MU Options History — March 2011

In March 2011, MU traded between $9.93 and $11.76. ATM implied volatility averaged 47.9%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 2.3% (HV 20d: 50.2%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.57.

Notable Days

2011-03-24: Highest Volume — 197,033 contracts
2011-03-10: Largest IV spike — 24.7% change
2011-03-16: Highest IV Rank — 70.1%
2011-03-16: Largest Expected Move — 18.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.85	$9.93	$11.76	$10.96	$11.47
Max Pain	$9.26	$9.00	$11.00	$11.00	$9.00
ATM IV	47.9%	34.2%	62.8%	44.6%	35.7%
Expected Move	14.1%	9.8%	18.0%	12.8%	10.2%
HV 20d	50.2%	41.0%	55.5%	41.8%	50.1%
HV 60d	41.7%	36.9%	44.6%	36.9%	44.4%
IV Rank	32.3%	0.0%	70.1%	23.8%	3.8%
IV Percentile	47.3%	0.0%	96.4%	31.3%	1.2%
Term Structure	-0.0%	-5.9%	6.0%	4.3%	4.8%
VWIV	49.8%	34.6%	65.2%	44.9%	34.6%
Skew 25d	3.4%	-0.9%	8.0%	0.0%	3.0%
Skew 10d	7.6%	-3.8%	15.7%	-0.7%	5.7%
Call IV 25d	48.9%	34.4%	62.9%	45.5%	34.4%
Put IV 25d	52.3%	36.6%	66.8%	45.5%	37.4%
Bid-Ask Spread %	3.14	2.42	4.13	3.77	3.59
Gamma HHI	0.22	0.18	0.30	0.19	0.30
Net GEX	9.3M	2.9M	12.8M	9.9M	12.8M
Net DEX	-386.3M	-564.1M	-192.0M	-412.3M	-500.0M
Net VEX	-1.9M	-2.1M	-1.7M	-2.1M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.25	1.19	0.53	0.45
Total Volume	72,529.652	23,289	197,033	75,968	28,007
Total OI	1,255,136.957	1,126,872	1,327,866	1,253,092	1,233,785

