MU Options History — May 2010 In May 2010, MU traded between $8.57 and $9.89. ATM implied volatility averaged 60.2%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 1.4% (HV 20d: 58.8%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.50.
Notable Days 2010-05-06 : Highest Volume — 57,060 contracts2010-05-10 : Largest IV drop — 18.2% change2010-05-20 : Highest IV Rank — 65.9%2010-05-07 : Largest Expected Move — 20.5%Monthly Statistics Metric Avg Min Max Open Close Price $9.05 $8.57 $9.89 $9.89 $9.09 Max Pain $9.85 $9.00 $11.00 $11.00 $9.00 ATM IV 60.2% 48.1% 74.5% 48.1% 51.8% Expected Move 17.3% 13.8% 20.5% 13.8% 14.8% HV 20d 58.8% 51.2% 67.3% 52.0% 61.1% HV 60d 48.8% 46.4% 50.6% 46.4% 50.3% IV Rank 41.2% 17.6% 65.9% 17.6% 35.6% IV Percentile 64.9% 24.6% 91.3% 24.6% 34.9% Term Structure 2.2% -2.1% 4.1% 1.8% 4.1% VWIV 60.3% 45.9% 73.3% 48.3% 52.5% Skew 25d 9.3% 4.2% 14.4% 4.2% 11.0% Skew 10d 18.6% 7.4% 30.1% 7.4% 17.5% Call IV 25d 57.9% 42.6% 69.3% 47.8% 47.9% Put IV 25d 67.2% 52.0% 80.1% 52.0% 58.9% Bid-Ask Spread % 5.25 3.07 12.73 4.82 4.35 Gamma HHI 0.19 0.17 0.23 0.17 0.22 Net GEX 3.0M 2.2M 4.2M 3.7M 3.4M Net DEX -99.1M -153.0M -67.3M -144.4M -125.5M Net VEX -1.7M -1.8M -1.6M -1.8M -1.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.10 1.73 0.10 0.60 Total Volume 30,447.2 14,998 57,060 29,054 14,998 Total OI 849,573.6 770,493 914,621 811,273 818,097
Daily Data (20 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 2010-05-03 $9.89 $11.00 48.1% 13.8% 52.0% 17.6% 48.3% 4.2% 1.8% 3.7M -144.4M -1.8M 0.10 4.82 N/A N/A 26,407 2,647 592,230 219,043 2010-05-04 $9.52 $10.00 54.8% 15.7% 52.2% 24.5% 56.6% 4.5% 0.4% 3.2M -118.6M -1.8M 0.65 3.35 N/A N/A 13,377 8,749 597,511 219,799 2010-05-05 $9.26 $10.00 59.1% 16.9% 51.2% 28.9% 58.9% 4.9% 0.4% 2.9M -102.8M -1.8M 0.96 4.77 N/A N/A 10,935 10,526 610,105 222,675 2010-05-06 $8.75 $10.00 69.8% 20.0% 54.0% 40.0% 70.3% 7.7% -2.1% 2.2M -71.5M -1.6M 0.39 12.73 N/A N/A 41,045 16,015 608,823 226,721 2010-05-07 $8.57 $10.00 74.5% 20.5% 53.4% 44.8% 73.3% 11.3% 0.2% 2.2M -67.3M -1.6M 0.50 5.55 N/A N/A 21,533 10,808 622,110 230,899 2010-05-10 $9.09 $10.00 60.9% 17.9% 58.6% 30.8% 61.9% 9.8% 2.8% 2.8M -97.4M -1.7M 0.56 4.86 N/A N/A 15,935 8,961 629,994 231,665 2010-05-11 $8.82 $10.00 57.5% 17.2% 59.1% 27.3% 59.2% 9.9% 3.4% 2.6M -74.6M -1.6M 0.94 4.20 N/A N/A 10,641 10,001 631,637 228,874 2010-05-12 $9.33 $10.00 54.2% 16.7% 60.1% 23.9% 57.1% 9.7% 2.9% 3.2M -114.5M -1.7M 0.33 5.40 N/A N/A 29,815 9,898 632,282 228,862 2010-05-13 $9.14 $10.00 58.3% 16.7% 60.2% 28.1% 56.1% 8.5% 2.6% 3.1M -100.7M -1.7M 0.33 4.73 N/A N/A 28,092 9,336 639,513 236,211 2010-05-14 $8.94 $10.00 62.3% 17.9% 60.2% 53.7% 60.6% 8.5% 2.5% 2.8M -85.4M -1.7M 0.49 4.90 N/A N/A 21,783 10,622 644,723 240,830 2010-05-17 $9.17 $10.00 61.7% 17.7% 61.5% 52.7% 58.6% 8.4% 2.7% 3.1M -100.6M -1.7M 1.73 5.12 N/A N/A 12,394 21,400 647,276 247,133 2010-05-18 $9.07 $11.00 63.4% 18.2% 61.5% 55.6% 61.9% 9.8% 1.9% 3.2M -95.4M -1.7M 0.38 5.60 N/A N/A 19,434 7,479 648,188 248,990 2010-05-19 $8.96 $11.00 63.5% 18.2% 61.4% 55.7% 67.0% 8.0% 3.1% 3.4M -79.4M -1.7M 0.22 5.32 N/A N/A 16,020 3,523 651,951 255,779 2010-05-20 $8.74 $10.00 69.5% 19.9% 60.8% 65.9% 72.8% 8.3% 2.4% 3.0M -75.7M -1.6M 0.31 6.62 N/A N/A 33,084 10,121 660,381 253,440 2010-05-21 $8.93 $9.00 68.9% 19.8% 61.6% 65.0% 69.5% 13.6% 1.8% 4.2M -81.1M -1.7M 0.58 5.19 N/A N/A 22,521 13,122 660,912 253,709 2010-05-24 $8.79 $9.00 62.2% 17.8% 61.6% 53.4% 60.4% 13.3% 2.5% 2.5M -98.2M -1.6M 0.14 3.82 N/A N/A 18,205 2,518 560,848 209,645 2010-05-25 $8.80 $9.00 59.7% 17.1% 59.0% 49.1% 60.4% 14.4% 3.4% 2.6M -103.8M -1.6M 0.43 5.32 N/A N/A 10,565 4,516 571,916 209,739 2010-05-26 $8.69 $9.00 54.2% 15.5% 59.0% 39.8% 54.4% 8.2% 3.8% 2.6M -91.6M -1.6M 0.14 5.21 N/A N/A 48,445 6,893 575,681 210,989 2010-05-27 $9.44 $9.00 49.8% 14.3% 67.3% 32.2% 45.9% 11.7% 4.0% 3.7M -153.0M -1.7M 0.16 3.07 N/A N/A 22,942 3,638 597,890 214,401 2010-05-28 $9.09 $9.00 51.8% 14.8% 61.1% 35.6% 52.5% 11.0% 4.1% 3.4M -125.5M -1.7M 0.60 4.35 N/A N/A 9,380 5,618 603,152 214,945
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