MU Options History — October 2011

In October 2011, MU traded between $4.33 and $5.88. ATM implied volatility averaged 97.3%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 25.8%. IV traded above realized volatility by 2.7% (HV 20d: 94.6%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.85.

Notable Days

2011-10-03: Highest Volume — 84,568 contracts
2011-10-05: Largest IV drop — 43.9% change
2011-10-03: Highest IV Rank — 100.0%
2011-10-04: Largest Expected Move — 38.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.34	$4.33	$5.88	$4.33	$5.59
Max Pain	$5.38	$5.00	$7.00	$7.00	$5.00
ATM IV	97.3%	58.7%	186.8%	186.8%	82.3%
Expected Move	25.8%	19.9%	38.0%	35.2%	22.2%
HV 20d	94.6%	62.4%	101.0%	92.8%	62.4%
HV 60d	85.8%	82.3%	87.1%	82.3%	86.1%
IV Rank	42.2%	17.3%	100.0%	100.0%	32.6%
IV Percentile	91.9%	74.6%	100.0%	100.0%	88.9%
Term Structure	-11.4%	-24.0%	-4.8%	-19.7%	-10.6%
VWIV	91.8%	70.1%	139.9%	120.2%	82.9%
Skew 25d	13.6%	8.7%	23.1%	13.1%	11.1%
Skew 10d	27.3%	16.6%	41.2%	19.0%	30.8%
Call IV 25d	86.1%	68.4%	129.4%	115.5%	80.4%
Put IV 25d	99.7%	81.5%	152.5%	128.6%	91.5%
Bid-Ask Spread %	4.54	2.83	7.52	7.52	4.36
Gamma HHI	0.13	0.11	0.18	0.12	0.18
Net GEX	362.9K	49.8K	671.4K	49.8K	510.4K
Net DEX	46.5M	8.3M	72.7M	72.7M	17.3M
Net VEX	-438.7K	-526.9K	-344.5K	-344.5K	-404.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.10	2.62	1.51	0.95
Total Volume	30,999.905	9,540	84,568	84,568	17,200
Total OI	822,236.81	588,419	927,118	852,434	635,808

Daily Data (21 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
2011-10-03	$4.33	$7.00	186.8%	35.2%	92.8%	100.0%	120.2%	13.1%	-19.7%	49.8K	72.7M	-344.5K	1.51	7.52	N/A	N/A	33,660	50,908	571,954	280,480
2011-10-04	$4.52	$7.00	183.2%	38.0%	93.6%	97.7%	139.9%	23.1%	-24.0%	61.7K	65.8M	-406.7K	0.78	7.27	N/A	N/A	36,060	28,304	582,855	301,818
2011-10-05	$4.95	$7.00	102.8%	30.8%	96.7%	45.8%	117.5%	19.5%	-14.2%	291.3K	61.0M	-447.5K	1.45	5.31	N/A	N/A	21,500	31,114	594,637	304,072
2011-10-06	$4.96	$7.00	110.3%	31.7%	95.6%	50.6%	114.7%	18.1%	-14.4%	387.9K	61.8M	-456.5K	0.41	3.99	N/A	N/A	20,619	8,479	601,591	310,133
2011-10-07	$4.95	$5.00	98.9%	26.9%	95.1%	43.2%	96.8%	15.8%	-10.3%	228.5K	62.9M	-452.9K	1.18	3.80	N/A	N/A	11,311	13,310	609,447	312,452
2011-10-10	$5.16	$5.00	114.6%	25.8%	94.3%	53.4%	88.6%	13.7%	-10.3%	279.0K	58.3M	-455.3K	0.60	4.04	N/A	N/A	16,049	9,574	598,540	297,442
2011-10-11	$5.20	$5.00	110.7%	25.4%	93.5%	50.8%	89.2%	12.9%	-9.4%	224.2K	62.1M	-421.3K	1.52	3.21	N/A	N/A	10,598	16,144	604,813	300,863
2011-10-12	$5.20	$5.00	96.7%	25.2%	90.8%	41.8%	88.5%	9.1%	-8.5%	260.8K	57.4M	-463.0K	0.53	4.54	N/A	N/A	22,368	11,860	608,604	306,622
2011-10-13	$5.52	$5.00	91.3%	26.2%	94.7%	38.4%	93.6%	8.7%	-13.1%	575.1K	44.0M	-526.9K	0.73	3.36	N/A	N/A	25,546	18,737	620,816	306,302
2011-10-14	$5.70	$5.00	82.8%	23.7%	95.9%	32.9%	86.0%	10.5%	-9.8%	615.7K	45.2M	-508.1K	0.38	3.63	N/A	N/A	17,982	6,764	614,513	310,592
2011-10-17	$5.43	$5.00	89.6%	25.7%	96.8%	37.3%	86.9%	10.1%	-12.4%	442.4K	57.2M	-455.8K	0.71	3.59	N/A	N/A	6,489	4,604	613,881	297,438
2011-10-18	$5.77	$5.00	77.7%	22.3%	100.2%	29.6%	79.5%	9.2%	-7.6%	671.4K	46.8M	-489.1K	0.56	4.15	N/A	N/A	10,097	5,629	612,526	298,132
2011-10-19	$5.53	$5.00	81.6%	23.4%	100.4%	32.1%	92.1%	12.8%	-8.3%	482.8K	56.0M	-451.3K	1.39	2.83	N/A	N/A	6,329	8,781	613,320	297,032
2011-10-20	$5.59	$5.00	75.6%	21.7%	100.4%	28.2%	78.2%	13.7%	-4.8%	352.9K	57.9M	-441.9K	0.58	5.42	N/A	N/A	6,048	3,492	612,933	297,391
2011-10-21	$5.46	$5.00	84.4%	24.2%	99.4%	33.9%	82.5%	15.9%	-10.0%	249.0K	61.8M	-411.8K	2.62	4.41	N/A	N/A	11,336	29,726	613,349	298,093
2011-10-24	$5.66	$5.00	69.4%	19.9%	100.7%	24.2%	70.1%	13.1%	-6.0%	272.0K	19.8M	-413.0K	0.10	6.65	N/A	N/A	34,316	3,437	408,959	179,460
2011-10-25	$5.49	$5.00	84.7%	24.3%	101.0%	34.1%	79.8%	14.2%	-12.4%	327.7K	21.0M	-403.5K	0.49	4.43	N/A	N/A	11,527	5,647	418,570	180,094
2011-10-26	$5.46	$5.00	81.5%	23.4%	99.5%	32.0%	78.1%	14.3%	-11.0%	356.4K	22.2M	-394.6K	0.73	4.57	N/A	N/A	5,633	4,124	425,753	182,857
2011-10-27	$5.70	$5.00	79.3%	22.7%	100.0%	30.6%	82.1%	11.5%	-11.5%	387.1K	17.6M	-416.0K	0.36	4.38	N/A	N/A	29,354	10,441	426,310	184,606
2011-10-28	$5.88	$5.00	58.7%	22.7%	83.0%	17.3%	81.6%	15.0%	-11.8%	595.4K	8.3M	-448.0K	0.28	3.93	N/A	N/A	20,192	5,709	442,380	189,535
2011-10-31	$5.59	$5.00	82.3%	22.2%	62.4%	32.6%	82.9%	11.1%	-10.6%	510.4K	17.3M	-404.9K	0.95	4.36	N/A	N/A	8,832	8,368	446,173	189,635