Daily Data (23 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
2011-03-01	$10.96	$11.00	44.6%	12.8%	41.8%	23.8%	44.9%	0.0%	4.3%	9.9M	-412.3M	-2.1M	0.53	3.77	N/A	N/A	49,630	26,338	894,274	358,818
2011-03-02	$11.09	$11.00	43.2%	12.4%	41.0%	20.0%	43.8%	-0.8%	6.0%	10.1M	-431.5M	-2.1M	0.81	2.87	N/A	N/A	30,127	24,529	883,837	362,138
2011-03-03	$11.57	$11.00	42.3%	12.1%	43.5%	17.8%	42.2%	-0.9%	4.2%	11.3M	-541.1M	-2.0M	0.28	2.78	N/A	N/A	36,887	10,453	890,682	370,223
2011-03-04	$11.64	$9.00	40.7%	13.8%	43.5%	13.8%	51.0%	3.3%	0.1%	11.2M	-552.3M	-2.1M	1.12	4.05	N/A	N/A	38,129	42,547	885,552	368,313
2011-03-07	$11.03	$9.00	46.0%	15.1%	47.8%	27.3%	52.7%	3.9%	-2.6%	9.8M	-417.9M	-2.1M	0.54	3.06	N/A	N/A	61,598	33,124	900,910	369,398
2011-03-08	$10.89	$9.00	43.8%	14.8%	47.3%	21.5%	54.8%	4.7%	-1.8%	9.4M	-386.3M	-2.1M	1.08	2.87	N/A	N/A	20,879	22,481	915,647	381,226
2011-03-09	$10.32	$9.00	45.3%	15.4%	50.3%	25.3%	53.9%	3.9%	-1.6%	7.4M	-269.3M	-1.9M	0.49	3.47	N/A	N/A	70,235	34,768	896,111	377,589
2011-03-10	$9.93	$9.00	56.5%	16.2%	51.6%	53.9%	57.1%	3.5%	-2.2%	5.9M	-192.0M	-1.9M	0.50	2.99	N/A	N/A	55,163	27,701	915,309	392,733
2011-03-11	$10.24	$9.00	55.5%	15.9%	53.1%	51.4%	55.6%	3.4%	-2.1%	7.2M	-261.0M	-1.9M	0.38	2.66	N/A	N/A	35,622	13,488	923,865	388,570
2011-03-14	$10.36	$9.00	60.4%	17.3%	53.4%	63.9%	60.4%	2.1%	-4.6%	8.0M	-294.2M	-1.9M	1.04	4.00	N/A	N/A	48,075	50,168	924,481	389,601
2011-03-15	$10.43	$9.00	60.9%	17.5%	52.2%	65.3%	60.6%	3.8%	-4.5%	7.7M	-292.5M	-2.0M	0.37	3.16	N/A	N/A	49,185	18,261	926,645	401,221
2011-03-16	$10.06	$9.00	62.8%	18.0%	53.2%	70.1%	65.2%	3.9%	-5.9%	6.4M	-237.9M	-1.9M	0.38	4.13	N/A	N/A	43,672	16,558	938,535	381,732
2011-03-17	$10.21	$9.00	59.3%	17.0%	53.8%	61.3%	59.1%	4.6%	-4.0%	6.0M	-256.3M	-1.8M	0.40	3.03	N/A	N/A	16,688	6,601	938,181	381,213
2011-03-18	$10.07	$9.00	56.0%	16.0%	53.2%	52.7%	57.1%	4.2%	-1.8%	2.9M	-235.5M	-1.8M	1.08	2.74	N/A	N/A	30,745	33,291	937,795	381,897
2011-03-21	$10.36	$9.00	53.0%	15.2%	54.8%	45.1%	50.6%	7.8%	-2.6%	7.6M	-281.5M	-1.7M	0.38	2.91	N/A	N/A	35,840	13,446	796,761	330,111
2011-03-22	$10.35	$9.00	53.2%	15.3%	49.5%	45.6%	52.0%	6.3%	-2.9%	8.3M	-295.0M	-1.8M	0.38	2.84	N/A	N/A	42,499	15,989	816,696	328,405
2011-03-23	$10.61	$9.00	51.1%	14.7%	48.9%	40.3%	51.5%	8.0%	-2.6%	9.2M	-344.6M	-1.8M	0.29	3.22	N/A	N/A	103,380	30,399	836,845	331,774
2011-03-24	$11.50	$9.00	43.3%	12.4%	55.5%	20.2%	42.9%	4.3%	1.3%	12.6M	-541.6M	-1.9M	0.40	2.42	N/A	N/A	140,782	56,251	891,181	338,933
2011-03-25	$11.55	$9.00	38.5%	11.0%	53.0%	8.1%	40.6%	3.2%	3.4%	11.9M	-524.8M	-1.9M	0.25	2.56	N/A	N/A	54,175	13,410	868,511	361,648
2011-03-28	$11.55	$9.00	37.7%	10.8%	51.9%	6.1%	40.0%	3.8%	4.4%	12.0M	-528.9M	-1.9M	0.45	3.20	N/A	N/A	33,067	14,956	860,391	357,313
2011-03-29	$11.76	$9.00	37.2%	10.7%	51.8%	4.8%	39.8%	1.7%	4.4%	12.4M	-564.1M	-1.8M	1.19	2.89	N/A	N/A	20,470	24,270	855,118	363,198
2011-03-30	$11.58	$9.00	34.2%	9.8%	52.2%	0.0%	34.9%	1.1%	5.5%	12.8M	-524.4M	-1.8M	0.26	2.95	N/A	N/A	74,560	19,738	854,045	366,939
2011-03-31	$11.47	$9.00	35.7%	10.2%	50.1%	3.8%	34.6%	3.0%	4.8%	12.8M	-500.0M	-1.8M	0.45	3.59	N/A	N/A	19,298	8,709	861,934	371,851