MU Options History — January 2010

In January 2010, MU traded between $8.72 and $11.22. ATM implied volatility averaged 47.6%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 0.4% (HV 20d: 47.2%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.47.

Notable Days

  • 2010-01-29: Highest Volume — 92,305 contracts
  • 2010-01-14: Largest IV spike — 46.9% change
  • 2010-01-29: Highest IV Rank — 24.3%
  • 2010-01-29: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.18$8.72$11.22$10.85$8.72
Max Pain$10.74$9.00$11.00$9.00$10.00
ATM IV47.6%31.0%54.6%45.0%54.6%
Expected Move14.0%13.0%15.7%13.3%15.7%
HV 20d47.2%35.2%56.9%35.2%56.9%
HV 60d50.0%47.7%51.7%51.4%49.9%
IV Rank14.3%0.0%24.3%6.8%24.3%
IV Percentile10.5%0.0%25.4%3.2%25.4%
Term Structure2.6%-2.5%5.4%4.7%-2.5%
VWIV48.5%43.1%53.5%47.3%53.4%
Skew 25d6.4%4.5%8.6%6.7%6.4%
Skew 10d12.8%-2.1%31.0%21.7%1.5%
Call IV 25d46.2%41.5%52.6%45.0%51.5%
Put IV 25d52.6%48.7%57.9%51.6%57.9%
Bid-Ask Spread %11.528.3014.4612.5411.35
Gamma HHI0.220.190.410.270.22
Net GEX2.5M1.7M4.3M2.4M1.7M
Net DEX-210.9M-341.1M-53.8M-293.8M-53.8M
Net VEX-999.7K-1.1M-741.1K-741.1K-918.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.111.630.330.28
Total Volume34,073.8425,20692,30575,85792,305
Total OI597,670.316467,952753,711582,228520,373

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$10.85$9.0045.0%13.3%35.2%6.8%47.3%6.7%4.7%2.4M-293.8M-741.1K0.3312.54N/AN/A56,93618,921388,748193,480
2010-01-05$11.17$10.0044.8%13.7%35.6%6.5%48.5%5.8%4.3%2.3M-329.5M-872.0K0.4810.71N/AN/A17,6438,462425,973211,558
2010-01-06$11.22$10.0044.3%13.7%35.7%5.9%47.1%7.5%2.9%2.3M-331.1M-875.3K0.1311.36N/AN/A59,8707,516426,644213,846
2010-01-07$10.84$11.0044.4%13.2%39.6%6.1%45.6%7.5%4.2%2.7M-315.2M-974.4K0.7113.69N/AN/A29,62920,916454,022217,701
2010-01-08$11.10$11.0041.6%13.0%39.5%3.0%47.5%7.6%5.4%2.9M-341.1M-1.0M0.8110.97N/AN/A10,1888,242473,549225,369
2010-01-11$10.90$11.0050.8%13.4%41.0%13.2%48.5%4.8%4.4%2.9M-323.4M-1.0M0.3914.46N/AN/A29,18011,362475,000229,430
2010-01-12$10.26$11.0053.8%14.2%47.9%16.6%48.0%6.3%1.9%3.1M-272.3M-1.0M0.8710.30N/AN/A13,68411,894490,920231,194
2010-01-13$10.46$11.0031.0%13.8%46.6%0.0%49.1%6.4%4.8%2.7M-295.2M-1.0M0.2712.53N/AN/A30,5728,341495,382232,768
2010-01-14$10.73$11.0045.5%13.0%45.8%14.9%47.0%6.0%4.1%2.9M-324.6M-1.1M0.4010.08N/AN/A16,5196,557519,638234,073
2010-01-15$10.13$11.0047.4%13.6%51.6%16.8%47.3%5.3%3.9%4.3M-279.9M-1.1M0.419.32N/AN/A26,12810,760521,011231,216
2010-01-19$10.28$11.0047.0%13.5%51.4%16.5%46.2%5.6%0.2%2.5M-141.5M-1.1M0.2211.04N/AN/A7,6371,654353,076114,876
2010-01-20$9.98$11.0045.2%13.0%53.1%14.6%43.1%8.6%1.6%2.3M-120.8M-1.0M0.5712.62N/AN/A13,4277,718356,382116,887
2010-01-21$9.80$11.0045.8%13.1%50.0%15.2%44.8%8.4%1.3%2.4M-114.7M-1.0M0.1711.30N/AN/A45,4207,795361,596116,580
2010-01-22$9.13$11.0052.5%15.1%56.2%22.2%51.9%5.5%1.9%1.9M-78.4M-976.0K1.639.46N/AN/A11,33918,497363,248120,544
2010-01-25$9.33$11.0052.2%15.0%52.2%21.8%51.7%5.6%2.0%2.1M-88.0M-1.0M0.3111.18N/AN/A3,9711,235375,648130,930
2010-01-26$9.44$11.0053.9%15.5%52.0%23.6%50.0%6.9%-0.3%2.2M-94.9M-1.0M0.1113.57N/AN/A7,698814377,608131,633
2010-01-27$9.72$11.0049.6%14.2%53.2%19.2%51.1%6.8%1.2%2.4M-113.2M-1.1M0.228.30N/AN/A6,9391,546380,952131,580
2010-01-28$9.40$11.0054.1%15.5%52.6%23.8%53.5%4.5%2.9%2.2M-94.8M-1.0M0.5614.07N/AN/A10,2955,793380,213132,088
2010-01-29$8.72$10.0054.6%15.7%56.9%24.3%53.4%6.4%-2.5%1.7M-53.8M-918.1K0.2811.35N/AN/A71,85720,448386,441133,932