MU Options History — August 2009

In August 2009, MU traded between $6.57 and $7.56. ATM implied volatility averaged 55.3%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 14.5% (HV 20d: 40.8%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2009-08-21: Highest Volume — 36,382 contracts
  • 2009-08-13: Largest IV spike — 20.2% change
  • 2009-08-19: Highest IV Rank — 10.7%
  • 2009-08-19: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.93$6.57$7.56$6.77$7.37
Max Pain$6.48$5.00$7.00$5.00$7.00
ATM IV55.3%46.7%62.9%46.7%58.6%
Expected Move16.1%13.4%18.0%13.4%16.8%
HV 20d40.8%35.5%44.5%43.9%40.7%
HV 60d54.7%47.9%61.2%61.2%47.9%
IV Rank5.7%0.0%10.7%0.0%7.9%
IV Percentile8.9%0.0%17.9%0.0%12.7%
Term Structure7.1%3.9%12.2%5.8%9.1%
VWIV57.4%52.1%64.8%53.6%52.1%
Skew 25d8.9%3.4%16.7%12.8%5.1%
Skew 10d15.0%-2.7%29.2%21.7%8.4%
Call IV 25d51.0%39.7%59.1%39.7%49.4%
Put IV 25d59.8%52.5%66.0%52.5%54.5%
Bid-Ask Spread %11.828.1716.608.179.64
Gamma HHI0.240.180.390.190.28
Net GEX1.1M757.4K1.6M771.5K1.5M
Net DEX-75.4M-96.3M-64.3M-67.5M-92.5M
Net VEX-321.8K-346.9K-300.7K-300.7K-346.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.043.360.263.28
Total Volume11,943.3812,91036,38215,3886,299
Total OI313,473.381281,420342,197281,420336,488

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$6.77$5.0046.7%13.4%43.9%0.0%53.6%12.8%5.8%771.5K-67.5M-300.7K0.268.17N/AN/A12,1813,207187,32794,093
2009-08-04$6.76$5.0050.6%14.5%39.3%2.6%53.0%13.2%4.2%810.6K-67.4M-307.4K1.3810.57N/AN/A1,2991,796191,61496,317
2009-08-05$6.74$5.0049.3%14.1%39.7%1.7%53.7%12.5%4.0%783.0K-66.5M-306.6K0.079.01N/AN/A6,724494191,65097,622
2009-08-06$6.79$5.0050.0%14.3%35.5%2.2%56.2%16.7%3.9%757.4K-67.7M-308.3K0.9910.92N/AN/A6,4866,418190,28597,522
2009-08-07$6.83$7.0050.3%15.4%35.6%2.4%53.5%6.5%7.4%783.5K-70.9M-310.0K0.0910.70N/AN/A8,478762194,105100,199
2009-08-10$6.63$7.0053.3%16.1%38.7%4.3%61.2%13.6%6.4%928.5K-64.3M-304.1K0.309.42N/AN/A7,3812,243200,246100,329
2009-08-11$6.80$7.0052.7%16.2%38.8%3.9%57.3%7.1%6.0%1.0M-73.5M-311.5K0.2613.06N/AN/A6,6621,765206,003101,040
2009-08-12$6.76$7.0048.0%16.3%37.0%0.9%58.3%3.8%4.1%1.0M-71.8M-312.2K3.3613.05N/AN/A1,2144,077207,225102,263
2009-08-13$7.01$7.0057.7%16.5%37.5%7.2%56.9%6.1%7.4%981.4K-80.2M-319.6K0.0713.00N/AN/A26,4241,766207,518105,858
2009-08-14$6.72$7.0058.2%16.7%41.7%7.6%59.2%8.1%7.6%1.1M-70.5M-327.5K0.0715.13N/AN/A13,366899220,982106,281
2009-08-17$6.57$7.0059.4%17.0%42.6%8.4%59.4%3.4%7.0%1.2M-66.3M-323.5K0.3711.52N/AN/A4,7611,744228,170106,728
2009-08-18$6.79$7.0060.6%17.4%43.4%9.2%61.1%6.3%4.5%1.3M-76.3M-325.1K0.0416.27N/AN/A3,451128230,558106,742
2009-08-19$6.68$7.0062.9%18.0%40.9%10.7%64.8%5.4%4.9%1.3M-71.4M-318.8K1.0116.60N/AN/A5,8075,855228,585106,658
2009-08-20$6.79$7.0057.7%16.5%41.1%7.2%63.2%7.0%10.6%1.3M-74.5M-320.6K0.1815.85N/AN/A6,2201,120229,202109,636
2009-08-21$7.14$6.0062.5%17.9%44.2%10.4%62.7%10.9%4.5%1.6M-96.3M-326.6K0.0610.56N/AN/A34,4731,909232,364109,833
2009-08-24$7.09$6.0056.4%16.2%44.4%6.4%55.8%7.0%10.8%1.1M-74.0M-330.2K0.2215.00N/AN/A9,3692,030206,10697,995
2009-08-25$7.20$6.0057.9%16.6%44.5%7.4%54.5%9.4%9.4%1.2M-79.1M-338.9K0.4610.11N/AN/A2,8481,297211,06699,442
2009-08-26$7.25$7.0056.8%16.3%41.8%6.6%56.0%10.3%9.8%1.2M-80.6M-338.0K0.2910.67N/AN/A2,257653211,83699,859
2009-08-27$7.20$7.0058.7%16.8%41.9%7.9%56.9%9.0%12.2%1.2M-78.9M-338.5K0.648.83N/AN/A7,6374,872212,790100,354
2009-08-28$7.56$7.0052.7%15.1%43.2%4.0%55.2%11.7%10.1%1.2M-93.6M-343.6K0.1410.17N/AN/A30,1734,266215,395104,655
2009-08-31$7.37$7.0058.6%16.8%40.7%7.9%52.1%5.1%9.1%1.5M-92.5M-346.9K3.289.64N/AN/A1,4724,827229,894106,594