MU Options History — September 2011

In September 2011, MU traded between $5.04 and $7.20. ATM implied volatility averaged 80.2%, placing in the 69.1% IV rank vs the trailing year. The 30-day expected move averaged 23.2%. IV traded above realized volatility by 6.8% (HV 20d: 73.4%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2011-09-16: Highest Volume — 100,234 contracts
  • 2011-09-15: Largest IV spike — 29.6% change
  • 2011-09-28: Highest IV Rank — 93.9%
  • 2011-09-28: Largest Expected Move — 28.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.37$5.04$7.20$5.74$5.04
Max Pain$7.10$6.00$8.00$6.00$7.00
ATM IV80.2%60.9%97.5%77.1%96.2%
Expected Move23.2%19.4%28.0%22.1%22.4%
HV 20d73.4%52.0%98.2%97.3%77.8%
HV 60d73.9%70.0%77.3%73.4%76.9%
IV Rank69.1%41.4%93.9%64.6%92.0%
IV Percentile94.6%86.5%99.6%95.6%99.2%
Term Structure-6.8%-14.4%1.1%1.1%0.4%
VWIV80.5%65.0%95.1%79.5%79.0%
Skew 25d8.8%-1.8%15.3%0.6%8.5%
Skew 10d15.5%0.2%28.6%2.5%2.0%
Call IV 25d77.6%63.9%91.1%80.3%78.9%
Put IV 25d86.4%72.8%103.4%80.9%87.4%
Bid-Ask Spread %4.062.766.964.743.09
Gamma HHI0.240.120.870.220.13
Net GEX2.7M68.6K23.7M1.4M68.6K
Net DEX-3.6M-100.8M82.5M22.3M82.5M
Net VEX-723.9K-917.7K-393.3K-623.4K-393.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.121.100.560.89
Total Volume45,533.66716,299100,23430,07263,573
Total OI860,935.333805,288954,844850,788864,245

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$5.74$6.0077.1%22.1%97.3%64.6%79.5%0.6%1.1%1.4M22.3M-623.4K0.564.74N/AN/A19,28110,791616,027234,761
2011-09-02$5.50$6.0080.5%23.1%98.2%69.5%80.0%-1.8%1.1%1.1M31.9M-588.5K0.313.66N/AN/A13,5584,208623,293240,532
2011-09-06$5.67$8.0092.0%23.6%92.5%85.9%84.5%5.0%-10.1%1.3M22.5M-633.2K0.175.68N/AN/A29,9705,090626,487242,013
2011-09-07$6.06$8.0073.9%22.4%91.0%60.0%79.2%6.1%-8.5%1.8M7.7M-679.1K0.343.55N/AN/A27,7539,382626,278244,210
2011-09-08$6.25$8.0071.2%22.6%86.8%56.2%77.1%5.2%-8.1%2.3M-9.9M-729.7K0.274.65N/AN/A66,84217,942637,025245,693
2011-09-09$6.35$8.0080.2%24.6%78.0%69.1%84.3%7.4%-11.0%2.0M-15.1M-778.2K0.212.87N/AN/A36,1067,720627,777250,241
2011-09-12$6.68$7.0084.6%24.0%79.1%75.4%84.1%7.4%-7.5%2.4M-40.4M-841.6K0.353.44N/AN/A18,6306,465631,987245,611
2011-09-13$6.86$7.0079.4%24.1%77.9%68.0%84.1%8.0%-12.1%2.6M-53.6M-867.7K0.122.90N/AN/A67,4217,972630,249247,634
2011-09-14$7.20$7.0060.9%23.1%78.5%41.4%79.5%10.0%-11.0%4.6M-100.8M-917.7K0.243.82N/AN/A67,02216,103678,168250,736
2011-09-15$7.04$7.0078.9%22.6%78.1%67.3%80.2%9.4%-10.6%6.1M-81.4M-871.7K0.663.24N/AN/A27,60318,190692,913255,452
2011-09-16$7.03$7.0074.6%21.4%71.2%61.1%76.4%10.1%-8.3%23.7M-89.8M-862.3K1.053.59N/AN/A48,89251,342695,256259,588
2011-09-19$6.88$7.0073.7%21.1%65.5%59.9%71.6%8.7%-4.5%1.4M-12.2M-802.3K0.312.76N/AN/A48,70114,858568,462252,848
2011-09-20$6.85$7.0067.6%19.4%65.7%51.1%65.0%9.0%-1.4%1.2M-2.8M-770.3K0.143.21N/AN/A32,1704,362549,273256,364
2011-09-21$6.61$7.0071.0%20.3%63.8%55.9%71.8%10.1%-2.9%961.1K12.1M-725.8K1.104.14N/AN/A16,20317,810546,580258,708
2011-09-22$6.43$7.0082.4%23.6%59.2%72.2%77.6%11.5%-5.5%788.6K21.3M-719.3K0.874.47N/AN/A13,84211,981548,265269,335
2011-09-23$6.65$7.0078.1%22.4%59.8%66.1%78.7%14.1%-4.8%905.9K9.3M-752.6K0.454.51N/AN/A11,2435,056552,423270,105
2011-09-26$6.58$7.0080.9%23.2%58.3%70.1%84.6%13.9%-7.9%902.7K14.3M-719.4K1.024.81N/AN/A8,2418,428554,771270,640
2011-09-27$6.46$7.0089.4%25.6%52.0%82.3%83.0%15.3%-10.5%816.4K21.6M-699.6K0.904.79N/AN/A13,44012,051556,542273,811
2011-09-28$6.12$7.0097.5%28.0%54.5%93.9%95.0%11.7%-14.4%579.1K36.3M-639.3K0.644.42N/AN/A16,64410,650558,403278,798
2011-09-29$5.87$7.0094.0%26.9%56.6%88.8%95.1%13.8%-5.4%456.3K49.5M-586.1K0.846.96N/AN/A37,24031,431567,128281,010
2011-09-30$5.04$7.0096.2%22.4%77.8%92.0%79.0%8.5%0.4%68.6K82.5M-393.3K0.893.09N/AN/A33,58529,988577,894286,351