MU Options History — August 2011

In August 2011, MU traded between $5.25 and $7.41. ATM implied volatility averaged 75.1%, placing in the 72.8% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded below realized volatility by 3.8% (HV 20d: 78.9%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.50.

Notable Days

2011-08-24: Highest Volume — 86,878 contracts
2011-08-04: Largest IV spike — 36.1% change
2011-08-08: Highest IV Rank — 100.0%
2011-08-26: Largest Expected Move — 29.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.06	$5.25	$7.41	$7.41	$5.91
Max Pain	$7.00	$6.00	$8.00	$8.00	$6.00
ATM IV	75.1%	48.9%	101.8%	49.9%	84.6%
Expected Move	21.1%	14.0%	29.2%	14.3%	24.3%
HV 20d	78.9%	43.8%	102.2%	43.8%	101.4%
HV 60d	64.4%	51.4%	73.9%	51.4%	73.9%
IV Rank	72.8%	42.1%	100.0%	44.4%	75.4%
IV Percentile	95.7%	73.8%	100.0%	79.0%	97.6%
Term Structure	-1.7%	-15.9%	5.1%	0.1%	-2.0%
VWIV	73.7%	49.1%	101.7%	49.3%	86.0%
Skew 25d	5.5%	-2.0%	10.5%	3.2%	0.0%
Skew 10d	11.7%	1.8%	21.9%	5.1%	3.8%
Call IV 25d	73.1%	48.0%	103.0%	48.0%	87.7%
Put IV 25d	78.6%	51.2%	101.0%	51.2%	87.7%
Bid-Ask Spread %	6.11	3.24	9.79	6.57	6.76
Gamma HHI	0.14	0.11	0.21	0.15	0.20
Net GEX	438.1K	80.8K	1.4M	722.1K	1.3M
Net DEX	40.4M	-2.6M	64.5M	13.0M	11.4M
Net VEX	-619.5K	-782.9K	-479.4K	-782.9K	-679.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.12	1.78	0.77	0.31
Total Volume	29,115.826	10,416	86,878	11,710	43,776
Total OI	758,582.217	701,850	837,085	701,850	837,085

