MU Options History — February 2009 In February 2009, MU traded between $2.81 and $4.32. ATM implied volatility averaged 100.4%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 29.1%. IV traded above realized volatility by 1.4% (HV 20d: 99.0%). 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 18 of 19 days. Put/call ratio averaged 0.67.
Notable Days 2009-02-23 : Highest Volume — 20,784 contracts2009-02-17 : Largest IV spike — 28.9% change2009-02-20 : Highest IV Rank — 49.7%2009-02-20 : Largest Expected Move — 33.6%Monthly Statistics Metric Avg Min Max Open Close Price $3.55 $2.81 $4.32 $3.60 $3.22 Max Pain $3.37 $3.00 $4.00 $3.00 $3.00 ATM IV 100.4% 83.6% 117.3% 95.1% 107.0% Expected Move 29.1% 24.4% 33.6% 27.3% 30.7% HV 20d 99.0% 84.2% 115.5% 115.5% 92.2% HV 60d 140.9% 122.9% 151.7% 151.5% 122.9% IV Rank 39.3% 29.0% 49.7% 36.0% 43.4% IV Percentile 70.3% 59.9% 82.1% 65.9% 71.0% Term Structure 7.5% -0.4% 13.1% -0.4% 13.1% VWIV 98.4% 86.6% 117.8% 94.2% 107.0% Skew 25d 18.0% -2.8% 45.4% 17.0% 13.1% Skew 10d 38.8% 10.6% 72.7% 37.1% 30.0% Call IV 25d 87.7% 58.0% 118.3% 77.7% 93.9% Put IV 25d 105.7% 74.9% 117.3% 94.6% 107.0% Bid-Ask Spread % 13.03 7.88 21.00 11.62 12.32 Gamma HHI 0.34 0.29 0.40 0.35 0.33 Net GEX 451.2K 221.1K 575.7K 401.8K 298.9K Net DEX -25.1M -47.7M -6.6M -25.8M -13.0M Net VEX -243.5K -306.0K -181.4K -247.9K -208.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.03 3.18 0.10 0.41 Total Volume 7,679.158 1,192 20,784 14,675 4,559 Total OI 314,910.316 287,950 337,677 287,950 302,111
Daily Data (19 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 2009-02-02 $3.60 $3.00 95.1% 27.3% 115.5% 36.0% 94.2% 17.0% -0.4% 401.8K -25.8M -247.9K 0.10 11.62 N/A N/A 13,317 1,358 227,426 60,524 2009-02-03 $3.76 $3.00 85.1% 24.4% 103.1% 29.9% 86.6% 30.4% 6.0% 447.2K -29.1M -257.7K 0.14 12.57 N/A N/A 6,246 865 232,503 60,948 2009-02-04 $3.90 $3.00 87.5% 25.1% 102.8% 31.3% 89.5% 45.4% 6.2% 472.0K -34.2M -273.7K 0.19 13.92 N/A N/A 14,225 2,758 237,637 61,480 2009-02-05 $4.07 $3.00 88.9% 25.5% 100.8% 32.2% 88.9% 16.9% 5.5% 520.4K -38.0M -279.8K 0.30 9.23 N/A N/A 4,420 1,319 242,478 62,742 2009-02-06 $4.08 $4.00 83.6% 25.4% 100.3% 29.0% 88.9% 16.2% 9.6% 532.9K -38.2M -281.1K 0.09 14.16 N/A N/A 15,012 1,325 245,538 63,338 2009-02-09 $4.32 $4.00 90.1% 26.1% 100.2% 33.0% 88.6% 14.3% 9.8% 575.7K -47.7M -306.0K 0.22 21.00 N/A N/A 11,777 2,613 254,500 64,198 2009-02-10 $4.02 $4.00 85.4% 26.8% 103.1% 30.1% 93.7% 13.8% 6.6% 564.9K -40.1M -290.8K 0.33 18.82 N/A N/A 4,215 1,393 263,442 64,563 2009-02-11 $3.88 $4.00 89.2% 27.5% 104.3% 32.4% 97.2% 20.6% 6.0% 550.2K -35.6M -279.6K 0.22 14.67 N/A N/A 5,403 1,198 263,455 65,640 2009-02-12 $3.94 $4.00 94.4% 27.1% 99.6% 35.6% 98.5% 20.1% 9.6% 561.1K -37.1M -284.5K 0.55 20.53 N/A N/A 1,160 635 265,412 66,195 2009-02-13 $3.73 $4.00 90.8% 26.0% 102.6% 33.4% 91.0% 20.7% 10.1% 532.8K -31.7M -268.0K 1.18 11.78 N/A N/A 548 644 265,471 66,457 2009-02-17 $3.30 $4.00 117.1% 33.6% 103.2% 49.6% 111.2% 14.2% 4.3% 466.3K -20.8M -225.2K 0.54 13.50 N/A N/A 5,061 2,730 265,606 66,723 2009-02-18 $3.20 $3.00 113.4% 32.5% 97.3% 47.3% 105.4% 13.3% 7.6% 520.7K -17.7M -214.0K 1.70 13.04 N/A N/A 864 1,471 266,430 67,778 2009-02-19 $3.00 $3.00 109.8% 31.5% 91.1% 45.1% 109.3% 12.4% 11.3% 570.9K -12.2M -203.7K 3.18 7.88 N/A N/A 955 3,033 266,663 68,717 2009-02-20 $2.81 $3.00 117.3% 33.6% 91.7% 49.7% 116.5% 3.5% 4.0% 425.6K -8.1M -184.8K 0.80 11.89 N/A N/A 2,792 2,239 266,898 70,779 2009-02-23 $2.81 $3.00 115.5% 33.1% 84.2% 48.6% 117.8% -2.8% 5.3% 221.1K -6.6M -181.4K 0.03 9.64 N/A N/A 20,273 511 234,899 67,786 2009-02-24 $3.22 $3.00 113.1% 32.4% 98.0% 47.1% 95.3% 24.6% 12.1% 295.1K -13.1M -210.9K 0.28 8.43 N/A N/A 5,686 1,569 231,795 67,897 2009-02-25 $3.22 $3.00 110.7% 31.7% 97.5% 45.7% 92.1% 20.3% 8.9% 301.9K -13.0M -209.9K 2.12 12.78 N/A N/A 441 936 234,962 68,763 2009-02-26 $3.29 $3.00 113.4% 32.5% 93.5% 47.3% 98.3% 27.4% 6.0% 314.1K -14.2M -218.3K 0.37 9.79 N/A N/A 1,712 641 232,838 68,704 2009-02-27 $3.22 $3.00 107.0% 30.7% 92.2% 43.4% 107.0% 13.1% 13.1% 298.9K -13.0M -208.8K 0.41 12.32 N/A N/A 3,237 1,322 232,883 69,228
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