MU Options History — April 2011

In April 2011, MU traded between $10.42 and $11.80. ATM implied volatility averaged 36.0%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 5.0% (HV 20d: 40.9%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2011-04-12: Highest Volume — 120,092 contracts
  • 2011-04-11: Largest IV spike — 18.7% change
  • 2011-04-26: Highest IV Rank — 22.3%
  • 2011-04-26: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.08$10.42$11.80$11.30$11.32
Max Pain$10.90$9.00$11.00$9.00$11.00
ATM IV36.0%31.9%41.4%35.2%35.7%
Expected Move10.7%9.5%11.9%10.1%10.2%
HV 20d40.9%37.7%50.2%50.2%40.1%
HV 60d43.8%42.4%45.4%44.6%44.1%
IV Rank8.4%0.0%22.3%2.7%8.9%
IV Percentile4.2%0.0%20.2%0.4%4.8%
Term Structure4.9%0.5%7.9%5.4%5.4%
VWIV37.8%34.4%42.0%35.0%36.2%
Skew 25d2.6%-2.0%5.1%5.1%1.5%
Skew 10d5.4%-3.0%15.6%15.6%0.8%
Call IV 25d37.1%33.7%43.4%33.7%36.2%
Put IV 25d39.7%35.8%43.9%38.7%37.7%
Bid-Ask Spread %3.101.814.632.881.81
Gamma HHI0.260.160.390.290.28
Net GEX6.8M1.2M12.0M12.0M4.6M
Net DEX-271.3M-442.4M-74.0M-442.4M-186.2M
Net VEX-1.6M-1.7M-1.4M-1.7M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.111.080.410.56
Total Volume42,662.4516,178120,09244,26942,880
Total OI987,178.75642,0521,250,9931,220,148770,299

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$11.30$9.0035.2%10.1%50.2%2.7%35.0%5.1%5.4%12.0M-442.4M-1.7M0.412.88N/AN/A31,34612,923845,116375,032
2011-04-04$11.19$11.0036.5%11.7%46.5%5.8%41.0%4.4%4.1%11.9M-418.3M-1.7M0.183.68N/AN/A29,0535,088843,841374,603
2011-04-05$11.02$11.0035.4%11.6%46.6%3.0%40.7%4.2%4.3%10.9M-385.8M-1.6M0.343.43N/AN/A14,4814,873829,866376,389
2011-04-06$11.24$11.0035.0%11.4%42.3%2.2%39.2%3.1%4.9%11.5M-430.0M-1.7M0.384.02N/AN/A19,0317,298831,642376,859
2011-04-07$11.14$11.0033.6%11.3%39.5%0.0%39.5%4.0%5.3%11.8M-412.2M-1.6M0.523.06N/AN/A10,6365,542835,174380,600
2011-04-08$11.07$11.0031.9%10.9%38.6%0.0%39.5%3.8%5.7%12.0M-394.7M-1.6M1.083.12N/AN/A17,49118,903837,317382,414
2011-04-11$10.74$11.0037.9%11.0%40.3%14.0%39.0%3.1%5.4%10.5M-314.6M-1.5M0.343.71N/AN/A37,28712,508838,939393,541
2011-04-12$10.53$11.0039.9%10.8%41.0%18.7%38.6%3.7%6.2%9.2M-265.7M-1.5M0.484.63N/AN/A80,98239,110853,539397,454
2011-04-13$10.62$11.0035.2%10.8%38.7%7.7%38.8%3.0%6.7%7.2M-281.6M-1.5M0.513.74N/AN/A24,48912,387827,849409,347
2011-04-14$10.65$11.0036.3%10.4%38.4%10.3%37.1%2.8%7.9%5.4M-277.5M-1.5M0.633.31N/AN/A9,9876,292819,168409,928
2011-04-15$10.75$11.0035.6%10.2%38.0%8.6%36.6%3.2%7.5%2.6M-278.2M-1.5M0.393.55N/AN/A22,0868,697814,573410,803
2011-04-18$10.42$11.0037.8%10.8%38.7%13.9%36.9%2.7%3.5%1.2M-74.0M-1.4M0.322.67N/AN/A15,8705,012415,487226,565
2011-04-19$10.52$11.0034.0%9.7%38.8%4.8%34.8%3.1%4.1%1.4M-82.8M-1.4M0.312.59N/AN/A17,0205,334419,068228,722
2011-04-20$11.39$11.0034.4%9.9%47.2%5.9%34.4%2.1%4.4%2.9M-168.8M-1.5M0.712.85N/AN/A42,87930,256423,612233,364
2011-04-21$11.52$11.0033.3%9.5%37.7%3.2%34.5%2.0%4.1%3.5M-190.5M-1.6M0.442.54N/AN/A24,99611,079443,206237,303
2011-04-25$11.33$11.0036.5%10.5%38.1%10.7%36.1%2.9%3.3%3.4M-174.9M-1.6M0.892.36N/AN/A10,0118,942452,160237,017
2011-04-26$11.61$11.0041.4%11.9%39.2%22.3%42.0%-2.0%0.5%3.6M-202.9M-1.6M0.113.03N/AN/A76,3228,419454,424241,902
2011-04-27$11.80$11.0038.0%10.9%39.1%14.2%38.7%-1.3%3.4%5.0M-237.6M-1.7M0.582.67N/AN/A41,82824,371489,046245,461
2011-04-28$11.48$11.0036.5%10.5%39.9%10.7%37.9%0.9%5.5%4.8M-206.6M-1.6M0.472.39N/AN/A39,12618,414508,928253,017
2011-04-29$11.32$11.0035.7%10.2%40.1%8.9%36.2%1.5%5.4%4.6M-186.2M-1.7M0.561.81N/AN/A27,55415,326514,527255,772