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
2011-08-01	$7.41	$8.00	49.9%	14.3%	43.8%	44.4%	49.3%	3.2%	0.1%	722.1K	13.0M	-782.9K	0.77	6.57	N/A	N/A	6,628	5,082	473,663	228,187
2011-08-02	$7.04	$8.00	49.7%	14.3%	47.0%	44.1%	50.5%	2.9%	0.2%	165.0K	37.6M	-684.6K	0.33	4.50	N/A	N/A	10,735	3,516	475,164	231,957
2011-08-03	$6.99	$8.00	48.9%	14.0%	46.2%	42.1%	49.1%	3.6%	1.6%	164.7K	37.1M	-692.8K	0.28	3.24	N/A	N/A	23,301	6,589	477,789	232,225
2011-08-04	$6.40	$8.00	66.6%	19.1%	52.8%	85.9%	67.7%	0.3%	-4.8%	80.8K	51.5M	-635.2K	0.28	6.54	N/A	N/A	26,524	7,537	484,363	232,751
2011-08-05	$6.31	$7.00	71.8%	18.7%	52.8%	98.8%	63.4%	5.6%	-0.5%	172.5K	50.5M	-630.3K	0.76	7.20	N/A	N/A	18,800	14,365	496,740	235,333
2011-08-08	$5.71	$7.00	93.6%	22.3%	61.6%	100.0%	78.8%	7.8%	-2.3%	166.4K	57.9M	-557.6K	0.61	8.58	N/A	N/A	23,075	14,081	497,554	236,503
2011-08-09	$6.19	$7.00	77.1%	20.9%	69.9%	73.3%	79.0%	9.5%	-2.7%	205.7K	49.0M	-639.1K	0.89	9.79	N/A	N/A	14,452	12,905	500,187	236,962
2011-08-10	$5.72	$7.00	88.3%	22.2%	73.0%	91.5%	79.4%	8.5%	-3.2%	126.3K	58.9M	-557.6K	0.61	8.02	N/A	N/A	6,572	3,983	505,752	240,262
2011-08-11	$6.37	$7.00	74.1%	21.2%	84.5%	68.4%	73.3%	7.6%	-2.4%	334.8K	38.7M	-696.6K	0.45	6.47	N/A	N/A	21,438	9,740	507,026	240,293
2011-08-12	$6.18	$7.00	71.9%	20.6%	84.4%	64.8%	69.1%	10.5%	-2.8%	221.7K	49.4M	-637.3K	0.43	5.58	N/A	N/A	7,260	3,156	518,198	242,410
2011-08-15	$6.48	$7.00	67.1%	19.2%	86.5%	57.1%	65.0%	7.1%	-0.2%	250.3K	42.7M	-671.9K	0.16	4.66	N/A	N/A	20,888	3,324	521,006	243,781
2011-08-16	$6.29	$7.00	64.2%	18.4%	85.2%	52.3%	63.4%	6.8%	1.6%	166.3K	52.6M	-611.5K	1.48	6.24	N/A	N/A	6,201	9,205	532,921	243,110
2011-08-17	$6.11	$7.00	63.3%	18.1%	85.2%	50.9%	63.4%	8.0%	1.4%	81.8K	58.6M	-574.2K	1.78	4.69	N/A	N/A	7,283	12,956	535,182	248,298
2011-08-18	$5.64	$8.00	73.9%	21.2%	88.3%	68.0%	77.5%	6.6%	-0.7%	126.4K	64.5M	-540.7K	0.32	6.22	N/A	N/A	35,274	11,415	532,981	251,418
2011-08-19	$5.25	$7.00	81.9%	23.5%	86.1%	81.1%	79.3%	8.1%	-0.3%	290.0K	63.0M	-501.5K	0.30	7.48	N/A	N/A	19,882	5,874	558,918	247,547
2011-08-22	$5.26	$7.00	81.0%	23.2%	86.5%	79.6%	78.2%	10.1%	0.1%	310.2K	48.5M	-479.4K	0.17	4.57	N/A	N/A	23,355	3,973	498,176	213,270
2011-08-23	$5.66	$7.00	67.9%	19.5%	92.6%	58.3%	70.3%	9.0%	5.1%	412.6K	42.5M	-533.8K	0.16	6.22	N/A	N/A	13,277	2,080	510,294	213,986
2011-08-24	$5.30	$7.00	82.5%	23.6%	93.2%	82.0%	82.7%	4.7%	3.5%	403.6K	44.4M	-506.7K	0.22	4.87	N/A	N/A	71,463	15,415	517,938	214,244
2011-08-25	$5.38	$6.00	86.7%	24.9%	93.7%	88.9%	88.5%	-0.2%	-1.7%	702.0K	33.5M	-573.5K	0.12	4.98	N/A	N/A	19,608	2,291	559,249	223,343
2011-08-26	$5.66	$6.00	101.8%	29.2%	96.7%	100.0%	101.7%	-2.0%	-15.9%	898.8K	20.3M	-634.5K	0.21	7.29	N/A	N/A	35,346	7,342	570,829	224,322
2011-08-29	$6.14	$6.00	93.2%	26.7%	102.2%	87.7%	92.8%	6.4%	-10.3%	1.4M	-2.6M	-732.9K	0.31	5.08	N/A	N/A	36,116	11,114	591,927	228,219
2011-08-30	$5.95	$6.00	86.9%	24.9%	101.4%	78.7%	87.9%	3.2%	-4.1%	1.4M	7.3M	-694.2K	0.50	4.98	N/A	N/A	8,293	4,174	604,171	231,857
2011-08-31	$5.91	$6.00	84.6%	24.3%	101.4%	75.4%	86.0%	0.0%	-2.0%	1.3M	11.4M	-679.1K	0.31	6.76	N/A	N/A	33,506	10,270	604,128	232,957