MU Options History — October 2010

In October 2010, MU traded between $6.93 and $8.26. ATM implied volatility averaged 50.0%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 0.3% (HV 20d: 49.7%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2010-10-20: Highest Volume — 152,256 contracts
  • 2010-10-08: Largest IV drop — 35.8% change
  • 2010-10-07: Highest IV Rank — 95.0%
  • 2010-10-07: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.55$6.93$8.26$7.29$8.26
Max Pain$7.67$7.00$8.00$8.00$8.00
ATM IV50.0%35.3%72.3%56.8%47.0%
Expected Move14.0%12.6%16.9%16.3%13.5%
HV 20d49.7%41.2%61.0%59.9%43.7%
HV 60d51.0%48.7%53.0%50.5%49.3%
IV Rank43.7%10.0%95.0%59.2%36.7%
IV Percentile44.8%0.4%99.6%80.6%35.7%
Term Structure2.9%-4.2%6.2%-4.2%4.8%
VWIV49.2%44.6%59.0%56.7%47.1%
Skew 25d2.8%-0.4%5.5%2.7%5.5%
Skew 10d7.6%-0.4%16.7%3.2%6.3%
Call IV 25d49.1%44.7%57.2%57.2%44.8%
Put IV 25d52.0%47.7%61.6%59.9%50.4%
Bid-Ask Spread %3.302.664.412.663.52
Gamma HHI0.170.140.260.150.17
Net GEX2.1M211.9K3.9M914.9K3.9M
Net DEX-21.5M-125.1M77.4M35.2M-125.1M
Net VEX-1.2M-1.5M-988.1K-1.1M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.071.871.410.13
Total Volume40,118.0489,061152,25626,87124,906
Total OI1,142,809900,2631,341,1991,221,6771,043,120

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$7.29$8.0056.8%16.3%59.9%59.2%56.7%2.7%-4.2%914.9K35.2M-1.1M1.412.66N/AN/A11,14115,730809,238412,439
2010-10-04$6.99$7.0061.2%15.1%61.0%69.5%52.6%3.7%0.2%388.6K65.1M-1.0M0.363.23N/AN/A11,0123,932810,749418,966
2010-10-05$6.93$7.0060.9%15.0%58.9%68.8%52.8%3.7%0.1%211.9K76.9M-1.0M0.683.39N/AN/A20,67014,057811,785420,013
2010-10-06$6.95$7.0064.3%15.1%58.3%76.5%52.9%3.9%-0.5%278.1K77.4M-988.1K0.773.02N/AN/A24,50718,909820,732416,516
2010-10-07$7.11$7.0072.3%16.9%57.9%95.0%59.0%5.1%-4.1%777.4K46.3M-1.1M0.303.29N/AN/A46,93214,125830,622428,859
2010-10-08$7.59$7.0046.4%13.4%59.3%35.4%47.9%3.8%3.9%2.0M-18.8M-1.2M0.632.69N/AN/A76,97548,832844,979434,332
2010-10-11$7.67$7.0046.9%13.8%52.9%36.5%48.9%2.1%3.8%2.6M-27.7M-1.3M0.313.16N/AN/A41,29112,885861,495457,285
2010-10-12$7.75$7.0045.5%13.7%52.1%33.3%46.7%2.0%4.1%3.4M-36.5M-1.2M1.113.03N/AN/A21,74424,212862,084455,457
2010-10-13$7.65$8.0035.3%13.4%49.1%10.0%48.1%2.6%4.7%2.8M-20.3M-1.2M0.303.08N/AN/A43,83113,168865,457456,501
2010-10-14$7.59$8.0046.6%13.3%48.8%35.8%47.6%3.0%4.1%2.3M-13.3M-1.2M0.162.93N/AN/A16,8522,750882,000459,199
2010-10-15$7.61$8.0045.9%13.2%44.7%34.3%46.6%2.0%6.0%2.0M-14.5M-1.2M1.873.23N/AN/A12,12322,629884,532455,071
2010-10-18$7.54$8.0043.9%12.6%44.4%29.8%44.6%2.7%1.6%1.5M-19.3M-1.1M0.463.76N/AN/A14,9296,824622,258278,005
2010-10-19$7.30$8.0045.1%12.9%46.0%32.5%44.8%3.8%2.2%1.4M-3.9M-1.1M0.703.87N/AN/A9,3896,589630,940282,446
2010-10-20$7.69$8.0047.9%13.7%48.0%39.0%48.4%0.2%4.4%2.0M-46.6M-1.3M0.143.19N/AN/A133,29618,960630,511286,928
2010-10-21$7.50$8.0052.5%15.1%49.1%49.5%52.7%-0.4%4.0%2.4M-50.8M-1.4M0.302.79N/AN/A30,3579,117706,517291,113
2010-10-22$7.69$8.0048.1%13.8%42.2%39.4%48.5%1.8%5.7%2.7M-67.2M-1.4M0.113.24N/AN/A8,182879723,803295,303
2010-10-25$7.81$8.0047.5%13.6%41.2%37.9%48.6%3.3%5.0%3.0M-75.6M-1.4M0.964.22N/AN/A6,6436,355726,903295,495
2010-10-26$7.72$8.0044.2%12.7%41.3%30.5%45.1%3.0%6.2%2.8M-59.2M-1.3M0.234.41N/AN/A9,4842,216729,033299,951
2010-10-27$7.97$8.0045.8%13.1%42.2%34.1%46.5%2.7%4.4%3.2M-87.3M-1.4M0.172.96N/AN/A12,5982,174730,984297,738
2010-10-28$7.94$8.0045.9%13.2%41.9%34.3%47.4%2.1%5.5%3.3M-86.2M-1.4M0.073.60N/AN/A19,9611,313732,367297,263
2010-10-29$8.26$8.0047.0%13.5%43.7%36.7%47.1%5.5%4.8%3.9M-125.1M-1.5M0.133.52N/AN/A22,0422,864746,084297,036