MU Options History — December 2009

In December 2009, MU traded between $7.77 and $10.64. ATM implied volatility averaged 51.1%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 11.7% (HV 20d: 39.4%). Max pain ranged from $5.00 to $8.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.45.

Notable Days

2009-12-03: Highest Volume — 80,325 contracts
2009-12-10: Largest IV spike — 43.3% change
2009-12-21: Highest IV Rank — 18.1%
2009-12-14: Largest Expected Move — 16.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.11	$7.77	$10.64	$7.77	$10.56
Max Pain	$6.11	$5.00	$8.00	$7.00	$7.50
ATM IV	51.1%	39.6%	58.0%	47.9%	43.4%
Expected Move	15.2%	12.1%	16.6%	13.7%	12.4%
HV 20d	39.4%	31.8%	49.8%	47.4%	35.1%
HV 60d	55.4%	51.7%	57.5%	57.4%	51.7%
IV Rank	10.4%	0.5%	18.1%	5.6%	4.9%
IV Percentile	12.0%	0.4%	25.8%	1.6%	1.6%
Term Structure	0.9%	-5.8%	11.2%	11.2%	2.2%
VWIV	54.2%	43.4%	63.6%	49.0%	44.5%
Skew 25d	8.0%	-1.1%	20.6%	19.8%	7.7%
Skew 10d	14.2%	-5.9%	36.4%	23.8%	6.4%
Call IV 25d	50.1%	36.9%	58.6%	37.7%	38.7%
Put IV 25d	58.1%	44.2%	69.4%	57.6%	46.4%
Bid-Ask Spread %	7.88	5.32	12.59	9.90	7.14
Gamma HHI	0.23	0.16	0.33	0.18	0.27
Net GEX	2.4M	1.4M	2.9M	1.4M	2.3M
Net DEX	-192.8M	-280.4M	-101.2M	-101.2M	-276.8M
Net VEX	-655.0K	-754.2K	-576.2K	-576.2K	-754.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.04	1.61	0.40	0.62
Total Volume	27,287.364	4,379	80,325	4,379	18,452
Total OI	594,664.636	488,272	640,989	556,017	578,711

