MU Options History — January 2009 In January 2009, MU traded between $2.84 and $3.76. ATM implied volatility averaged 101.3%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 30.6%. IV traded below realized volatility by 35.7% (HV 20d: 137.0%). Max pain ranged from $3.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.22.
Notable Days 2009-01-12 : Highest Volume — 22,095 contracts2009-01-12 : Largest IV spike — 60.9% change2009-01-06 : Highest IV Rank — 50.9%2009-01-06 : Largest Expected Move — 34.2%Monthly Statistics Metric Avg Min Max Open Close Price $3.33 $2.84 $3.76 $2.84 $3.72 Max Pain $3.37 $3.00 $5.00 $5.00 $3.00 ATM IV 101.3% 60.3% 119.2% 117.8% 77.2% Expected Move 30.6% 22.1% 34.2% 33.8% 22.1% HV 20d 137.0% 115.0% 154.5% 153.1% 116.2% HV 60d 153.5% 150.8% 157.5% 153.7% 152.1% IV Rank 39.9% 14.6% 50.9% 50.1% 25.0% IV Percentile 72.0% 34.1% 83.3% 83.3% 58.3% Term Structure 7.3% -4.9% 17.8% 9.8% 10.9% VWIV 101.7% 56.1% 124.8% 124.8% 71.1% Skew 25d 19.0% -19.3% 62.1% 1.8% 27.9% Skew 10d 43.9% -0.8% 64.8% 1.8% 44.8% Call IV 25d 90.2% 61.7% 116.9% 116.9% 63.3% Put IV 25d 109.2% 81.2% 161.7% 118.7% 91.2% Bid-Ask Spread % 12.42 5.82 18.71 8.25 12.74 Gamma HHI 0.40 0.33 0.52 0.47 0.35 Net GEX 272.7K 144.6K 417.8K 144.6K 417.8K Net DEX -15.2M -28.3M -3.7M -3.7M -27.4M Net VEX -231.9K -259.2K -193.1K -193.1K -254.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.22 0.03 0.96 0.10 0.30 Total Volume 6,883.4 1,768 22,095 2,038 2,313 Total OI 414,403.75 271,058 543,043 509,410 286,912
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-01-02 $2.84 $5.00 117.8% 33.8% 153.1% 50.1% 0.0% 1.8% 9.8% 144.6K -3.7M -193.1K 0.10 8.25 N/A N/A 1,857 181 402,899 106,511 2009-01-05 $3.32 $5.00 111.0% 31.8% 154.5% 45.9% 124.8% 62.1% 9.5% 184.3K -8.9M -226.1K 0.17 5.82 N/A N/A 16,197 2,740 402,065 106,552 2009-01-06 $3.47 $4.00 119.2% 34.2% 151.0% 50.9% 120.9% -19.3% 4.4% 246.1K -14.8M -255.7K 0.12 9.23 N/A N/A 9,010 1,049 410,636 106,454 2009-01-07 $3.28 $0.00 106.2% 33.6% 153.9% 42.9% 105.8% 17.5% 2.7% 190.5K -9.1M -226.9K 0.66 13.01 N/A N/A 1,325 879 409,722 106,229 2009-01-08 $3.41 $4.00 113.9% 33.4% 153.5% 47.7% 106.9% 12.7% 4.7% 201.9K -10.1M -238.4K 0.19 18.71 N/A N/A 2,351 457 409,963 106,699 2009-01-09 $3.29 $4.00 60.3% 32.5% 152.0% 14.6% 109.1% 11.4% 10.0% 193.9K -8.3M -226.1K 0.31 13.45 N/A N/A 1,619 498 411,425 106,774 2009-01-12 $3.16 $3.00 97.0% 33.4% 145.5% 37.2% 113.5% 36.2% 8.4% 182.9K -6.0M -213.0K 0.06 10.90 N/A N/A 20,815 1,280 411,351 106,712 2009-01-13 $3.15 $3.00 107.6% 33.9% 142.2% 43.7% 118.2% 35.0% 2.4% 200.4K -10.8M -220.2K 0.14 11.36 N/A N/A 10,759 1,503 429,870 106,930 2009-01-14 $2.93 $3.00 106.0% 33.0% 140.9% 42.8% 114.0% 5.9% 4.3% 211.4K -6.2M -205.5K 0.12 11.79 N/A N/A 2,891 337 431,123 106,742 2009-01-15 $2.99 $3.00 115.9% 33.2% 139.9% 48.8% 115.8% 14.8% 3.5% 222.6K -7.6M -208.3K 0.13 12.60 N/A N/A 8,951 1,163 432,503 105,159 2009-01-16 $3.40 $3.00 109.6% 31.4% 144.4% 45.0% 104.5% 6.9% 9.9% 285.1K -14.2M -242.2K 0.13 11.23 N/A N/A 4,388 589 437,386 105,657 2009-01-20 $3.08 $3.00 118.5% 34.0% 137.0% 50.5% 107.5% 18.0% -4.9% 256.9K -15.3M -218.5K 0.04 10.64 N/A N/A 5,851 261 210,344 60,714 2009-01-21 $3.44 $3.00 112.1% 32.1% 134.1% 46.5% 106.9% 37.7% 11.1% 312.2K -22.1M -246.2K 0.96 14.09 N/A N/A 1,804 1,740 214,442 59,898 2009-01-22 $3.25 $3.00 111.9% 32.1% 125.6% 46.4% 98.1% 22.5% 1.7% 300.9K -17.7M -226.8K 0.06 12.16 N/A N/A 4,124 249 215,257 60,069 2009-01-23 $3.56 $3.00 83.9% 24.0% 121.4% 29.1% 95.2% 29.5% 14.6% 349.7K -23.9M -252.8K 0.09 16.38 N/A N/A 11,712 1,017 218,370 60,235 2009-01-26 $3.40 $3.00 96.6% 27.7% 120.4% 37.0% 95.3% 7.6% 11.7% 363.4K -21.5M -235.7K 0.33 14.62 N/A N/A 1,552 509 224,395 60,218 2009-01-27 $3.49 $3.00 89.9% 25.8% 120.4% 32.8% 82.8% 14.7% 17.8% 373.5K -23.2M -241.9K 0.03 15.67 N/A N/A 4,150 104 224,475 60,488 2009-01-28 $3.76 $3.00 84.6% 24.3% 115.0% 29.6% 56.1% 29.1% 7.7% 413.3K -28.3M -259.2K 0.09 9.65 N/A N/A 8,912 763 225,324 59,861 2009-01-29 $3.57 $3.00 86.7% 24.8% 118.0% 30.9% 85.3% 8.5% 5.8% 403.0K -24.5M -246.7K 0.33 16.13 N/A N/A 1,333 435 227,774 59,937 2009-01-30 $3.72 $3.00 77.2% 22.1% 116.2% 25.0% 71.1% 27.9% 10.9% 417.8K -27.4M -254.3K 0.30 12.74 N/A N/A 1,786 527 226,609 60,303
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