MU Options History — September 2010 In September 2010, MU traded between $6.51 and $7.29. ATM implied volatility averaged 50.1%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 5.2% (HV 20d: 55.2%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.52.
Notable Days 2010-09-29 : Highest Volume — 80,550 contracts2010-09-07 : Largest IV spike — 15.7% change2010-09-30 : Highest IV Rank — 60.3%2010-09-30 : Largest Expected Move — 16.4%Monthly Statistics Metric Avg Min Max Open Close Price $6.93 $6.51 $7.29 $6.73 $7.21 Max Pain $8.00 $8.00 $8.00 $8.00 $8.00 ATM IV 50.1% 39.5% 57.2% 45.5% 57.2% Expected Move 14.6% 12.3% 16.4% 13.0% 16.4% HV 20d 55.2% 42.6% 63.3% 42.6% 60.0% HV 60d 55.2% 49.5% 58.7% 55.5% 50.6% IV Rank 43.9% 19.5% 60.3% 33.2% 60.3% IV Percentile 47.8% 1.6% 82.9% 24.2% 82.9% Term Structure 0.4% -3.9% 7.4% 5.9% -3.9% VWIV 51.8% 43.0% 57.4% 47.0% 57.4% Skew 25d 2.7% -1.4% 5.1% 4.0% 1.5% Skew 10d 4.3% -6.6% 9.7% 0.6% 1.2% Call IV 25d 52.8% 46.6% 59.8% 47.2% 59.8% Put IV 25d 55.5% 48.9% 61.3% 51.1% 61.3% Bid-Ask Spread % 2.73 1.88 3.33 3.33 2.82 Gamma HHI 0.17 0.16 0.18 0.17 0.16 Net GEX 483.3K -32.0K 1.3M 59.7K 1.3M Net DEX 80.6M 30.4M 117.5M 106.7M 32.1M Net VEX -965.1K -1.1M -835.9K -903.0K -1.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.52 0.12 2.69 0.17 2.69 Total Volume 28,030.333 5,678 80,550 17,363 44,231 Total OI 1,137,191.714 1,078,309 1,193,686 1,112,719 1,193,686
Daily Data (21 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 2010-09-01 $6.73 $8.00 45.5% 13.0% 42.6% 33.2% 47.0% 4.0% 5.9% 59.7K 106.7M -903.0K 0.17 3.33 N/A N/A 14,849 2,514 727,592 385,127 2010-09-02 $6.83 $8.00 42.9% 12.3% 43.0% 27.3% 43.0% 2.3% 7.4% 151.1K 99.6M -957.6K 0.18 2.59 N/A N/A 4,821 857 732,151 384,778 2010-09-03 $7.05 $8.00 39.5% 13.8% 44.8% 19.5% 49.1% 4.8% 2.1% 335.5K 83.8M -1.0M 0.37 3.25 N/A N/A 6,500 2,430 733,481 384,514 2010-09-07 $6.75 $8.00 45.6% 14.5% 47.0% 33.7% 51.6% 3.5% 4.4% 64.2K 107.2M -885.8K 0.44 2.89 N/A N/A 5,354 2,361 735,535 385,378 2010-09-08 $6.60 $8.00 47.6% 14.7% 46.0% 38.2% 53.3% 5.1% 4.1% -32.0K 117.5M -835.9K 0.17 2.37 N/A N/A 31,537 5,252 737,623 386,742 2010-09-09 $6.80 $8.00 50.2% 14.4% 47.4% 44.3% 51.2% 2.8% 1.1% 217.9K 99.5M -939.5K 0.24 2.55 N/A N/A 13,796 3,269 764,214 388,261 2010-09-10 $6.51 $8.00 51.1% 14.7% 47.9% 46.3% 52.8% 4.1% 3.1% 107.5K 116.0M -848.9K 0.23 2.28 N/A N/A 20,855 4,816 770,606 390,284 2010-09-13 $7.05 $8.00 52.1% 14.9% 56.6% 48.6% 52.7% 4.5% -0.3% 580.8K 75.7M -1.0M 0.97 2.83 N/A N/A 23,163 22,582 778,168 388,293 2010-09-14 $7.27 $8.00 53.7% 15.4% 57.6% 52.1% 53.4% 3.1% -1.1% 899.7K 51.4M -1.1M 0.12 2.61 N/A N/A 32,652 3,897 781,873 389,111 2010-09-15 $6.94 $8.00 53.0% 15.2% 59.5% 50.6% 54.1% 2.8% -1.2% 526.3K 83.2M -987.6K 0.59 3.11 N/A N/A 10,123 5,962 786,723 389,818 2010-09-16 $7.10 $8.00 51.9% 14.9% 59.7% 48.0% 52.4% 4.0% 0.1% 604.0K 71.7M -1.0M 0.28 3.04 N/A N/A 15,656 4,380 788,279 391,653 2010-09-17 $6.76 $8.00 52.7% 15.1% 60.8% 49.8% 53.8% 2.1% -1.1% 447.5K 100.1M -941.6K 0.50 2.31 N/A N/A 14,728 7,362 798,263 392,011 2010-09-20 $6.94 $8.00 49.8% 14.3% 61.6% 43.1% 50.5% 3.0% -0.8% 253.6K 80.1M -915.4K 0.15 2.07 N/A N/A 21,051 3,102 715,467 362,842 2010-09-21 $6.88 $8.00 49.7% 14.2% 60.1% 42.9% 49.8% 2.2% -0.6% 432.7K 79.4M -924.1K 1.11 2.55 N/A N/A 10,996 12,246 726,269 363,899 2010-09-22 $6.72 $8.00 47.5% 13.6% 58.6% 37.9% 49.0% 3.3% 0.5% 215.9K 95.7M -857.4K 0.64 3.17 N/A N/A 9,654 6,142 729,865 368,528 2010-09-23 $6.67 $8.00 49.9% 14.3% 58.6% 43.4% 50.7% 1.1% -0.7% 278.3K 93.6M -853.0K 0.27 2.62 N/A N/A 19,210 5,112 733,001 369,647 2010-09-24 $7.20 $8.00 52.1% 14.9% 62.7% 48.5% 52.1% 2.5% -2.9% 906.6K 48.5M -1.0M 0.59 3.08 N/A N/A 29,119 17,096 742,193 373,183 2010-09-27 $7.03 $8.00 52.8% 15.1% 63.3% 50.1% 53.9% -1.4% -3.3% 716.5K 63.8M -972.4K 0.76 1.88 N/A N/A 12,864 9,816 748,634 376,250 2010-09-28 $7.15 $8.00 51.8% 14.9% 61.3% 47.9% 52.7% 0.7% -1.3% 833.7K 55.9M -1.0M 0.29 2.71 N/A N/A 37,069 10,663 751,506 378,024 2010-09-29 $7.29 $8.00 55.4% 15.9% 61.1% 56.1% 56.3% 1.2% -2.5% 1.2M 30.4M -1.1M 0.18 3.23 N/A N/A 68,258 12,292 774,972 382,582 2010-09-30 $7.21 $8.00 57.2% 16.4% 60.0% 60.3% 57.4% 1.5% -3.9% 1.3M 32.1M -1.1M 2.69 2.82 N/A N/A 11,984 32,247 804,348 389,338
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