MU Options History — July 2009

In July 2009, MU traded between $4.70 and $6.40. ATM implied volatility averaged 60.3%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 8.7% (HV 20d: 51.7%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2009-07-09: Highest Volume — 23,135 contracts
  • 2009-07-15: Largest IV drop — 41.4% change
  • 2009-07-14: Highest IV Rank — 24.4%
  • 2009-07-09: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.64$4.70$6.40$5.18$6.39
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV60.3%49.4%86.1%63.6%49.4%
Expected Move17.1%14.2%20.1%18.2%14.2%
HV 20d51.7%42.2%65.6%65.6%42.2%
HV 60d67.3%63.0%72.1%71.0%63.4%
IV Rank7.1%0.0%24.4%9.3%0.0%
IV Percentile11.1%0.0%40.9%16.7%0.0%
Term Structure4.0%-0.4%9.0%1.3%5.3%
VWIV58.6%48.1%70.6%54.4%48.1%
Skew 25d8.0%-6.5%24.8%12.7%4.2%
Skew 10d12.4%-9.3%41.4%9.8%3.3%
Call IV 25d53.3%38.9%64.7%45.4%43.9%
Put IV 25d61.3%44.4%76.4%58.1%48.1%
Bid-Ask Spread %9.696.9214.379.9211.65
Gamma HHI0.290.190.450.360.19
Net GEX697.8K442.7K913.9K682.4K790.5K
Net DEX-39.6M-56.8M-13.6M-26.8M-55.6M
Net VEX-279.1K-303.8K-235.1K-260.9K-301.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.101.540.920.73
Total Volume6,704.3182,54423,1353,9293,624
Total OI293,085.091251,970334,917294,382279,979

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$5.18$5.0063.6%18.2%65.6%9.3%54.4%12.7%1.3%682.4K-26.8M-260.9K0.929.92N/AN/A2,0421,887189,980104,402
2009-07-02$4.96$5.0062.7%18.0%55.9%8.7%62.3%7.1%3.3%631.9K-21.7M-251.2K0.5010.99N/AN/A3,2691,642190,069104,829
2009-07-06$4.89$5.0065.5%19.7%54.8%10.6%64.6%11.7%3.4%612.9K-18.3M-242.5K0.1011.66N/AN/A6,211640192,068106,120
2009-07-07$4.70$5.0067.0%19.2%56.2%11.5%66.5%8.5%5.8%556.1K-13.6M-235.1K0.458.99N/AN/A3,8401,721195,962106,352
2009-07-08$4.72$5.0073.7%19.0%52.1%16.1%66.4%11.6%6.2%539.1K-14.4M-239.3K0.168.83N/AN/A7,3191,142197,174106,993
2009-07-09$5.04$5.0063.2%20.1%54.8%9.0%70.6%12.2%-0.4%756.5K-24.7M-257.2K0.1114.37N/AN/A20,7802,355201,632107,564
2009-07-10$5.08$5.0070.6%19.7%53.0%14.0%67.7%13.1%1.5%801.3K-28.7M-274.1K1.5410.89N/AN/A1,1901,836218,325109,168
2009-07-13$5.21$5.0075.7%19.9%53.6%17.4%68.8%13.1%2.0%913.9K-33.4M-276.1K0.778.57N/AN/A3,4182,647218,575107,956
2009-07-14$5.32$5.0086.1%19.0%53.3%24.4%63.0%15.4%2.7%442.7K-40.6M-273.1K0.269.68N/AN/A2,027517219,261110,079
2009-07-15$5.58$5.0050.4%17.6%55.2%0.5%62.5%5.8%5.3%625.4K-47.5M-283.4K0.188.39N/AN/A8,0831,488219,599110,492
2009-07-16$5.75$5.0058.8%16.9%55.7%6.1%62.7%9.7%8.4%867.6K-53.8M-295.2K0.137.07N/AN/A7,324965223,802111,115
2009-07-17$5.75$5.0055.5%15.9%55.6%3.9%59.4%8.3%9.0%865.4K-51.8M-287.9K0.128.16N/AN/A3,668451220,120109,314
2009-07-20$5.89$5.0055.9%16.0%55.9%4.1%56.6%10.9%3.6%609.6K-41.1M-285.2K0.7811.52N/AN/A5,2854,125169,78482,186
2009-07-21$5.85$5.0056.5%16.2%50.7%4.5%57.2%24.8%0.7%620.8K-39.9M-287.3K1.329.37N/AN/A2,9293,869172,04983,329
2009-07-22$6.16$5.0054.0%15.5%50.4%2.9%53.6%13.7%3.2%654.9K-48.4M-294.3K0.428.26N/AN/A4,1701,733173,51885,267
2009-07-23$6.20$5.0052.5%15.1%47.4%1.9%48.9%14.9%3.2%667.2K-49.3M-296.0K0.956.92N/AN/A1,9301,841175,02286,464
2009-07-24$6.27$5.0053.8%15.4%46.7%2.7%50.5%-5.8%5.9%663.4K-51.5M-300.9K0.1411.29N/AN/A10,0641,389175,88087,718
2009-07-27$6.33$5.0055.5%15.9%43.3%3.9%50.5%-2.7%3.4%749.8K-54.1M-303.8K0.4710.03N/AN/A2,6841,264182,87088,493
2009-07-28$6.40$5.0052.2%15.0%43.2%1.6%51.1%0.1%6.0%759.9K-56.8M-300.5K0.8010.11N/AN/A2,7952,229183,09289,044
2009-07-29$6.18$5.0053.0%15.2%45.7%2.2%51.7%-6.2%5.2%755.5K-49.8M-296.9K0.288.85N/AN/A4,4361,241184,15690,235
2009-07-30$6.16$5.0051.8%14.9%45.6%1.4%51.8%-6.5%2.7%784.5K-49.0M-298.0K1.357.60N/AN/A2,3113,114186,79391,042
2009-07-31$6.39$5.0049.4%14.2%42.2%0.0%48.1%4.2%5.3%790.5K-55.6M-301.8K0.7311.65N/AN/A2,0911,533186,73993,240