MU Options History — September 2008

In September 2008, MU traded between $3.90 and $5.13. ATM implied volatility averaged 86.9%, placing in the 70.9% IV rank vs the trailing year. The 30-day expected move averaged 25.6%. IV traded above realized volatility by 2.5% (HV 20d: 84.4%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2008-09-16: Highest Volume — 62,827 contracts
  • 2008-09-11: Largest IV spike — 26.3% change
  • 2008-09-17: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 38.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.40$3.90$5.13$4.22$4.05
Max Pain$5.29$5.00$7.00$5.00$5.00
ATM IV86.9%52.4%133.6%52.4%111.9%
Expected Move25.6%15.0%38.3%15.0%32.1%
HV 20d84.4%48.9%126.9%51.9%126.9%
HV 60d71.4%60.1%84.9%60.5%84.4%
IV Rank70.9%30.7%100.0%30.7%79.0%
IV Percentile84.8%44.8%100.0%44.8%99.2%
Term Structure-11.8%-32.3%14.1%10.9%-19.2%
VWIV89.0%50.4%128.9%52.6%115.3%
Skew 25d-0.5%-21.0%17.6%13.9%4.3%
Skew 10d8.4%-20.4%59.3%23.1%59.3%
Call IV 25d87.8%36.8%130.2%39.8%116.8%
Put IV 25d87.3%53.7%136.3%53.7%121.0%
Bid-Ask Spread %14.739.0722.6818.0217.34
Gamma HHI0.230.140.430.220.23
Net GEX232.8K29.2K538.4K43.7K318.2K
Net DEX13.9M973.4K25.0M24.7M11.5M
Net VEX-227.3K-314.8K-154.7K-164.8K-261.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.020.700.700.10
Total Volume12,834.191,49962,8274,52810,513
Total OI440,417.048405,124507,855405,124485,299

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$4.22$5.0052.4%15.0%51.9%30.7%52.6%13.9%10.9%43.7K24.7M-164.8K0.7018.02N/AN/A2,6621,866286,081119,043
2008-09-03$4.32$5.0053.9%15.5%52.9%32.9%54.1%17.6%14.1%77.0K24.0M-165.8K0.219.07N/AN/A1,744363287,226118,714
2008-09-04$4.17$5.0058.6%16.8%49.6%39.5%50.4%15.5%9.9%29.2K25.0M-154.7K0.4213.00N/AN/A1,052447288,324118,723
2008-09-05$4.36$7.0061.6%19.3%51.9%43.7%65.8%-7.0%-3.1%114.6K21.8M-177.5K0.289.66N/AN/A1,952539288,738118,489
2008-09-08$4.41$7.0056.7%20.4%50.2%36.8%69.7%-7.5%-4.2%57.1K23.4M-168.5K0.4610.88N/AN/A5,6882,600289,374118,703
2008-09-09$4.41$7.0059.2%21.9%48.9%40.3%79.6%-8.0%-9.6%87.8K20.9M-183.9K0.0211.91N/AN/A36,361581293,059119,343
2008-09-10$4.91$5.0059.7%21.9%64.0%41.1%76.0%-0.1%-8.2%538.4K7.1M-233.8K0.2314.45N/AN/A10,4892,367311,935119,343
2008-09-11$4.92$5.0075.5%21.6%63.0%63.1%75.3%4.1%-6.1%386.6K7.4M-237.9K0.0716.20N/AN/A3,412227305,555119,950
2008-09-12$5.13$5.0074.4%21.3%62.0%61.7%74.6%2.5%-5.9%442.3K1.2M-256.8K0.0618.57N/AN/A13,988853306,557120,021
2008-09-15$4.34$5.0087.4%25.1%85.2%79.8%88.6%-8.5%-15.2%196.9K17.0M-194.9K0.1310.69N/AN/A11,1661,498307,128120,272
2008-09-16$4.00$5.0098.3%28.2%87.4%95.1%99.2%-4.9%-22.2%120.0K19.6M-174.6K0.5110.08N/AN/A41,48621,341315,172120,193
2008-09-17$3.90$5.00108.9%31.2%87.0%100.0%107.5%-8.3%-25.0%163.2K18.9M-222.3K0.4118.22N/AN/A4,1911,717336,624140,239
2008-09-18$4.26$5.00100.7%28.9%93.0%89.5%99.0%-18.1%-18.9%175.1K14.0M-248.9K0.2320.18N/AN/A12,6222,853324,705140,032
2008-09-19$4.84$5.0094.5%27.1%104.2%81.6%95.5%6.6%-19.7%505.0K5.6M-288.1K0.1014.04N/AN/A7,167731323,210140,594
2008-09-22$4.33$5.00105.5%30.2%111.7%95.6%109.9%-21.0%-20.6%209.4K11.9M-254.1K0.1619.02N/AN/A2,039328306,362132,017
2008-09-23$4.09$5.00112.2%32.2%112.4%100.0%109.6%1.6%-22.6%184.2K14.5M-237.1K0.4112.04N/AN/A1,137465307,710132,128
2008-09-24$4.36$5.00106.0%30.4%113.1%92.3%111.2%-14.6%-17.1%218.1K12.1M-256.5K0.1210.44N/AN/A16,8082,033308,139132,362
2008-09-25$4.67$5.00105.7%30.3%115.6%92.0%98.0%11.0%-14.8%344.1K2.6M-304.5K0.3818.19N/AN/A26,48110,117323,685132,723
2008-09-26$4.65$5.00108.2%31.0%115.7%95.1%107.9%3.8%-18.1%387.0K973.4K-314.8K0.2514.72N/AN/A2,170541344,154138,977
2008-09-29$4.03$5.00133.6%38.3%126.9%100.0%128.9%6.1%-32.3%291.8K8.3M-272.6K0.1522.68N/AN/A4,276647369,097138,758
2008-09-30$4.05$5.00111.9%32.1%126.9%79.0%115.3%4.3%-19.2%318.2K11.5M-261.1K0.1017.34N/AN/A9,552961346,605138,694