MU Options History — June 2011 In June 2011, MU traded between $7.21 and $9.55. ATM implied volatility averaged 48.5%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 2.4% (HV 20d: 46.1%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.52.
Notable Days 2011-06-24 : Highest Volume — 96,853 contracts2011-06-30 : Largest IV drop — 10.5% change2011-06-17 : Highest IV Rank — 56.0%2011-06-17 : Largest Expected Move — 15.6%Monthly Statistics Metric Avg Min Max Open Close Price $8.25 $7.21 $9.55 $9.55 $7.48 Max Pain $9.64 $9.00 $10.00 $10.00 $9.00 ATM IV 48.5% 41.4% 54.5% 42.9% 42.1% Expected Move 14.2% 12.1% 15.6% 12.3% 12.1% HV 20d 46.1% 36.5% 66.7% 42.7% 63.9% HV 60d 42.9% 37.5% 49.9% 43.0% 49.9% IV Rank 41.2% 23.6% 56.0% 27.1% 25.1% IV Percentile 67.5% 25.4% 93.3% 31.7% 28.6% Term Structure -1.1% -5.2% 5.1% 4.8% 4.0% VWIV 50.1% 42.7% 57.4% 42.7% 42.7% Skew 25d 1.5% -1.7% 5.7% -1.7% -0.6% Skew 10d 2.4% -2.4% 7.5% 0.7% 5.4% Call IV 25d 50.3% 43.3% 55.4% 44.3% 43.3% Put IV 25d 51.8% 42.5% 57.3% 42.5% 42.6% Bid-Ask Spread % 3.49 2.63 4.96 4.96 2.65 Gamma HHI 0.15 0.11 0.20 0.13 0.11 Net GEX 674.7K -14.5K 2.4M 2.4M 212.4K Net DEX 54.6M -28.8M 96.5M -28.8M 82.3M Net VEX -993.7K -1.3M -743.6K -1.3M -789.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.52 0.17 1.49 0.32 0.24 Total Volume 45,224.682 16,823 96,853 50,142 16,823 Total OI 937,199.182 852,846 1,013,364 852,846 987,594
Daily Data (22 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 2011-06-01 $9.55 $10.00 42.9% 12.3% 42.7% 27.1% 42.7% -1.7% 4.8% 2.4M -28.8M -1.3M 0.32 4.96 N/A N/A 37,848 12,294 586,855 265,991 2011-06-02 $9.41 $10.00 42.5% 12.2% 42.7% 26.2% 43.2% -0.6% 5.1% 2.2M -17.6M -1.3M 0.54 4.49 N/A N/A 32,120 17,222 602,826 268,075 2011-06-03 $9.16 $10.00 41.4% 13.7% 42.4% 23.6% 48.8% 0.7% 0.2% 1.8M 4.6M -1.2M 1.09 3.67 N/A N/A 12,448 13,615 618,281 274,308 2011-06-06 $9.04 $10.00 44.0% 14.2% 42.4% 29.8% 50.5% -0.1% -0.7% 1.7M 7.4M -1.2M 0.19 3.43 N/A N/A 51,481 9,947 621,393 276,373 2011-06-07 $8.95 $10.00 41.7% 14.0% 41.0% 24.2% 49.4% 1.3% -0.9% 1.3M 26.9M -1.1M 0.52 3.14 N/A N/A 14,128 7,308 632,081 280,301 2011-06-08 $8.50 $10.00 46.0% 14.9% 42.7% 34.8% 52.9% -0.5% -2.3% 874.4K 53.7M -1.0M 0.23 3.47 N/A N/A 43,303 10,147 631,963 281,900 2011-06-09 $8.49 $10.00 49.2% 14.1% 42.7% 42.8% 49.4% -0.3% -1.0% 804.4K 59.0M -996.2K 1.49 3.47 N/A N/A 36,787 54,642 648,247 281,256 2011-06-10 $8.44 $10.00 51.0% 14.6% 40.9% 47.4% 51.5% 1.4% -1.9% 341.3K 64.5M -1.1M 1.05 3.18 N/A N/A 18,758 19,764 662,617 322,216 2011-06-13 $8.29 $10.00 51.8% 14.8% 40.6% 49.2% 51.9% 1.4% -2.4% 158.4K 82.1M -1.0M 0.24 3.81 N/A N/A 27,227 6,521 666,036 337,634 2011-06-14 $8.40 $10.00 50.1% 14.4% 40.5% 45.1% 49.9% 1.1% -1.7% 342.9K 70.1M -1.0M 0.28 3.22 N/A N/A 22,103 6,283 670,823 328,978 2011-06-15 $8.07 $10.00 50.7% 14.5% 38.0% 46.6% 51.6% 2.3% -2.5% 340.0K 86.6M -964.4K 0.55 3.26 N/A N/A 23,552 12,840 679,376 326,786 2011-06-16 $7.87 $10.00 52.3% 15.0% 37.4% 50.6% 54.1% 1.4% -2.7% 292.8K 92.8M -935.6K 0.61 3.87 N/A N/A 16,044 9,710 681,637 328,697 2011-06-17 $7.83 $10.00 54.5% 15.6% 36.5% 56.0% 57.4% 1.4% -4.6% 227.7K 93.6M -932.5K 1.11 4.16 N/A N/A 22,056 24,426 684,611 328,753 2011-06-20 $7.91 $10.00 52.7% 15.1% 37.3% 51.4% 52.8% 3.6% -3.2% 45.2K 59.3M -914.1K 0.29 3.19 N/A N/A 47,668 13,798 570,294 284,056 2011-06-21 $8.14 $9.00 51.1% 14.7% 39.3% 47.5% 52.0% 3.8% -3.5% 336.1K 47.7M -966.5K 0.28 2.95 N/A N/A 22,324 6,209 584,677 293,549 2011-06-22 $8.17 $9.00 51.2% 14.7% 39.6% 47.8% 53.0% 1.4% -3.9% 374.5K 42.2M -983.2K 0.22 3.12 N/A N/A 24,779 5,383 589,948 295,317 2011-06-23 $8.43 $9.00 54.4% 15.6% 42.0% 55.7% 54.1% 3.5% -5.2% 857.4K 21.4M -1.1M 0.17 4.06 N/A N/A 73,132 12,461 597,396 295,728 2011-06-24 $7.21 $9.00 52.3% 15.0% 66.7% 50.6% 52.1% 3.3% -0.9% 21.1K 96.5M -743.6K 0.58 3.06 N/A N/A 61,138 35,715 631,777 300,795 2011-06-27 $7.34 $9.00 51.6% 14.8% 66.3% 48.7% 50.0% 5.7% -1.9% 67.0K 84.9M -771.9K 0.70 3.40 N/A N/A 24,057 16,877 646,237 310,799 2011-06-28 $7.35 $9.00 47.3% 13.6% 65.5% 38.1% 46.7% 4.0% 0.2% -14.5K 91.5M -762.0K 0.49 2.63 N/A N/A 16,012 7,897 652,943 316,028 2011-06-29 $7.47 $9.00 47.0% 13.5% 63.7% 37.3% 46.2% 0.1% 1.5% 118.6K 80.9M -793.2K 0.25 3.49 N/A N/A 38,371 9,725 656,710 316,520 2011-06-30 $7.48 $9.00 42.1% 12.1% 63.9% 25.1% 42.7% -0.6% 4.0% 212.4K 82.3M -789.2K 0.24 2.65 N/A N/A 13,554 3,269 668,319 319,275
« May 2011 | All History | Jul 2011 » Home MU History June 2011