MU Options History — November 2010

In November 2010, MU traded between $7.10 and $8.65. ATM implied volatility averaged 48.7%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 4.8% (HV 20d: 43.9%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2010-11-04: Highest Volume — 57,049 contracts
  • 2010-11-24: Largest IV drop — 9.9% change
  • 2010-11-16: Highest IV Rank — 48.7%
  • 2010-11-16: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.74$7.10$8.65$8.14$7.27
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV48.7%45.2%52.2%48.0%51.6%
Expected Move14.1%13.0%15.0%13.8%14.8%
HV 20d43.9%38.5%48.2%40.6%44.2%
HV 60d49.9%48.7%51.2%49.3%49.3%
IV Rank40.7%32.7%48.7%39.1%47.4%
IV Percentile47.8%24.6%66.3%43.7%65.5%
Term Structure3.7%1.5%7.0%4.7%2.1%
VWIV49.8%45.9%53.8%48.8%52.0%
Skew 25d2.0%0.2%4.5%4.5%3.5%
Skew 10d3.7%-0.0%7.8%6.3%3.6%
Call IV 25d50.2%46.7%53.4%48.5%52.3%
Put IV 25d52.2%47.4%55.9%53.0%55.9%
Bid-Ask Spread %4.453.077.433.233.94
Gamma HHI0.170.150.190.170.17
Net GEX3.0M1.9M4.6M3.7M2.1M
Net DEX-62.8M-176.9M9.0M-110.8M-9.9M
Net VEX-1.3M-1.6M-1.1M-1.5M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.111.491.490.52
Total Volume26,401.66710,41057,04939,58413,061
Total OI1,103,526.8571,049,8071,152,9601,049,8071,150,512

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$8.14$8.0048.0%13.8%40.6%39.1%48.8%4.5%4.7%3.7M-110.8M-1.5M1.493.23N/AN/A15,92623,658752,487297,320
2010-11-02$8.11$8.0046.9%13.4%40.4%36.5%47.7%1.8%4.9%3.8M-105.7M-1.5M0.833.17N/AN/A6,7575,628757,383303,202
2010-11-03$8.09$8.0045.5%13.0%40.5%33.3%45.9%2.1%5.1%3.7M-105.6M-1.4M0.273.07N/AN/A8,2022,208761,265292,168
2010-11-04$8.56$8.0045.2%13.0%43.8%32.7%46.1%0.8%4.6%4.6M-164.9M-1.5M0.994.36N/AN/A28,63028,419763,689290,860
2010-11-05$8.65$8.0045.4%14.3%38.5%33.2%50.8%2.6%3.0%4.5M-176.9M-1.6M0.225.14N/AN/A20,6204,489766,382297,904
2010-11-08$8.24$8.0046.6%14.7%43.1%35.9%52.0%1.2%3.9%4.1M-122.6M-1.5M0.145.60N/AN/A34,6504,713774,380299,696
2010-11-09$7.90$8.0047.6%14.3%46.0%38.2%51.3%1.3%4.3%3.5M-76.9M-1.4M0.503.75N/AN/A14,5847,274785,171301,345
2010-11-10$7.87$8.0048.2%14.1%45.7%39.5%49.7%2.2%4.7%3.6M-74.1M-1.3M0.144.38N/AN/A22,2853,034791,828303,366
2010-11-11$7.85$8.0049.6%14.2%45.6%42.7%50.1%3.3%4.4%3.7M-71.7M-1.3M0.724.49N/AN/A9,1276,558797,295304,390
2010-11-12$7.72$8.0049.5%14.2%46.1%42.5%50.3%2.9%4.6%3.4M-56.4M-1.3M0.404.42N/AN/A12,6005,045798,395308,186
2010-11-15$7.42$8.0051.3%14.7%48.2%46.8%50.7%2.5%2.3%2.4M-18.8M-1.2M0.113.69N/AN/A30,7213,247799,698310,681
2010-11-16$7.22$8.0052.2%15.0%47.8%48.7%52.3%1.9%1.5%2.0M-1.3M-1.1M0.414.49N/AN/A22,6799,370818,530311,333
2010-11-17$7.10$8.0050.7%14.5%43.8%45.2%50.8%3.6%2.2%2.0M9.0M-1.1M0.196.01N/AN/A13,5092,548824,053318,358
2010-11-18$7.29$8.0050.0%14.3%44.3%43.7%50.4%1.7%2.3%2.1M-9.5M-1.2M0.134.28N/AN/A23,5892,969826,191318,744
2010-11-19$7.39$8.0050.0%14.3%43.6%43.7%49.1%1.2%1.6%1.9M-19.0M-1.2M0.184.28N/AN/A28,5785,164833,407319,553
2010-11-22$7.32$8.0049.4%14.2%43.2%42.3%48.0%1.3%1.8%2.1M-21.9M-1.2M0.867.43N/AN/A21,29818,301775,782297,989
2010-11-23$7.42$8.0051.0%14.6%43.5%46.0%51.2%0.6%2.8%2.0M-25.1M-1.2M0.404.25N/AN/A31,46512,625789,570312,025
2010-11-24$7.75$8.0046.0%13.2%44.8%34.4%47.5%0.2%7.0%2.8M-65.4M-1.4M0.144.80N/AN/A23,7883,393809,925322,947
2010-11-26$7.63$8.0046.9%13.5%45.1%36.7%47.5%1.3%6.2%2.7M-50.4M-1.3M0.794.83N/AN/A6,0534,793818,541322,380
2010-11-29$7.57$8.0051.5%14.8%42.4%47.1%53.8%0.7%3.3%2.6M-40.7M-1.3M0.203.91N/AN/A10,6942,183821,681325,452
2010-11-30$7.27$8.0051.6%14.8%44.2%47.4%52.0%3.5%2.1%2.1M-9.9M-1.2M0.523.94N/AN/A8,6164,445824,769325,743