MU Options History — May 2011

In May 2011, MU traded between $9.61 and $11.24. ATM implied volatility averaged 41.0%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 0.6% (HV 20d: 40.4%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2011-05-16: Highest Volume — 118,562 contracts
  • 2011-05-09: Largest IV spike — 20.8% change
  • 2011-05-17: Highest IV Rank — 35.4%
  • 2011-05-09: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.33$9.61$11.24$11.24$10.20
Max Pain$10.67$10.00$11.00$11.00$10.00
ATM IV41.0%36.2%46.2%37.6%38.4%
Expected Move12.0%10.4%13.4%10.8%11.0%
HV 20d40.4%34.4%47.7%39.8%37.8%
HV 60d44.2%42.2%46.9%44.1%42.3%
IV Rank22.2%10.1%35.4%13.3%16.1%
IV Percentile23.8%5.6%52.8%8.3%12.7%
Term Structure4.6%2.6%6.4%3.8%6.4%
VWIV42.4%36.8%47.9%37.9%39.2%
Skew 25d0.7%-1.9%3.6%1.9%3.1%
Skew 10d1.5%-4.7%7.6%0.7%0.6%
Call IV 25d43.1%37.9%49.2%37.9%39.0%
Put IV 25d43.8%39.0%48.3%39.8%42.1%
Bid-Ask Spread %3.611.774.763.113.41
Gamma HHI0.170.140.270.270.15
Net GEX3.2M1.7M4.9M4.9M3.9M
Net DEX-84.5M-179.3M-20.2M-179.3M-100.9M
Net VEX-1.5M-1.6M-1.3M-1.6M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.131.410.700.30
Total Volume48,788.42913,558118,56247,29237,738
Total OI835,612.81765,202936,933766,995851,524

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$11.24$11.0037.6%10.8%39.8%13.3%37.9%1.9%3.8%4.9M-179.3M-1.6M0.703.11N/AN/A27,89719,395519,972247,023
2011-05-03$10.90$11.0037.4%10.7%41.2%12.8%38.7%0.2%3.4%3.7M-130.1M-1.5M0.321.93N/AN/A34,53110,878514,352250,850
2011-05-04$10.74$11.0036.2%10.4%41.1%10.1%36.8%0.9%4.7%3.7M-116.4M-1.5M0.133.43N/AN/A42,0205,371526,264250,561
2011-05-05$10.91$11.0038.6%11.1%40.9%15.7%39.2%2.1%2.8%4.5M-148.1M-1.6M0.261.77N/AN/A29,7127,838540,914250,964
2011-05-06$10.87$11.0036.3%11.8%40.8%10.2%41.2%2.4%4.0%4.6M-142.6M-1.6M0.173.64N/AN/A27,7834,696545,866253,018
2011-05-09$10.46$11.0043.8%13.4%42.9%29.4%46.4%2.9%2.6%3.3M-91.9M-1.5M0.984.15N/AN/A44,73643,784550,483252,933
2011-05-10$10.63$11.0038.4%12.5%42.1%16.1%43.9%3.6%3.1%3.7M-108.6M-1.5M0.184.02N/AN/A17,4043,206563,499270,237
2011-05-11$10.41$11.0041.5%12.9%42.2%23.7%44.7%2.4%4.0%3.2M-82.1M-1.5M0.553.74N/AN/A29,68716,217567,859271,847
2011-05-12$10.66$11.0043.0%12.3%42.9%27.5%43.9%1.9%4.8%4.0M-122.2M-1.6M0.483.86N/AN/A29,14214,007580,717275,717
2011-05-13$10.40$11.0043.3%12.4%43.8%28.1%43.0%1.7%4.6%3.0M-80.3M-1.5M0.684.76N/AN/A28,97319,804582,503280,078
2011-05-16$10.55$11.0043.4%12.4%44.0%28.4%45.0%-0.6%4.9%3.7M-107.2M-1.5M0.214.24N/AN/A97,74020,822591,241288,249
2011-05-17$9.94$11.0046.2%13.3%47.6%35.4%47.9%-1.9%4.2%1.8M-26.5M-1.4M0.493.13N/AN/A73,65335,885601,850293,662
2011-05-18$10.06$11.0043.0%12.3%47.7%27.5%43.8%0.6%6.4%2.2M-38.4M-1.4M0.353.89N/AN/A20,0117,026621,675305,712
2011-05-19$10.17$11.0041.6%11.9%37.2%23.9%43.2%-1.2%6.3%2.5M-54.4M-1.4M0.203.98N/AN/A37,8127,393616,215302,016
2011-05-20$10.00$10.0040.5%11.6%36.8%21.2%41.5%-1.7%6.1%2.7M-36.6M-1.4M1.413.53N/AN/A21,02729,632632,311304,622
2011-05-23$9.71$10.0043.5%12.5%37.5%28.7%44.6%-1.6%4.1%1.9M-34.3M-1.3M0.394.29N/AN/A23,7579,308528,558254,777
2011-05-24$9.62$10.0041.6%11.9%35.5%24.0%42.3%-1.1%5.5%1.7M-25.2M-1.3M0.273.46N/AN/A10,6872,871538,002258,852
2011-05-25$9.61$10.0043.3%12.4%34.4%28.1%43.6%-0.9%3.9%1.7M-20.2M-1.3M0.423.42N/AN/A40,04216,905542,544259,676
2011-05-26$9.79$10.0042.6%12.2%35.2%26.4%43.1%-0.6%4.8%2.4M-47.0M-1.4M0.163.88N/AN/A40,0716,220557,027267,401
2011-05-27$10.02$10.0040.0%11.5%36.8%20.0%41.2%1.1%6.0%3.4M-82.8M-1.4M0.344.24N/AN/A21,4957,381575,166261,132
2011-05-31$10.20$10.0038.4%11.0%37.8%16.1%39.2%3.1%6.4%3.9M-100.9M-1.4M0.303.41N/AN/A28,9808,758586,685264,839