MU Options History — July 2010

In July 2010, MU traded between $7.28 and $8.89. ATM implied volatility averaged 45.2%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 20.7% (HV 20d: 65.9%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2010-07-22: Highest Volume — 86,828 contracts
  • 2010-07-12: Largest IV spike — 21.7% change
  • 2010-07-01: Highest IV Rank — 39.6%
  • 2010-07-01: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.40$7.28$8.89$8.38$7.28
Max Pain$8.90$8.00$9.00$8.00$9.00
ATM IV45.2%39.6%52.8%52.8%47.7%
Expected Move13.0%11.4%15.1%15.1%13.7%
HV 20d65.9%40.8%73.2%73.0%49.9%
HV 60d62.2%59.5%63.3%61.6%61.3%
IV Rank29.2%18.2%39.6%39.6%38.4%
IV Percentile16.1%1.2%45.2%45.2%29.8%
Term Structure3.4%0.9%5.1%3.2%0.9%
VWIV45.2%40.5%51.3%51.3%46.2%
Skew 25d6.3%4.2%9.7%6.2%6.1%
Skew 10d12.9%5.3%19.9%11.6%9.7%
Call IV 25d43.6%40.1%50.4%50.4%44.9%
Put IV 25d49.9%45.4%57.6%56.6%51.0%
Bid-Ask Spread %2.982.343.962.442.34
Gamma HHI0.180.150.220.160.18
Net GEX3.5M1.2M6.0M3.6M1.2M
Net DEX-51.7M-127.7M67.4M-38.6M67.4M
Net VEX-1.5M-1.6M-1.1M-1.5M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.091.580.750.47
Total Volume38,114.57115,54786,82867,37940,711
Total OI1,058,114.81872,8171,211,8051,071,0751,032,421

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$8.38$8.0052.8%15.1%73.0%39.6%51.3%6.2%3.2%3.6M-38.6M-1.5M0.752.44N/AN/A38,40128,978748,408322,667
2010-07-02$8.22$8.0047.8%13.7%71.9%30.4%47.9%5.5%4.9%3.4M-19.1M-1.4M0.542.92N/AN/A28,29315,153745,804322,722
2010-07-06$8.35$9.0051.0%15.0%69.4%36.3%51.3%9.7%2.9%3.7M-31.8M-1.5M0.243.52N/AN/A48,03411,681759,386329,595
2010-07-07$8.89$9.0042.7%13.4%72.7%21.2%45.8%6.5%4.9%5.6M-127.7M-1.6M1.583.96N/AN/A19,83131,254788,372335,205
2010-07-08$8.69$9.0042.7%13.1%73.2%21.3%47.7%8.1%5.1%5.1M-90.7M-1.6M0.373.52N/AN/A27,90510,239793,500346,115
2010-07-09$8.57$9.0041.0%13.2%72.7%18.2%47.0%6.0%3.8%5.0M-69.6M-1.5M0.093.04N/AN/A70,8036,294803,823349,204
2010-07-12$8.55$9.0049.9%13.1%72.3%34.3%46.5%6.8%3.6%5.4M-79.3M-1.5M0.143.24N/AN/A20,8022,848842,563349,488
2010-07-13$8.73$9.0049.4%12.9%72.8%33.4%47.6%5.9%4.4%6.0M-109.6M-1.6M1.002.82N/AN/A16,87516,799845,830350,431
2010-07-14$8.75$9.0047.8%13.1%65.8%30.4%46.5%6.5%3.8%5.9M-111.6M-1.6M0.482.72N/AN/A20,4709,786851,636358,236
2010-07-15$8.66$9.0042.9%12.3%64.9%27.3%44.2%6.9%5.0%5.4M-95.4M-1.5M1.132.74N/AN/A11,51512,990854,466357,339
2010-07-16$8.27$9.0047.1%13.5%66.3%37.0%46.7%7.5%4.6%2.2M-51.8M-1.4M0.573.32N/AN/A16,2559,305848,909358,486
2010-07-19$8.43$9.0045.3%13.0%66.8%32.8%42.6%7.1%1.2%2.1M-39.6M-1.4M1.103.13N/AN/A10,61411,689590,158282,659
2010-07-20$8.45$9.0043.6%12.5%66.9%29.1%43.2%6.2%1.6%2.0M-41.8M-1.4M0.882.82N/AN/A11,1899,823595,546290,087
2010-07-21$8.17$9.0044.0%12.6%67.1%29.9%43.5%7.0%2.6%1.8M-15.8M-1.4M0.272.89N/AN/A14,7764,003602,526298,179
2010-07-22$8.54$9.0042.8%12.3%69.1%27.0%43.4%6.7%5.0%2.2M-52.6M-1.5M0.222.52N/AN/A71,22215,606611,818300,923
2010-07-23$8.48$9.0043.4%12.4%68.9%28.5%41.4%5.4%2.2%3.0M-61.8M-1.6M0.302.94N/AN/A16,7374,947668,809309,294
2010-07-26$8.51$9.0039.6%11.4%68.9%19.9%40.5%5.0%3.7%2.9M-60.5M-1.5M0.782.93N/AN/A11,2898,773663,368312,038
2010-07-27$8.43$9.0043.1%12.3%64.8%27.8%41.2%4.6%2.3%3.0M-50.9M-1.5M0.622.92N/AN/A9,6255,922668,899318,513
2010-07-28$8.24$9.0041.9%12.0%40.8%25.1%41.6%4.7%3.2%2.7M-28.9M-1.4M0.633.23N/AN/A27,23217,160670,758321,781
2010-07-29$7.78$9.0042.4%12.1%44.8%26.1%43.5%4.2%2.7%1.9M24.7M-1.3M0.242.64N/AN/A27,8236,754689,079331,370
2010-07-30$7.28$9.0047.7%13.7%49.9%38.4%46.2%6.1%0.9%1.2M67.4M-1.1M0.472.34N/AN/A27,67813,033697,983334,438