MU Options History — May 2009

In May 2009, MU traded between $4.24 and $5.44. ATM implied volatility averaged 75.2%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 22.1%. IV traded below realized volatility by 2.2% (HV 20d: 77.4%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2009-05-20: Highest Volume — 41,542 contracts
  • 2009-05-13: Largest IV spike — 157.6% change
  • 2009-05-13: Highest IV Rank — 56.4%
  • 2009-05-12: Largest Expected Move — 26.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.79$4.24$5.44$4.89$5.06
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV75.2%49.8%128.2%70.8%73.5%
Expected Move22.1%19.5%26.1%20.3%21.1%
HV 20d77.4%69.5%82.2%69.5%77.1%
HV 60d92.5%88.8%95.4%94.2%88.9%
IV Rank23.4%8.1%56.4%21.0%21.8%
IV Percentile36.0%7.1%86.1%35.7%33.3%
Term Structure3.1%-1.4%6.4%5.3%0.9%
VWIV76.3%69.0%84.7%72.8%73.3%
Skew 25d16.5%5.0%28.6%5.0%11.4%
Skew 10d26.6%3.6%60.9%10.6%27.6%
Call IV 25d65.9%47.8%81.3%55.2%70.8%
Put IV 25d82.4%60.2%95.0%60.2%82.2%
Bid-Ask Spread %11.287.3318.4712.188.27
Gamma HHI0.300.250.350.320.25
Net GEX436.7K336.6K549.2K420.0K511.8K
Net DEX-28.9M-48.8M-18.3M-32.7M-26.9M
Net VEX-282.6K-308.8K-247.3K-286.2K-283.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.072.260.980.11
Total Volume12,170.81,00841,5429,71518,575
Total OI278,534.6254,654304,375260,666276,629

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$4.89$4.0070.8%20.3%69.5%21.0%72.8%5.0%5.3%420.0K-32.7M-286.2K0.9812.18N/AN/A4,8974,818183,10377,563
2009-05-04$5.27$4.0075.9%22.6%73.0%24.2%77.1%16.0%4.3%473.4K-41.7M-292.9K0.5213.56N/AN/A10,5055,492182,36277,142
2009-05-05$5.44$4.0070.8%22.9%73.4%21.1%77.1%18.7%2.5%549.2K-48.8M-308.5K1.0610.72N/AN/A4,4084,689191,04581,139
2009-05-06$5.39$4.0068.9%22.4%70.7%19.9%71.4%14.0%5.3%548.0K-47.5M-308.8K0.0918.47N/AN/A3,327293192,66285,157
2009-05-07$4.92$4.0075.8%22.4%79.4%24.1%75.1%14.6%3.7%484.4K-34.8M-290.9K0.4112.55N/AN/A3,2341,326194,56685,210
2009-05-08$4.85$4.0065.4%22.2%78.8%17.8%79.4%15.0%2.7%460.4K-33.4M-287.2K0.1414.08N/AN/A7,7111,045194,30385,639
2009-05-11$4.66$4.0084.6%23.5%80.1%29.6%81.7%6.7%-0.3%431.3K-29.0M-278.7K0.1211.89N/AN/A5,811680194,70685,757
2009-05-12$4.42$4.0049.8%26.1%82.2%8.1%84.7%13.8%4.9%343.1K-24.2M-269.0K0.707.86N/AN/A10,9567,671203,86085,731
2009-05-13$4.32$4.00128.2%25.2%80.9%56.4%83.9%24.6%4.7%418.7K-21.9M-280.7K2.068.69N/AN/A4,3158,898212,70491,671
2009-05-14$4.55$4.0078.6%22.5%74.1%25.9%84.7%6.3%2.8%399.0K-27.4M-283.1K0.7210.34N/AN/A4,9873,606213,63587,816
2009-05-15$4.24$4.0087.4%25.1%77.6%31.3%83.6%23.2%4.0%415.9K-21.4M-264.0K2.2610.93N/AN/A4,48610,120213,73388,167
2009-05-18$4.68$4.0079.3%22.7%80.8%26.3%78.0%10.0%-1.4%426.9K-28.5M-296.4K0.238.22N/AN/A5,7871,349191,12588,656
2009-05-19$4.85$4.0074.7%21.4%81.3%23.5%74.9%12.0%2.2%486.1K-32.6M-308.2K0.189.07N/AN/A7,1591,307194,03589,405
2009-05-20$4.80$4.0071.3%20.5%77.5%20.4%71.5%8.8%3.9%478.5K-30.0M-301.6K0.0811.00N/AN/A38,3433,199194,19790,322
2009-05-21$4.58$4.0071.8%20.6%78.9%20.8%74.6%28.6%4.4%350.1K-20.6M-270.0K0.288.70N/AN/A4,4171,232176,86891,491
2009-05-22$4.51$4.0068.1%19.5%78.9%18.4%72.9%22.0%6.4%336.6K-18.3M-263.5K0.8110.97N/AN/A1,188962177,21592,153
2009-05-26$4.65$4.0068.9%19.7%78.5%18.9%69.0%23.3%4.1%375.9K-19.4M-260.0K0.0712.83N/AN/A33,6772,441177,45392,699
2009-05-27$4.77$4.0070.3%20.1%78.5%19.8%70.4%28.0%2.0%366.4K-18.3M-247.3K0.0918.04N/AN/A8,685812162,22492,430
2009-05-28$4.86$4.0069.9%20.0%75.9%19.5%70.3%28.3%-0.5%457.5K-21.0M-270.2K0.247.33N/AN/A815193179,31796,802
2009-05-29$5.06$4.0073.5%21.1%77.1%21.8%73.3%11.4%0.9%511.8K-26.9M-283.7K0.118.27N/AN/A16,6981,877179,78496,845