MU Options History — November 2009

In November 2009, MU traded between $6.58 and $7.72. ATM implied volatility averaged 58.4%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 1.7% (HV 20d: 60.1%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.36.

Notable Days

  • 2009-11-24: Highest Volume — 61,145 contracts
  • 2009-11-23: Largest IV drop — 14.6% change
  • 2009-11-03: Highest IV Rank — 15.4%
  • 2009-11-03: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.32$6.58$7.72$6.58$7.52
Max Pain$7.20$7.00$8.00$8.00$7.00
ATM IV58.4%51.7%63.6%63.4%52.7%
Expected Move16.8%14.8%18.2%18.2%15.1%
HV 20d60.1%48.5%66.9%62.0%48.5%
HV 60d57.6%56.2%58.5%56.7%57.2%
IV Rank12.1%8.0%15.4%15.3%8.6%
IV Percentile20.5%7.1%29.4%27.8%10.7%
Term Structure4.8%-1.8%10.5%-1.8%7.3%
VWIV58.8%51.6%66.6%64.3%56.1%
Skew 25d4.9%-8.0%19.6%3.0%7.2%
Skew 10d11.0%-20.4%28.2%-20.4%8.2%
Call IV 25d56.4%44.6%67.7%67.7%47.6%
Put IV 25d61.2%48.1%70.7%70.7%54.8%
Bid-Ask Spread %13.008.7419.869.3710.45
Gamma HHI0.180.160.190.190.18
Net GEX1.4M768.0K1.8M1.1M930.6K
Net DEX-79.4M-100.8M-44.3M-44.3M-83.8M
Net VEX-575.0K-607.0K-517.7K-517.7K-586.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.147.610.700.82
Total Volume13,043.2589161,1456,5655,471
Total OI498,531.2472,282554,780478,009554,780

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$6.58$8.0063.4%18.2%62.0%15.3%64.3%3.0%-1.8%1.1M-44.3M-517.7K0.709.37N/AN/A3,8672,698346,368131,641
2009-11-03$6.65$8.0063.6%18.2%62.4%15.4%66.6%19.6%0.3%1.1M-47.3M-531.4K1.5713.05N/AN/A7,02011,044347,341132,623
2009-11-04$6.73$8.0061.0%17.5%60.1%13.8%61.6%-2.2%1.8%1.1M-51.4M-561.5K0.6518.21N/AN/A3,7072,405348,392139,075
2009-11-05$7.24$8.0061.3%17.6%66.9%13.9%61.9%-8.0%3.8%1.4M-74.9M-599.9K0.249.57N/AN/A10,2442,489348,942139,279
2009-11-06$7.08$7.0061.1%17.8%61.4%13.8%61.4%5.6%3.1%1.4M-70.9M-590.9K0.3819.86N/AN/A8,3953,208353,969139,655
2009-11-09$7.51$7.0059.5%17.5%65.9%12.8%60.8%7.3%3.2%1.6M-92.1M-605.8K0.2514.35N/AN/A6,0681,539353,877141,139
2009-11-10$7.40$7.0061.2%18.0%65.6%13.9%60.1%5.0%1.0%1.6M-84.8M-598.9K1.8914.90N/AN/A1,6173,058353,595140,962
2009-11-11$7.52$7.0058.2%16.7%64.8%12.0%58.9%8.2%7.0%1.7M-90.3M-598.0K0.3513.78N/AN/A2,114746353,858140,602
2009-11-12$7.61$7.0059.8%17.1%64.7%13.0%59.4%8.1%4.1%1.7M-95.5M-607.0K0.4117.64N/AN/A631260354,331141,803
2009-11-13$7.51$7.0055.5%15.9%57.9%10.3%56.0%4.3%9.9%1.7M-90.0M-586.8K0.3717.73N/AN/A1,491549354,199141,764
2009-11-16$7.64$7.0057.9%16.6%58.1%11.8%57.8%5.0%8.2%1.7M-96.2M-593.0K0.9611.33N/AN/A4,3784,184354,036141,918
2009-11-17$7.72$7.0055.1%15.8%58.3%10.1%56.1%6.2%9.5%1.8M-100.8M-591.3K3.2512.46N/AN/A7032,286354,926143,442
2009-11-18$7.48$7.0059.7%17.1%56.6%12.9%58.5%6.8%4.4%1.4M-85.3M-558.1K0.839.96N/AN/A2,4472,040354,599142,717
2009-11-19$7.12$7.0061.7%17.7%59.2%14.2%60.3%10.1%1.9%1.5M-66.5M-530.8K0.1410.93N/AN/A8,5301,217356,214142,810
2009-11-20$7.26$7.0061.1%17.5%59.4%13.8%60.5%6.6%4.5%1.3M-77.8M-548.3K0.3411.25N/AN/A35,39712,073357,672142,354
2009-11-23$7.52$7.0052.1%15.0%60.7%8.2%53.3%5.3%10.5%1.7M-92.4M-569.8K0.289.87N/AN/A7,6572,181337,046135,236
2009-11-24$7.53$7.0052.9%15.2%58.1%8.7%52.6%-1.8%9.0%1.8M-92.9M-573.8K7.618.74N/AN/A7,10454,041339,350136,146
2009-11-25$7.46$7.0051.7%14.8%56.8%8.0%51.6%3.5%6.0%1.1M-80.7M-578.6K3.3012.75N/AN/A5,81119,167340,772187,657
2009-11-27$7.30$7.0058.2%16.7%53.6%12.0%57.8%-2.3%3.1%768.0K-70.1M-572.2K2.8813.79N/AN/A3,3609,668344,867200,667
2009-11-30$7.52$7.0052.7%15.1%48.5%8.6%56.1%7.2%7.3%930.6K-83.8M-586.3K0.8210.45N/AN/A3,0012,470346,947207,833