MU Options History — July 2011

In July 2011, MU traded between $7.23 and $8.09. ATM implied volatility averaged 44.8%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 17.3% (HV 20d: 62.1%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.63.

Notable Days

  • 2011-07-26: Highest Volume — 69,510 contracts
  • 2011-07-11: Largest IV spike — 35.1% change
  • 2011-07-11: Highest IV Rank — 58.8%
  • 2011-07-29: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.59$7.23$8.09$7.83$7.37
Max Pain$7.90$7.00$9.00$9.00$8.00
ATM IV44.8%40.1%55.7%41.6%48.6%
Expected Move12.7%11.5%13.9%11.9%13.9%
HV 20d62.1%42.3%70.7%66.7%47.0%
HV 60d50.9%48.8%51.9%50.8%51.6%
IV Rank31.8%20.3%58.8%23.9%41.4%
IV Percentile47.2%19.8%95.2%26.2%73.8%
Term Structure2.1%0.3%3.6%2.0%0.3%
VWIV44.7%40.6%48.1%42.2%48.1%
Skew 25d1.8%-1.2%5.0%0.4%3.0%
Skew 10d3.0%-6.4%8.6%-1.6%4.5%
Call IV 25d45.0%42.2%48.3%46.5%48.3%
Put IV 25d46.8%41.2%51.3%46.9%51.3%
Bid-Ask Spread %3.622.474.803.174.74
Gamma HHI0.150.120.180.120.14
Net GEX408.9K-53.5K1.0M495.9K655.6K
Net DEX41.6M-21.4M94.1M57.5M15.7M
Net VEX-787.7K-903.7K-709.4K-869.8K-772.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.181.840.760.26
Total Volume24,523.659,16169,51030,7589,161
Total OI831,114.4630,9121,022,179988,219698,344

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$7.83$9.0041.6%11.9%66.7%23.9%42.2%0.4%2.0%495.9K57.5M-869.8K0.763.17N/AN/A17,49913,259668,919319,300
2011-07-05$7.78$8.0046.0%12.3%66.7%34.9%43.9%2.7%3.3%473.0K60.8M-836.6K0.414.67N/AN/A8,7563,627668,103317,021
2011-07-06$7.56$8.0045.9%12.6%67.1%34.7%44.9%2.8%2.0%182.7K80.1M-765.4K0.284.32N/AN/A9,8822,815667,249317,446
2011-07-07$7.82$8.0040.1%12.0%66.6%20.3%42.7%2.4%3.0%232.2K61.4M-812.8K0.304.01N/AN/A19,2765,701668,438317,386
2011-07-08$7.68$8.0041.2%12.3%66.8%23.0%44.1%1.6%2.0%-20.6K74.5M-804.9K0.183.23N/AN/A15,2352,731665,922319,256
2011-07-11$7.49$8.0055.7%13.5%67.2%58.8%47.1%1.8%1.1%-53.5K81.8M-722.7K0.623.62N/AN/A13,6478,493672,744311,136
2011-07-12$7.31$8.0051.8%13.5%67.4%49.3%47.3%1.4%1.5%105.8K91.2M-722.4K1.173.94N/AN/A6,8287,997678,738314,354
2011-07-13$7.49$8.0042.5%13.0%67.9%26.1%45.8%-0.3%3.0%142.9K77.7M-765.5K1.263.26N/AN/A25,89732,714680,844313,629
2011-07-14$7.29$8.0046.1%13.2%67.2%35.1%47.9%1.8%2.7%-26.9K94.1M-709.4K0.733.22N/AN/A6,6354,840691,944330,235
2011-07-15$7.41$8.0045.3%13.0%67.2%33.2%45.0%2.4%3.6%223.3K82.2M-766.0K0.503.02N/AN/A13,6496,757690,969328,860
2011-07-18$7.23$8.0045.8%13.1%67.6%34.5%46.0%2.7%1.2%70.4K28.1M-724.5K0.483.28N/AN/A19,3509,343409,136221,776
2011-07-19$7.52$7.0042.9%12.3%69.2%27.3%43.5%0.2%1.5%306.1K14.9M-771.2K0.424.07N/AN/A11,4994,882415,893226,539
2011-07-20$7.60$7.0041.2%11.8%68.4%22.9%41.4%0.9%2.6%403.1K11.1M-796.4K0.224.19N/AN/A13,3002,896419,203227,877
2011-07-21$7.64$7.0040.3%11.5%68.4%20.6%40.6%-1.2%2.1%486.8K7.5M-788.0K0.804.80N/AN/A15,40112,301425,439229,896
2011-07-22$8.09$8.0040.4%11.6%70.7%21.0%40.8%-0.5%3.3%1.0M-21.4M-903.7K0.253.16N/AN/A35,3568,702433,064234,052
2011-07-25$7.89$8.0042.1%12.1%42.5%25.3%42.8%1.9%2.3%1.0M-11.1M-855.4K0.222.81N/AN/A13,3492,933447,306231,102
2011-07-26$7.86$8.0042.8%12.3%42.3%27.0%47.2%2.4%2.8%1.0M-9.7M-864.2K1.842.47N/AN/A24,51444,996452,813231,802
2011-07-27$7.43$8.0047.3%13.5%47.3%38.0%45.4%5.0%0.7%717.7K17.3M-746.2K0.293.46N/AN/A13,9873,997460,863223,916
2011-07-28$7.42$8.0047.5%13.6%46.9%38.7%47.3%3.8%0.6%706.8K17.3M-755.5K1.633.05N/AN/A6,94711,321467,158223,616
2011-07-29$7.37$8.0048.6%13.9%47.0%41.4%48.1%3.0%0.3%655.6K15.7M-772.9K0.264.74N/AN/A7,2601,901469,971228,373