MU Options History — November 2008

In November 2008, MU traded between $1.69 and $4.98. ATM implied volatility averaged 134.7%, placing in the 75.3% IV rank vs the trailing year. The 30-day expected move averaged 38.9%. IV traded below realized volatility by 2.4% (HV 20d: 137.1%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.54.

Notable Days

  • 2008-11-13: Highest Volume — 38,387 contracts
  • 2008-11-21: Largest IV spike — 29.3% change
  • 2008-11-19: Highest IV Rank — 100.0%
  • 2008-11-21: Largest Expected Move — 56.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.17$1.69$4.98$4.68$2.74
Max Pain$3.47$3.00$4.00$4.00$3.00
ATM IV134.7%86.9%197.6%94.9%166.5%
Expected Move38.9%24.9%56.7%27.2%47.7%
HV 20d137.1%117.0%164.0%123.6%163.4%
HV 60d120.4%106.9%139.4%106.9%139.4%
IV Rank75.3%45.9%100.0%52.4%80.7%
IV Percentile94.9%84.5%100.0%86.5%98.4%
Term Structure-7.7%-29.3%11.9%2.3%-18.3%
VWIV124.2%84.5%167.8%93.9%159.4%
Skew 25d-2.3%-124.5%20.3%-2.0%16.2%
Skew 10d11.0%-124.5%81.5%2.3%81.5%
Call IV 25d135.0%82.9%215.1%95.6%150.2%
Put IV 25d132.7%87.4%193.8%93.6%166.4%
Bid-Ask Spread %10.967.1117.0013.8417.00
Gamma HHI0.290.220.400.340.23
Net GEX235.8K38.0K565.2K494.8K169.9K
Net DEX-3.3M-30.5M9.7M-24.8M-3.3M
Net VEX-251.4K-399.3K-122.9K-379.5K-228.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.035.040.780.04
Total Volume9,611.5261,49838,3874,9168,163
Total OI509,430.842476,500538,767476,500507,292

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$4.68$4.0094.9%27.2%123.6%52.4%93.9%-2.0%2.3%494.8K-24.8M-379.5K0.7813.84N/AN/A2,7652,151359,773116,727
2008-11-04$4.98$4.0090.5%26.0%123.8%48.8%92.0%10.5%6.6%565.2K-30.5M-399.3K0.109.44N/AN/A7,127709361,063117,866
2008-11-05$4.80$4.0086.9%24.9%124.8%45.9%84.5%-4.0%7.0%534.5K-27.3M-389.6K0.388.61N/AN/A11,7184,460363,875118,363
2008-11-06$4.38$4.00109.7%31.5%130.0%64.4%95.8%20.3%-0.1%431.2K-15.9M-367.4K0.1712.36N/AN/A9,6741,664370,004121,315
2008-11-07$4.48$4.00103.1%31.6%125.1%59.1%108.1%15.7%1.3%508.0K-19.6M-380.2K5.0411.47N/AN/A5432,736375,992121,523
2008-11-10$3.99$4.0099.5%31.4%118.0%56.1%108.0%17.5%-3.4%328.7K-7.2M-330.7K0.2011.66N/AN/A7,8561,600374,964127,495
2008-11-11$3.73$4.00109.1%31.0%117.0%63.9%107.2%10.2%-3.5%296.9K-1.5M-304.1K0.2914.96N/AN/A1,402404380,499127,542
2008-11-12$3.10$4.00120.5%34.8%128.5%73.2%119.1%1.9%1.8%162.0K5.7M-241.6K0.0510.04N/AN/A13,745648380,868126,957
2008-11-13$3.10$4.00116.5%33.4%128.5%70.0%113.2%1.8%11.9%166.7K8.3M-233.1K0.0710.88N/AN/A35,8622,525388,924126,529
2008-11-14$2.75$3.00141.1%40.5%133.3%89.4%142.6%11.8%-4.0%173.7K5.0M-220.0K0.3910.20N/AN/A3,9001,502407,428126,392
2008-11-17$2.57$3.00149.4%42.8%129.1%96.5%148.7%-1.1%-11.6%125.9K7.6M-190.6K0.369.95N/AN/A4,0851,465405,869126,920
2008-11-18$2.46$3.00149.1%42.7%128.7%96.2%157.0%-11.6%-15.7%122.9K6.6M-194.2K0.5211.82N/AN/A3,5081,822403,230127,435
2008-11-19$2.07$3.00167.9%48.1%138.3%100.0%0.0%2.7%-22.0%48.6K9.7M-140.4K1.4412.15N/AN/A5,0507,293405,046121,498
2008-11-20$1.69$3.00152.9%43.8%148.8%88.6%0.0%-124.5%-29.3%38.0K6.9M-122.9K0.039.21N/AN/A23,237787408,449124,874
2008-11-21$1.87$3.00197.6%56.7%155.5%100.0%0.0%-7.6%-26.7%55.4K5.1M-141.7K0.0911.95N/AN/A4,619430415,412123,355
2008-11-24$2.10$3.00172.6%49.5%164.0%84.5%0.0%0.1%-13.5%60.8K5.4M-156.6K0.098.27N/AN/A2,978259385,419119,487
2008-11-25$2.26$3.00164.8%47.3%161.7%79.6%165.1%-0.6%-10.8%70.1K4.5M-169.6K0.097.11N/AN/A1,379119385,960119,239
2008-11-26$2.39$3.00166.8%47.8%162.8%80.9%167.8%-0.9%-17.5%127.9K2.1M-186.5K0.117.23N/AN/A3,996438386,621118,981
2008-11-28$2.74$3.00166.5%47.7%163.4%80.7%159.4%16.2%-18.3%169.9K-3.3M-228.2K0.0417.00N/AN/A7,820343388,310118,982