MU Options History — January 2011

In January 2011, MU traded between $8.28 and $10.59. ATM implied volatility averaged 43.2%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 9.6% (HV 20d: 33.6%). Max pain ranged from $7.50 to $9.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.46.

Notable Days

2011-01-13: Highest Volume — 175,840 contracts
2011-01-13: Largest IV spike — 15.2% change
2011-01-10: Highest IV Rank — 28.2%
2011-01-27: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.42	$8.28	$10.59	$8.28	$10.54
Max Pain	$8.93	$7.50	$9.00	$9.00	$9.00
ATM IV	43.2%	37.8%	46.0%	43.2%	44.6%
Expected Move	12.4%	11.3%	13.2%	12.4%	12.8%
HV 20d	33.6%	27.8%	38.8%	28.9%	38.8%
HV 60d	39.8%	38.8%	41.3%	40.9%	41.1%
IV Rank	23.4%	15.5%	28.2%	28.1%	23.8%
IV Percentile	19.4%	1.6%	37.7%	16.3%	28.2%
Term Structure	1.3%	-0.8%	4.0%	-0.0%	1.6%
VWIV	43.7%	39.6%	46.3%	43.9%	44.6%
Skew 25d	-0.8%	-3.8%	1.7%	1.4%	-1.2%
Skew 10d	-1.8%	-7.1%	7.1%	7.1%	-2.3%
Call IV 25d	44.7%	39.8%	47.6%	43.2%	46.4%
Put IV 25d	43.9%	40.1%	46.1%	44.5%	45.2%
Bid-Ask Spread %	3.14	1.63	4.27	1.63	3.11
Gamma HHI	0.33	0.23	0.59	0.27	0.25
Net GEX	7.5M	3.9M	15.2M	3.9M	7.4M
Net DEX	-251.8M	-372.5M	-85.8M	-85.8M	-371.6M
Net VEX	-1.5M	-1.8M	-1.1M	-1.1M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.10	1.61	0.36	0.30
Total Volume	69,379.95	20,018	175,840	83,231	41,171
Total OI	1,210,288.4	921,016	1,454,971	1,163,449	1,028,285

Daily Data (20 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
2011-01-03	$8.28	$9.00	43.2%	12.4%	28.9%	28.1%	43.9%	1.4%	-0.0%	3.9M	-85.8M	-1.1M	0.36	1.63	N/A	N/A	61,027	22,204	827,305	336,144
2011-01-04	$8.44	$9.00	42.2%	12.1%	29.5%	25.9%	42.1%	1.5%	1.3%	4.6M	-113.9M	-1.2M	0.23	2.80	N/A	N/A	35,799	8,277	841,977	343,364
2011-01-05	$8.54	$9.00	41.4%	11.9%	29.5%	23.9%	40.8%	1.4%	0.4%	5.3M	-129.8M	-1.2M	1.61	2.77	N/A	N/A	13,696	22,061	852,164	340,796
2011-01-06	$8.58	$7.50	42.1%	12.1%	29.5%	25.5%	42.1%	-0.4%	0.0%	5.3M	-135.4M	-1.2M	0.42	2.39	N/A	N/A	27,615	11,736	844,080	340,964
2011-01-07	$8.64	$9.00	42.0%	12.0%	27.8%	25.3%	42.5%	1.7%	3.2%	5.7M	-143.1M	-1.2M	1.04	4.16	N/A	N/A	12,410	12,919	850,829	341,640
2011-01-10	$8.55	$9.00	43.2%	11.9%	28.1%	28.2%	42.8%	1.7%	2.8%	5.0M	-124.1M	-1.2M	0.27	3.18	N/A	N/A	86,457	23,488	850,870	347,969
2011-01-11	$8.72	$9.00	37.8%	11.3%	28.2%	15.5%	39.6%	0.3%	4.0%	6.5M	-156.6M	-1.3M	1.60	2.94	N/A	N/A	37,747	60,437	908,877	364,210
2011-01-12	$9.34	$9.00	38.8%	12.0%	36.0%	17.9%	42.7%	-2.4%	2.8%	8.9M	-278.1M	-1.5M	0.30	3.94	N/A	N/A	128,768	39,099	915,459	413,908
2011-01-13	$9.63	$9.00	44.7%	12.8%	35.6%	23.9%	44.8%	-3.5%	0.4%	10.4M	-345.4M	-1.6M	0.40	4.27	N/A	N/A	125,682	50,158	949,281	432,596
2011-01-14	$9.71	$9.00	44.0%	12.6%	35.5%	22.0%	43.7%	-3.8%	1.2%	11.0M	-366.3M	-1.7M	0.41	3.70	N/A	N/A	27,346	11,152	990,463	464,508
2011-01-18	$9.66	$9.00	44.1%	12.6%	35.7%	22.4%	44.2%	-2.2%	1.0%	10.9M	-339.8M	-1.6M	0.40	3.16	N/A	N/A	29,868	11,874	969,674	464,698
2011-01-19	$9.37	$9.00	43.6%	12.5%	37.7%	21.1%	44.7%	-1.5%	2.8%	7.7M	-262.0M	-1.6M	0.41	2.54	N/A	N/A	35,367	14,464	967,485	465,554
2011-01-20	$9.60	$9.00	44.4%	12.7%	38.1%	23.1%	44.9%	-0.8%	0.4%	10.2M	-312.6M	-1.6M	0.30	3.05	N/A	N/A	24,493	7,343	975,291	471,340
2011-01-21	$9.84	$9.00	44.2%	12.7%	38.4%	22.6%	44.5%	-0.9%	1.6%	15.2M	-340.1M	-1.6M	0.10	3.00	N/A	N/A	77,170	7,577	968,255	472,937
2011-01-24	$10.05	$9.00	45.9%	13.1%	33.7%	26.8%	46.3%	-1.5%	-0.8%	5.5M	-268.0M	-1.6M	0.21	3.32	N/A	N/A	80,386	16,882	601,352	319,664
2011-01-25	$9.97	$9.00	45.1%	12.9%	32.8%	24.8%	45.6%	-1.4%	0.1%	6.5M	-280.5M	-1.7M	0.37	3.37	N/A	N/A	29,044	10,655	648,793	328,676
2011-01-26	$9.95	$9.00	43.3%	12.4%	32.5%	20.3%	44.0%	-0.3%	1.3%	6.4M	-274.4M	-1.7M	0.14	2.94	N/A	N/A	17,520	2,498	651,532	329,146
2011-01-27	$10.59	$9.00	46.0%	13.2%	36.6%	27.2%	45.6%	-2.3%	-0.8%	6.8M	-372.5M	-1.7M	0.23	3.30	N/A	N/A	83,598	19,011	649,448	329,345
2011-01-28	$10.37	$9.00	43.1%	12.4%	38.8%	19.9%	44.1%	-2.1%	3.0%	7.1M	-336.4M	-1.7M	0.16	3.26	N/A	N/A	52,041	8,559	667,032	339,857
2011-01-31	$10.54	$9.00	44.6%	12.8%	38.8%	23.8%	44.6%	-1.2%	1.6%	7.4M	-371.6M	-1.8M	0.30	3.11	N/A	N/A	31,783	9,388	686,357	341,928