MU Options History — June 2009 In June 2009, MU traded between $4.85 and $5.86. ATM implied volatility averaged 74.5%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded above realized volatility by 2.4% (HV 20d: 72.2%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.78.
Notable Days 2009-06-25 : Highest Volume — 37,715 contracts2009-06-26 : Largest IV drop — 27.0% change2009-06-04 : Highest IV Rank — 27.6%2009-06-25 : Largest Expected Move — 25.6%Monthly Statistics Metric Avg Min Max Open Close Price $5.27 $4.85 $5.86 $5.32 $5.06 Max Pain $4.95 $4.00 $5.00 $4.00 $5.00 ATM IV 74.5% 59.1% 89.3% 78.0% 67.2% Expected Move 21.7% 16.9% 25.6% 22.4% 19.3% HV 20d 72.2% 62.2% 84.4% 79.0% 65.5% HV 60d 79.1% 70.9% 89.2% 89.2% 70.9% IV Rank 18.1% 6.2% 27.6% 24.6% 11.7% IV Percentile 31.4% 9.9% 44.4% 36.1% 20.6% Term Structure -1.7% -14.4% 6.7% 1.3% -0.1% VWIV 75.0% 59.4% 88.9% 77.4% 63.9% Skew 25d 11.5% -14.2% 38.4% 21.9% 11.6% Skew 10d 28.9% -22.7% 61.0% 54.2% 10.5% Call IV 25d 67.8% 43.9% 77.5% 65.1% 43.9% Put IV 25d 79.3% 52.8% 93.0% 87.0% 55.5% Bid-Ask Spread % 11.06 7.12 17.67 16.55 8.56 Gamma HHI 0.28 0.22 0.37 0.25 0.36 Net GEX 630.4K 363.6K 790.3K 618.5K 633.9K Net DEX -31.9M -51.7M -16.1M -35.4M -23.2M Net VEX -274.7K -301.4K -245.1K -294.9K -254.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.02 6.21 0.45 0.69 Total Volume 8,067.364 713 37,715 8,582 5,935 Total OI 286,320 265,921 299,659 281,470 292,815
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 2009-06-01 $5.32 $4.00 78.0% 22.4% 79.0% 24.6% 77.4% 21.9% 1.3% 618.5K -35.4M -294.9K 0.45 16.55 N/A N/A 5,929 2,653 184,025 97,445 2009-06-02 $5.07 $5.00 75.4% 21.6% 76.5% 23.0% 75.6% 15.1% 0.6% 551.1K -28.2M -281.8K 0.31 9.01 N/A N/A 7,455 2,309 184,461 97,913 2009-06-03 $4.97 $5.00 72.8% 20.9% 75.6% 21.3% 73.0% 38.4% 1.6% 526.8K -24.9M -270.9K 0.20 8.83 N/A N/A 2,301 449 183,220 98,027 2009-06-04 $5.50 $5.00 82.8% 23.7% 84.4% 27.6% 78.8% 18.3% -1.0% 654.3K -39.3M -294.4K 0.38 12.98 N/A N/A 9,776 3,727 183,318 98,250 2009-06-05 $5.30 $5.00 72.1% 22.9% 78.5% 20.9% 78.1% 10.4% -2.0% 682.5K -35.3M -287.3K 0.66 17.15 N/A N/A 2,575 1,698 187,783 99,458 2009-06-08 $5.30 $5.00 73.3% 22.7% 78.3% 17.2% 78.5% 9.8% -1.9% 714.3K -35.2M -279.6K 6.21 17.67 N/A N/A 926 5,750 187,120 97,412 2009-06-09 $5.58 $5.00 69.7% 21.0% 78.1% 14.4% 77.1% 10.1% -1.0% 762.1K -43.2M -300.0K 0.46 10.82 N/A N/A 3,950 1,833 187,588 102,928 2009-06-10 $5.86 $5.00 65.7% 21.1% 75.7% 11.7% 78.8% 10.4% -1.0% 790.3K -51.7M -299.5K 0.37 9.64 N/A N/A 16,189 5,960 188,038 101,131 2009-06-11 $5.59 $5.00 71.6% 20.5% 77.8% 14.8% 72.3% 8.0% 1.2% 775.7K -43.7M -301.4K 1.45 11.58 N/A N/A 1,874 2,718 192,425 105,037 2009-06-12 $5.47 $5.00 76.7% 22.0% 77.3% 18.1% 74.1% 10.2% -1.6% 754.1K -38.7M -289.2K 0.69 10.56 N/A N/A 1,048 722 189,973 104,028 2009-06-15 $5.32 $5.00 76.3% 21.9% 72.8% 17.8% 76.1% 4.3% -1.1% 713.6K -34.0M -275.9K 1.15 9.12 N/A N/A 2,252 2,600 190,047 104,266 2009-06-16 $5.20 $5.00 77.8% 22.3% 65.9% 18.8% 73.1% 16.2% -1.6% 701.5K -30.4M -272.7K 0.16 15.75 N/A N/A 616 97 190,989 105,636 2009-06-17 $5.30 $5.00 78.8% 22.6% 65.1% 19.5% 78.3% 8.5% -4.6% 620.9K -34.7M -271.2K 0.21 11.27 N/A N/A 1,580 336 190,868 105,626 2009-06-18 $5.26 $5.00 76.7% 22.0% 65.0% 18.1% 76.7% 17.8% -1.4% 660.3K -33.2M -269.4K 0.02 10.05 N/A N/A 6,365 125 190,899 105,647 2009-06-19 $5.33 $5.00 75.9% 21.8% 62.2% 17.6% 70.0% 20.3% -4.6% 713.3K -35.4M -269.8K 0.25 9.61 N/A N/A 5,968 1,518 194,169 105,490 2009-06-22 $5.02 $5.00 82.1% 23.5% 66.2% 21.7% 81.5% 5.0% -5.4% 409.9K -20.9M -254.8K 1.00 10.59 N/A N/A 3,354 3,348 166,871 99,050 2009-06-23 $4.85 $5.00 76.9% 22.1% 67.0% 18.2% 77.3% 12.3% -5.1% 363.6K -16.1M -245.1K 0.39 9.37 N/A N/A 2,966 1,148 167,993 100,069 2009-06-24 $5.14 $5.00 76.3% 21.9% 69.4% 17.8% 76.1% 9.8% -2.6% 451.3K -23.0M -256.1K 0.20 9.70 N/A N/A 2,300 452 169,619 100,226 2009-06-25 $5.30 $5.00 89.3% 25.6% 69.9% 26.6% 88.9% 21.1% -14.4% 467.5K -26.9M -264.5K 0.10 8.92 N/A N/A 34,170 3,545 169,556 100,512 2009-06-26 $5.10 $5.00 65.2% 18.7% 70.1% 10.4% 65.2% -12.3% 0.4% 635.0K -24.7M -255.5K 0.34 7.12 N/A N/A 9,828 3,293 186,453 101,446 2009-06-29 $5.11 $5.00 59.1% 16.9% 67.6% 6.2% 59.4% -14.2% 6.7% 669.4K -24.4M -254.2K 1.56 8.47 N/A N/A 2,287 3,557 187,749 103,464 2009-06-30 $5.06 $5.00 67.2% 19.3% 65.5% 11.7% 63.9% 11.6% -0.1% 633.9K -23.2M -254.8K 0.69 8.56 N/A N/A 3,512 2,423 188,874 103,941
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