN/A26,4392,401304,861200,338
2008-06-27$6.10$8.0054.4%15.6%72.4%33.9%50.9%-10.8%0.1%-74.7K63.1M-323.6K3.258.39N/AN/A8,76828,492304,861200,338
2008-06-30$6.00$8.0052.6%15.1%71.5%31.4%52.9%-18.8%0.7%-198.0K68.4M-303.3K8.909.88N/AN/A3,04527,109309,036203,358