MU Options History — April 2009

In April 2009, MU traded between $4.18 and $5.03. ATM implied volatility averaged 94.1%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 26.9%. IV traded above realized volatility by 3.0% (HV 20d: 91.1%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2009-04-08: Highest Volume — 68,465 contracts
  • 2009-04-03: Largest IV drop — 22.7% change
  • 2009-04-01: Highest IV Rank — 55.4%
  • 2009-04-01: Largest Expected Move — 36.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.62$4.18$5.03$4.18$4.88
Max Pain$3.90$3.00$4.00$3.00$4.00
ATM IV94.1%71.9%126.4%126.4%72.0%
Expected Move26.9%20.6%36.2%36.2%20.6%
HV 20d91.1%77.3%114.7%111.0%78.0%
HV 60d98.7%94.4%103.5%101.9%94.4%
IV Rank35.5%21.7%55.4%55.4%21.8%
IV Percentile51.9%36.5%85.7%85.7%36.5%
Term Structure-1.2%-15.7%6.3%-12.3%4.9%
VWIV93.5%72.1%122.4%121.7%75.2%
Skew 25d14.8%0.0%34.8%23.7%34.8%
Skew 10d34.8%0.0%66.3%66.3%54.4%
Call IV 25d85.5%53.3%115.8%111.5%53.3%
Put IV 25d100.3%84.4%135.3%135.3%88.1%
Bid-Ask Spread %12.998.1920.238.2514.07
Gamma HHI0.480.290.950.420.32
Net GEX844.9K295.9K5.6M572.1K416.5K
Net DEX-36.4M-58.5M-24.8M-34.0M-33.9M
Net VEX-268.8K-297.0K-250.4K-257.9K-280.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.035.770.241.45
Total Volume17,077.3813,89468,46519,08711,734
Total OI303,158.333225,149366,499320,755252,790

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$4.18$3.00126.4%36.2%111.0%55.4%121.7%23.7%-12.3%572.1K-34.0M-257.9K0.248.25N/AN/A15,4443,643245,33375,422
2009-04-02$4.63$3.00118.9%34.1%114.7%50.8%122.4%18.0%-15.7%698.9K-46.1M-277.9K0.4610.26N/AN/A18,2908,362246,23377,586
2009-04-03$4.50$4.0091.9%27.5%110.3%34.1%99.6%13.4%2.9%839.4K-44.3M-275.1K0.4218.85N/AN/A10,3574,317258,23782,786
2009-04-06$4.52$4.0097.2%26.2%97.1%37.4%97.9%13.8%-0.6%863.3K-42.7M-272.2K0.6710.38N/AN/A3,9422,634253,23985,037
2009-04-07$4.31$4.00104.4%29.1%95.5%41.8%93.0%16.9%-3.2%723.6K-34.7M-259.5K1.7218.75N/AN/A4,8798,383253,05785,623
2009-04-08$4.28$4.00102.8%28.5%90.4%40.8%97.1%13.0%-3.0%679.7K-31.4M-253.2K1.1317.48N/AN/A32,18036,285253,87592,495
2009-04-09$4.45$4.0098.0%28.1%86.5%37.8%95.7%6.6%5.8%613.6K-37.2M-272.9K0.2712.07N/AN/A19,8985,388252,979113,520
2009-04-13$4.39$4.0099.9%28.6%86.4%39.0%95.1%13.0%-2.5%539.2K-34.7M-258.0K0.138.19N/AN/A8,9771,140248,735112,133
2009-04-14$4.30$4.0099.3%28.5%87.0%38.6%97.7%8.3%1.7%443.9K-31.9M-250.4K0.3812.29N/AN/A4,2221,586251,248112,415
2009-04-15$4.50$4.0096.5%27.7%88.0%36.9%93.8%14.1%2.4%652.4K-38.1M-257.0K0.989.16N/AN/A2,8902,835250,390112,139
2009-04-16$4.98$4.0085.6%24.5%93.7%30.2%86.6%4.2%3.6%2.0M-58.5M-274.4K0.1711.99N/AN/A22,8723,943246,332112,346
2009-04-17$5.00$4.0093.7%26.8%92.6%35.2%94.5%5.3%-2.5%5.6M-55.7M-273.9K0.0314.80N/AN/A31,2051,001239,588115,098
2009-04-20$4.59$4.0098.2%28.2%94.9%38.0%100.1%0.0%-6.5%295.9K-24.8M-252.6K0.3710.52N/AN/A6,0072,230157,63767,512
2009-04-21$4.70$4.0093.2%26.7%88.8%34.9%88.7%9.8%-3.5%324.8K-25.6M-257.9K0.0410.10N/AN/A7,455277160,65168,903
2009-04-22$5.03$4.0090.2%25.9%89.7%33.1%89.9%5.8%0.0%388.9K-34.5M-277.9K0.2320.23N/AN/A7,5181,699165,95668,979
2009-04-23$4.92$4.0090.6%26.0%90.6%33.3%92.0%16.2%-4.4%384.1K-32.7M-277.8K0.1217.03N/AN/A26,8483,189167,52169,622
2009-04-24$4.86$4.0087.6%25.1%80.2%31.4%88.1%15.1%-6.1%425.2K-34.5M-297.0K5.779.67N/AN/A1,4768,513183,87072,434
2009-04-27$4.66$4.0078.9%22.6%81.8%26.1%79.3%28.0%6.2%401.5K-29.7M-274.9K0.1714.89N/AN/A13,0082,215180,30869,336
2009-04-28$4.56$4.0079.4%22.8%77.3%26.4%84.0%21.9%1.3%382.2K-27.3M-266.0K0.2712.61N/AN/A3,061833181,33370,888
2009-04-29$4.84$4.0071.9%20.6%78.4%21.7%72.1%29.2%6.3%423.2K-31.9M-278.2K0.0911.21N/AN/A7,218671181,45871,281
2009-04-30$4.88$4.0072.0%20.6%78.0%21.8%75.2%34.8%4.9%416.5K-33.9M-280.5K1.4514.07N/AN/A4,7946,940181,03771,753