MU Options History — June 2010 In June 2010, MU traded between $8.38 and $10.02. ATM implied volatility averaged 52.4%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 8.6% (HV 20d: 61.0%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.59.
Notable Days 2010-06-29 : Highest Volume — 93,163 contracts2010-06-07 : Largest IV spike — 21.2% change2010-06-07 : Highest IV Rank — 60.0%2010-06-07 : Largest Expected Move — 17.5%Monthly Statistics Metric Avg Min Max Open Close Price $9.23 $8.38 $10.02 $8.66 $8.49 Max Pain $8.14 $8.00 $9.00 $9.00 $8.00 ATM IV 52.4% 46.7% 66.0% 57.1% 53.8% Expected Move 15.0% 13.4% 17.5% 16.4% 15.4% HV 20d 61.0% 55.0% 75.9% 59.2% 73.0% HV 60d 54.4% 51.2% 62.3% 51.2% 62.0% IV Rank 37.1% 26.9% 60.0% 44.7% 41.4% IV Percentile 41.8% 20.2% 87.7% 59.9% 49.6% Term Structure 1.9% -3.8% 6.7% -0.6% 2.0% VWIV 53.3% 47.4% 60.1% 60.1% 50.4% Skew 25d 6.5% -0.3% 10.4% 10.1% 5.2% Skew 10d 13.8% 4.2% 21.2% 20.3% 11.1% Call IV 25d 51.2% 44.3% 56.9% 55.4% 50.8% Put IV 25d 57.6% 52.1% 66.5% 65.5% 56.0% Bid-Ask Spread % 3.45 2.54 4.35 3.53 2.82 Gamma HHI 0.21 0.15 0.57 0.20 0.15 Net GEX 5.7M 3.0M 15.9M 3.0M 3.9M Net DEX -180.6M -303.2M -54.1M -93.0M -54.1M Net VEX -1.7M -1.8M -1.5M -1.6M -1.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.10 3.43 0.10 1.22 Total Volume 41,071.455 10,594 93,163 41,710 56,110 Total OI 940,158.909 824,419 1,040,676 824,419 1,040,676
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 2010-06-01 $8.66 $9.00 57.1% 16.4% 59.2% 44.7% 60.1% 10.1% -0.6% 3.0M -93.0M -1.6M 0.10 3.53 N/A N/A 38,057 3,653 608,227 216,192 2010-06-02 $9.18 $9.00 51.7% 14.8% 62.3% 35.5% 52.6% 9.3% 3.1% 4.2M -149.8M -1.7M 0.12 4.20 N/A N/A 9,501 1,093 637,214 217,140 2010-06-03 $9.24 $9.00 46.9% 13.4% 61.6% 27.3% 47.4% 8.5% 3.7% 4.5M -152.5M -1.7M 0.10 3.07 N/A N/A 40,149 3,909 637,896 217,138 2010-06-04 $8.86 $8.00 54.5% 16.1% 60.0% 40.2% 58.3% 8.6% 5.0% 4.3M -133.8M -1.7M 0.36 4.35 N/A N/A 25,979 9,469 668,079 217,565 2010-06-07 $8.38 $8.00 66.0% 17.5% 62.8% 60.0% 58.8% 10.4% 2.9% 3.7M -88.7M -1.5M 0.22 4.19 N/A N/A 35,380 7,695 676,861 220,379 2010-06-08 $8.54 $8.00 53.6% 15.8% 59.3% 38.8% 58.0% 9.4% 5.1% 4.3M -106.5M -1.6M 0.20 3.57 N/A N/A 24,853 4,992 689,063 219,581 2010-06-09 $8.53 $8.00 50.4% 14.5% 58.4% 33.3% 52.8% 8.4% 6.7% 4.6M -103.5M -1.5M 0.22 4.00 N/A N/A 20,788 4,539 701,834 221,555 2010-06-10 $8.77 $8.00 50.3% 14.4% 55.5% 33.1% 54.6% 8.3% 6.5% 5.3M -137.3M -1.6M 3.43 4.12 N/A N/A 7,730 26,529 711,287 220,852 2010-06-11 $8.93 $8.00 49.1% 14.1% 55.5% 31.0% 50.0% 6.4% 3.8% 5.6M -145.5M -1.6M 0.23 4.05 N/A N/A 40,463 9,488 712,501 232,521 2010-06-14 $8.91 $8.00 49.5% 14.2% 55.0% 31.6% 50.8% 5.9% 4.0% 5.9M -145.9M -1.6M 0.18 3.08 N/A N/A 20,120 3,623 723,952 234,117 2010-06-15 $9.68 $8.00 46.7% 13.4% 61.9% 26.9% 48.5% 5.3% 4.0% 6.8M -256.6M -1.8M 0.18 4.17 N/A N/A 32,464 5,953 734,899 235,245 2010-06-16 $9.91 $8.00 48.5% 13.9% 62.1% 30.0% 49.0% 5.5% 3.1% 7.2M -290.1M -1.8M 0.27 2.54 N/A N/A 20,774 5,690 742,193 237,606 2010-06-17 $9.92 $8.00 49.0% 14.1% 61.8% 30.9% 50.6% 6.5% 1.5% 7.8M -294.1M -1.8M 0.55 3.13 N/A N/A 14,432 7,895 742,227 238,639 2010-06-18 $10.00 $8.00 47.6% 13.6% 60.8% 28.5% 48.8% 5.7% 3.1% 15.9M -303.2M -1.8M 0.15 2.86 N/A N/A 39,957 5,985 739,797 240,588 2010-06-21 $9.92 $8.00 49.6% 14.2% 60.7% 31.9% 49.6% 4.9% -0.6% 5.6M -258.4M -1.8M 1.17 2.74 N/A N/A 33,066 38,584 685,099 216,426 2010-06-22 $9.64 $8.00 52.0% 14.9% 61.5% 35.9% 52.5% 5.2% -0.8% 5.4M -216.9M -1.8M 0.26 3.76 N/A N/A 25,581 6,538 695,527 242,121 2010-06-23 $9.82 $8.00 52.5% 15.1% 61.7% 36.9% 53.7% 6.0% -1.3% 5.7M -247.6M -1.8M 0.14 2.70 N/A N/A 18,261 2,484 709,742 240,316 2010-06-24 $9.62 $8.00 56.1% 16.1% 62.0% 43.1% 57.5% 4.7% -1.7% 5.8M -227.0M -1.8M 1.04 3.03 N/A N/A 17,761 18,499 717,845 239,820 2010-06-25 $9.46 $8.00 59.6% 17.1% 55.2% 49.0% 57.7% 4.9% -1.4% 5.6M -211.9M -1.8M 0.95 4.23 N/A N/A 16,439 15,651 730,665 260,087 2010-06-28 $10.02 $8.00 55.4% 15.9% 56.9% 44.2% 55.1% 3.2% -3.8% 6.2M -268.4M -1.8M 1.06 2.74 N/A N/A 43,726 46,549 725,005 263,552 2010-06-29 $8.67 $8.00 53.5% 15.3% 75.9% 40.9% 55.6% -0.3% -1.6% 4.4M -88.1M -1.6M 0.85 3.04 N/A N/A 50,367 42,796 728,685 292,782 2010-06-30 $8.49 $8.00 53.8% 15.4% 73.0% 41.4% 50.4% 5.2% 2.0% 3.9M -54.1M -1.5M 1.22 2.82 N/A N/A 25,241 30,869 732,419 308,257
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