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
2009-12-01	$7.77	$7.00	47.9%	13.7%	47.4%	5.6%	49.0%	19.8%	11.2%	1.4M	-101.2M	-576.2K	0.40	9.90	N/A	N/A	3,117	1,262	348,097	207,920
2009-12-02	$8.16	$7.00	56.8%	16.3%	49.6%	11.2%	61.3%	20.6%	3.6%	1.7M	-129.1M	-610.9K	1.61	11.03	N/A	N/A	23,730	38,140	349,285	208,096
2009-12-03	$8.37	$8.00	56.0%	16.1%	49.8%	10.7%	54.4%	14.0%	4.4%	1.8M	-146.7M	-638.2K	0.55	12.59	N/A	N/A	51,680	28,645	359,430	227,189
2009-12-04	$8.45	$5.00	55.2%	16.6%	44.1%	10.1%	59.2%	9.2%	1.3%	1.8M	-149.2M	-670.0K	0.27	6.58	N/A	N/A	23,542	6,433	371,790	245,729
2009-12-07	$8.53	$5.00	47.9%	16.4%	42.7%	5.6%	59.5%	7.8%	0.2%	2.1M	-159.3M	-668.7K	0.23	7.18	N/A	N/A	5,793	1,338	382,789	248,117
2009-12-08	$8.60	$5.00	46.0%	16.4%	38.4%	4.4%	58.1%	8.9%	-0.3%	2.2M	-164.8M	-659.0K	0.43	7.82	N/A	N/A	5,006	2,137	382,273	248,768
2009-12-09	$8.59	$5.00	39.6%	16.6%	37.7%	0.5%	62.3%	11.3%	-1.9%	2.5M	-166.0M	-645.9K	0.13	6.33	N/A	N/A	6,466	838	383,310	248,005
2009-12-10	$8.72	$5.00	56.8%	16.3%	37.7%	13.5%	56.3%	8.2%	0.0%	2.6M	-176.2M	-648.1K	0.28	8.92	N/A	N/A	6,855	1,891	384,562	248,593
2009-12-11	$8.64	$5.00	56.1%	16.1%	38.1%	15.0%	63.6%	7.3%	-0.4%	2.6M	-169.9M	-635.7K	0.17	7.74	N/A	N/A	8,038	1,354	384,736	249,723
2009-12-14	$8.99	$5.00	58.0%	16.6%	39.1%	16.7%	58.6%	11.6%	-2.9%	2.7M	-199.0M	-618.8K	0.14	6.26	N/A	N/A	9,438	1,280	384,911	250,224
2009-12-15	$8.81	$5.00	57.8%	16.6%	40.3%	16.5%	57.1%	10.1%	-1.5%	2.7M	-184.9M	-615.2K	0.36	7.74	N/A	N/A	6,017	2,148	383,654	250,774
2009-12-16	$8.80	$5.00	55.0%	15.8%	40.4%	15.5%	55.5%	3.0%	0.9%	2.9M	-182.2M	-605.6K	0.25	8.09	N/A	N/A	6,022	1,488	381,465	252,563
2009-12-17	$8.73	$5.00	57.2%	16.4%	38.2%	17.6%	58.5%	4.0%	-1.2%	2.6M	-173.5M	-605.5K	0.04	9.01	N/A	N/A	18,994	832	381,106	252,497
2009-12-18	$8.78	$5.00	55.7%	16.0%	31.8%	16.2%	56.6%	2.9%	-0.9%	2.8M	-179.6M	-608.0K	0.36	8.11	N/A	N/A	8,426	3,032	388,012	252,977
2009-12-21	$9.31	$5.00	57.7%	16.5%	36.0%	18.1%	57.0%	7.9%	-5.8%	2.4M	-189.8M	-615.6K	0.36	5.32	N/A	N/A	56,598	20,548	346,003	142,269
2009-12-22	$9.41	$7.50	54.9%	15.8%	35.0%	15.4%	57.5%	2.4%	-0.8%	2.6M	-199.5M	-674.4K	1.49	7.76	N/A	N/A	17,752	26,446	373,579	159,398
2009-12-23	$9.99	$7.50	43.9%	12.6%	38.8%	5.0%	44.6%	1.3%	2.3%	2.7M	-244.9M	-678.6K	0.40	8.39	N/A	N/A	50,859	20,515	380,209	177,765
2009-12-24	$10.16	$7.50	44.1%	12.6%	37.8%	5.7%	44.5%	-0.8%	3.2%	2.8M	-258.5M	-709.8K	0.39	6.44	N/A	N/A	9,568	3,738	387,848	177,902
2009-12-28	$10.04	$7.50	43.7%	12.5%	36.6%	5.3%	43.8%	-1.1%	3.0%	2.8M	-249.8M	-699.2K	0.96	6.50	N/A	N/A	23,195	22,346	388,429	175,730
2009-12-29	$10.38	$7.50	48.4%	13.9%	36.8%	10.5%	47.6%	9.7%	-0.9%	2.4M	-260.5M	-729.2K	0.25	7.40	N/A	N/A	24,677	6,232	379,672	185,300
2009-12-30	$10.64	$7.50	42.2%	12.1%	36.5%	3.6%	43.4%	9.8%	4.0%	2.4M	-280.4M	-742.5K	0.26	7.12	N/A	N/A	20,217	5,237	384,437	188,775
2009-12-31	$10.56	$7.50	43.4%	12.4%	35.1%	4.9%	44.5%	7.7%	2.2%	2.3M	-276.8M	-754.2K	0.62	7.14	N/A	N/A	11,383	7,069	387,553	191,158