MU Options History — September 2009

In September 2009, MU traded between $6.99 and $8.63. ATM implied volatility averaged 62.4%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded above realized volatility by 15.1% (HV 20d: 47.2%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2009-09-28: Highest Volume — 64,910 contracts
  • 2009-09-10: Largest IV spike — 20.9% change
  • 2009-09-28: Highest IV Rank — 17.6%
  • 2009-09-28: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.99$6.99$8.63$7.02$8.20
Max Pain$6.57$6.00$7.00$7.00$7.00
ATM IV62.4%50.3%73.4%60.4%56.1%
Expected Move18.4%16.1%21.0%17.3%16.1%
HV 20d47.2%44.8%51.2%44.8%46.1%
HV 60d46.2%44.0%49.2%49.2%44.1%
IV Rank10.3%2.4%17.6%9.0%6.2%
IV Percentile17.6%2.8%32.1%15.9%9.9%
Term Structure-1.1%-8.0%13.9%11.7%1.6%
VWIV64.5%54.9%71.6%60.2%54.9%
Skew 25d7.8%-6.2%13.0%7.5%7.2%
Skew 10d18.7%-10.1%42.1%15.0%24.8%
Call IV 25d60.9%54.4%67.4%57.6%54.4%
Put IV 25d68.7%48.2%78.7%65.1%61.7%
Bid-Ask Spread %10.567.4915.3314.3210.96
Gamma HHI0.210.180.250.240.22
Net GEX1.2M996.7K1.6M1.2M1.6M
Net DEX-108.9M-137.7M-70.5M-72.3M-120.3M
Net VEX-331.6K-368.5K-311.8K-339.0K-367.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.076.950.950.67
Total Volume15,557.6674,07764,91011,97721,777
Total OI350,123.19330,576397,515330,576397,515

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$7.02$7.0060.4%17.3%44.8%9.0%60.2%7.5%11.7%1.2M-72.3M-339.0K0.9514.32N/AN/A6,1565,821221,333109,243
2009-09-02$6.99$7.0056.0%16.1%44.8%6.2%58.4%5.2%13.9%1.2M-70.5M-340.8K2.348.25N/AN/A1,8784,403222,973111,329
2009-09-03$7.17$7.0060.1%17.2%45.6%8.8%55.3%-6.2%8.8%1.3M-78.5M-342.1K0.567.67N/AN/A3,5662,001223,608111,615
2009-09-04$7.35$6.0055.1%20.0%46.2%5.6%66.8%7.9%-4.4%1.3M-86.5M-341.3K1.169.82N/AN/A2,5973,005224,776112,679
2009-09-08$7.75$6.0053.4%18.6%47.6%4.4%65.5%10.3%-0.2%1.3M-104.7M-329.6K0.9810.01N/AN/A4,1544,064225,384113,762
2009-09-09$7.80$6.0050.3%18.6%47.1%2.4%63.9%8.2%-2.1%1.3M-106.5M-330.7K0.1512.84N/AN/A10,0551,534226,203117,113
2009-09-10$8.13$6.0060.8%17.4%48.4%9.3%61.9%9.5%1.1%1.2M-121.4M-311.8K0.2814.08N/AN/A13,1383,722225,873117,783
2009-09-11$7.87$6.0061.5%17.6%49.5%9.7%61.7%6.3%0.9%1.3M-109.6M-322.7K2.187.92N/AN/A5,30811,574228,721118,909
2009-09-14$7.92$6.0062.7%18.0%46.1%10.6%65.2%5.0%-0.3%1.2M-110.6M-319.9K0.6610.02N/AN/A3,9742,638230,673121,284
2009-09-15$8.15$6.0064.0%18.4%45.1%11.4%65.1%10.0%0.5%1.1M-121.6M-312.8K0.2913.43N/AN/A5,6961,667231,547120,753
2009-09-16$8.50$6.0063.4%18.2%45.8%11.0%64.3%12.0%-4.4%1.1M-137.7M-313.9K0.0710.56N/AN/A31,9662,355235,227122,236
2009-09-17$8.22$6.0066.8%19.1%47.6%13.2%67.4%4.9%-3.9%1.3M-126.9M-329.4K6.959.96N/AN/A2,01213,981243,320122,267
2009-09-18$8.20$7.0066.8%19.2%47.7%13.3%69.0%9.5%-3.7%996.7K-124.0M-332.5K0.4915.33N/AN/A3,2061,574243,874131,044
2009-09-21$8.33$7.0067.2%19.3%45.3%13.5%63.7%13.0%-4.0%1.2M-108.7M-331.1K0.4714.31N/AN/A2,7721,305217,153115,856
2009-09-22$8.63$7.0063.2%18.1%46.0%10.9%68.4%11.4%-6.3%1.2M-122.0M-318.8K0.209.77N/AN/A10,0862,022219,117116,428
2009-09-23$8.54$7.0063.8%18.3%46.5%11.3%69.1%9.8%-6.2%1.2M-120.2M-319.1K0.2710.70N/AN/A16,2914,338220,976117,843
2009-09-24$8.11$7.0067.8%19.4%51.2%13.9%66.8%9.1%-7.3%1.2M-101.6M-326.5K0.638.01N/AN/A10,3486,520221,851121,486
2009-09-25$8.10$7.0066.4%19.0%51.0%13.0%66.9%6.3%-3.3%1.1M-99.5M-336.8K0.738.24N/AN/A3,3712,465224,722127,002
2009-09-28$8.44$7.0073.4%21.0%50.2%17.6%71.6%11.7%-7.8%1.2M-114.1M-329.4K0.078.03N/AN/A60,4694,441225,941127,154
2009-09-29$8.40$7.0070.2%20.1%49.1%15.5%68.9%5.3%-8.0%1.5M-129.9M-368.5K0.567.49N/AN/A18,23810,223256,309129,705
2009-09-30$8.20$7.0056.1%16.1%46.1%6.2%54.9%7.2%1.6%1.6M-120.3M-367.6K0.6710.96N/AN/A13,0728,705263,845133,670