MU Options History — March 2009 In March 2009, MU traded between $2.58 and $4.22. ATM implied volatility averaged 111.0%, placing in the 45.9% IV rank vs the trailing year. The 30-day expected move averaged 32.5%. IV traded above realized volatility by 5.6% (HV 20d: 105.4%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.54.
Notable Days 2009-03-26 : Highest Volume — 32,454 contracts2009-03-12 : Largest IV spike — 21.7% change2009-03-30 : Highest IV Rank — 54.8%2009-03-30 : Largest Expected Move — 36.0%Monthly Statistics Metric Avg Min Max Open Close Price $3.50 $2.58 $4.22 $3.01 $4.06 Max Pain $3.00 $3.00 $3.00 $3.00 $3.00 ATM IV 111.0% 102.5% 125.5% 119.2% 122.8% Expected Move 32.5% 29.7% 36.0% 34.2% 35.2% HV 20d 105.4% 91.5% 119.0% 93.0% 111.1% HV 60d 115.0% 105.9% 123.2% 122.8% 106.4% IV Rank 45.9% 40.6% 54.8% 50.9% 53.2% IV Percentile 72.8% 61.9% 85.7% 82.9% 84.5% Term Structure -4.2% -15.2% 18.9% 4.0% -10.9% VWIV 111.9% 76.5% 139.2% 109.8% 126.7% Skew 25d 17.3% -0.8% 50.2% 8.7% 10.6% Skew 10d 47.2% -5.0% 79.8% 21.6% 68.6% Call IV 25d 103.4% 63.7% 122.3% 110.5% 122.1% Put IV 25d 120.7% 104.4% 135.7% 119.2% 132.7% Bid-Ask Spread % 11.84 7.89 20.75 8.71 20.75 Gamma HHI 0.36 0.30 0.48 0.32 0.40 Net GEX 367.9K 173.3K 561.7K 255.1K 535.6K Net DEX -17.5M -31.8M -2.3M -8.6M -30.5M Net VEX -215.8K -254.5K -151.6K -192.3K -252.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.54 0.03 2.38 0.40 0.35 Total Volume 5,790.227 599 32,454 2,792 7,202 Total OI 307,084.545 288,429 318,296 305,507 318,296
Daily Data (22 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 2009-03-02 $3.01 $3.00 119.2% 34.2% 93.0% 50.9% 109.8% 8.7% 4.0% 255.1K -8.6M -192.3K 0.40 8.71 N/A N/A 1,993 799 235,139 70,368 2009-03-03 $3.09 $3.00 105.3% 30.2% 93.5% 42.3% 104.9% 40.3% 16.8% 275.2K -10.0M -195.1K 1.03 11.81 N/A N/A 1,470 1,515 235,817 70,513 2009-03-04 $3.20 $3.00 104.5% 30.0% 92.9% 41.8% 76.5% 40.7% 15.8% 300.4K -12.2M -204.2K 2.35 13.38 N/A N/A 179 420 236,633 71,101 2009-03-05 $3.15 $3.00 109.6% 31.4% 91.5% 45.0% 106.8% 50.2% 18.9% 289.0K -11.3M -199.5K 0.50 12.85 N/A N/A 557 276 236,765 71,263 2009-03-06 $2.91 $3.00 114.9% 35.7% 92.3% 48.2% 120.5% 5.9% -13.5% 245.4K -7.9M -181.1K 0.35 7.89 N/A N/A 4,830 1,702 236,812 71,407 2009-03-09 $2.58 $3.00 110.9% 35.0% 98.9% 45.8% 139.2% -0.8% -9.5% 173.3K -2.3M -151.6K 0.06 9.08 N/A N/A 3,843 224 237,384 72,134 2009-03-10 $2.88 $3.00 114.1% 35.6% 106.1% 47.7% 120.2% 10.3% -13.1% 224.0K -5.7M -171.5K 0.27 11.87 N/A N/A 2,095 563 238,208 71,849 2009-03-11 $3.20 $3.00 102.5% 35.7% 113.1% 40.6% 117.4% 10.8% -14.1% 313.1K -12.3M -198.5K 0.08 9.74 N/A N/A 11,636 968 238,808 71,669 2009-03-12 $3.50 $3.00 124.7% 35.8% 118.2% 54.3% 115.3% 12.6% -15.2% 383.5K -19.2M -225.1K 0.42 11.70 N/A N/A 7,444 3,128 240,742 72,343 2009-03-13 $3.64 $3.00 105.4% 30.2% 119.0% 42.4% 105.0% 13.7% -2.9% 419.5K -21.1M -231.7K 0.43 11.49 N/A N/A 2,095 899 239,322 72,617 2009-03-16 $3.65 $3.00 107.6% 30.8% 117.5% 43.7% 106.0% 10.6% -7.9% 437.9K -21.3M -229.7K 0.43 11.03 N/A N/A 2,941 1,253 239,897 72,481 2009-03-17 $3.68 $3.00 103.8% 29.8% 108.4% 41.4% 111.3% 14.5% -4.5% 432.2K -21.2M -228.7K 0.03 10.30 N/A N/A 2,504 80 240,363 73,473 2009-03-18 $3.77 $3.00 106.5% 30.5% 107.7% 43.1% 110.4% 12.4% -3.6% 492.0K -23.8M -234.3K 0.19 11.63 N/A N/A 2,067 394 239,978 73,471 2009-03-19 $3.67 $3.00 110.0% 31.6% 105.1% 45.3% 108.3% 5.9% -10.6% 354.9K -20.5M -225.9K 0.83 12.82 N/A N/A 726 601 239,195 73,747 2009-03-20 $3.43 $3.00 121.8% 34.9% 105.4% 52.5% 117.0% 11.8% -9.2% 307.5K -16.0M -206.6K 0.65 11.20 N/A N/A 1,471 952 239,435 73,661 2009-03-23 $3.81 $3.00 106.9% 30.7% 110.5% 43.3% 109.6% 25.1% -2.7% 392.9K -20.1M -227.6K 0.56 18.30 N/A N/A 3,663 2,055 220,207 68,222 2009-03-24 $3.70 $3.00 104.3% 29.9% 101.7% 41.7% 113.5% 18.4% -6.4% 367.8K -17.2M -222.2K 2.38 9.36 N/A N/A 507 1,208 222,517 69,831 2009-03-25 $3.71 $3.00 103.7% 29.7% 101.7% 41.4% 108.1% 22.5% -3.4% 365.6K -17.2M -221.6K 0.23 8.40 N/A N/A 3,297 760 221,385 70,575 2009-03-26 $4.22 $3.00 113.8% 32.6% 110.5% 47.6% 105.3% 34.7% -6.0% 509.7K -30.0M -254.1K 0.05 15.83 N/A N/A 30,850 1,604 223,445 71,203 2009-03-27 $4.17 $3.00 104.7% 30.0% 110.2% 42.0% 105.6% 7.5% -0.5% 561.7K -31.8M -254.5K 0.28 8.79 N/A N/A 3,727 1,025 232,851 72,156 2009-03-30 $3.88 $3.00 125.5% 36.0% 110.6% 54.8% 124.5% 13.5% -14.1% 456.9K -25.7M -238.5K 0.12 13.67 N/A N/A 10,582 1,280 235,652 72,925 2009-03-31 $4.06 $3.00 122.8% 35.2% 111.1% 53.2% 126.7% 10.6% -10.9% 535.6K -30.5M -252.7K 0.35 20.75 N/A N/A 5,319 1,883 244,414 73,882
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