MU Options History — February 2011

In February 2011, MU traded between $10.55 and $11.80. ATM implied volatility averaged 42.2%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 5.6% (HV 20d: 36.6%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.44.

Notable Days

2011-02-23: Highest Volume — 139,918 contracts
2011-02-10: Largest IV spike — 15.5% change
2011-02-23: Highest IV Rank — 30.8%
2011-02-23: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.25	$10.55	$11.80	$10.81	$11.13
Max Pain	$10.68	$9.00	$11.00	$9.00	$11.00
ATM IV	42.2%	36.9%	47.4%	40.8%	45.0%
Expected Move	12.4%	11.1%	13.6%	11.7%	12.9%
HV 20d	36.6%	29.2%	43.3%	38.4%	41.5%
HV 60d	37.1%	34.8%	39.9%	39.9%	38.8%
IV Rank	17.6%	4.0%	30.8%	14.1%	24.8%
IV Percentile	19.6%	0.8%	52.4%	7.1%	34.1%
Term Structure	1.7%	-0.2%	3.7%	1.6%	3.2%
VWIV	43.6%	39.0%	48.3%	40.8%	45.2%
Skew 25d	-0.4%	-2.0%	2.3%	-1.9%	-0.3%
Skew 10d	-0.4%	-4.2%	3.7%	-1.7%	0.5%
Call IV 25d	44.3%	39.6%	49.0%	42.9%	45.8%
Put IV 25d	43.9%	40.3%	48.2%	41.0%	45.5%
Bid-Ask Spread %	3.64	2.40	4.72	3.38	3.57
Gamma HHI	0.22	0.16	0.28	0.27	0.19
Net GEX	9.3M	7.8M	11.5M	8.1M	9.9M
Net DEX	-501.9M	-669.7M	-340.6M	-416.6M	-440.8M
Net VEX	-2.0M	-2.2M	-1.8M	-1.8M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.05	1.20	1.20	0.91
Total Volume	78,716.526	18,419	139,918	103,360	94,973
Total OI	1,202,465.947	1,038,284	1,359,079	1,038,284	1,259,834

Daily Data (19 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
2011-02-01	$10.81	$9.00	40.8%	11.7%	38.4%	14.1%	40.8%	-1.9%	1.6%	8.1M	-416.6M	-1.8M	1.20	3.38	N/A	N/A	47,022	56,338	692,347	345,937
2011-02-02	$10.89	$9.00	40.0%	11.5%	38.4%	12.0%	40.2%	-1.2%	1.2%	8.1M	-424.1M	-1.8M	1.03	2.40	N/A	N/A	23,960	24,604	702,208	374,519
2011-02-03	$10.90	$9.00	38.8%	11.1%	38.7%	8.9%	39.0%	-1.4%	2.6%	8.0M	-421.1M	-1.8M	0.47	2.65	N/A	N/A	12,525	5,894	700,039	379,540
2011-02-04	$11.05	$11.00	36.9%	11.6%	38.6%	4.0%	41.6%	2.3%	2.5%	8.1M	-442.2M	-1.8M	0.40	3.37	N/A	N/A	34,554	13,766	704,452	378,855
2011-02-07	$11.29	$11.00	37.9%	12.1%	38.6%	6.6%	42.2%	1.6%	1.4%	7.8M	-493.9M	-1.8M	0.32	4.35	N/A	N/A	75,714	24,031	718,170	380,727
2011-02-08	$11.44	$11.00	40.2%	12.7%	37.6%	12.5%	44.4%	0.8%	1.0%	7.8M	-517.3M	-1.8M	0.29	3.82	N/A	N/A	73,752	21,711	736,077	385,126
2011-02-09	$11.26	$11.00	38.2%	12.6%	39.0%	7.3%	44.6%	-1.4%	1.0%	8.6M	-496.8M	-1.9M	0.29	4.58	N/A	N/A	53,002	15,194	771,952	395,582
2011-02-10	$11.31	$11.00	44.1%	12.7%	33.0%	22.5%	44.5%	-0.5%	1.1%	9.0M	-512.0M	-1.9M	0.36	3.91	N/A	N/A	50,446	18,218	790,316	396,119
2011-02-11	$11.32	$11.00	43.1%	12.4%	32.2%	19.8%	43.6%	-0.2%	1.7%	9.7M	-518.7M	-1.9M	0.14	4.57	N/A	N/A	104,139	14,460	810,562	396,313
2011-02-14	$11.65	$11.00	46.3%	13.3%	33.0%	27.9%	46.5%	-1.4%	-0.2%	9.9M	-615.6M	-2.1M	0.21	4.72	N/A	N/A	110,842	23,779	871,326	401,763
2011-02-15	$11.67	$11.00	44.5%	12.8%	32.7%	23.5%	45.0%	0.1%	0.9%	10.3M	-624.6M	-2.1M	0.35	4.22	N/A	N/A	31,171	10,887	890,914	400,258
2011-02-16	$11.63	$11.00	43.7%	12.5%	29.6%	21.4%	43.8%	-0.4%	1.7%	10.5M	-617.8M	-2.1M	0.05	3.38	N/A	N/A	96,962	4,510	896,492	400,912
2011-02-17	$11.80	$11.00	42.2%	12.1%	29.2%	17.5%	42.4%	0.1%	3.6%	11.5M	-669.7M	-2.1M	0.16	2.88	N/A	N/A	49,100	8,029	946,196	401,211
2011-02-18	$11.70	$11.00	40.9%	11.7%	29.4%	14.2%	41.7%	0.9%	3.2%	10.6M	-650.3M	-2.2M	0.21	3.41	N/A	N/A	46,017	9,492	956,861	402,218
2011-02-22	$10.92	$11.00	44.7%	12.8%	39.9%	23.9%	45.5%	0.4%	1.1%	9.3M	-405.0M	-2.1M	0.39	3.43	N/A	N/A	61,656	24,063	861,689	330,611
2011-02-23	$10.55	$11.00	47.4%	13.6%	42.0%	30.8%	48.3%	-0.8%	0.7%	8.8M	-340.6M	-2.1M	0.82	4.03	N/A	N/A	76,897	63,021	882,522	344,462
2011-02-24	$10.91	$11.00	45.9%	13.2%	43.3%	27.0%	46.5%	-2.0%	1.1%	9.7M	-409.1M	-2.2M	0.59	3.46	N/A	N/A	37,971	22,227	904,729	362,996
2011-02-25	$11.44	$11.00	41.4%	11.9%	41.0%	15.4%	42.0%	-1.6%	3.7%	10.8M	-520.9M	-2.2M	0.19	3.09	N/A	N/A	45,986	8,701	901,110	371,908
2011-02-28	$11.13	$11.00	45.0%	12.9%	41.5%	24.8%	45.2%	-0.3%	3.2%	9.9M	-440.8M	-2.1M	0.91	3.57	N/A	N/A	49,738	45,235	893,174	366,660