MU Options History — November 2011 In November 2011, MU traded between $5.18 and $6.74. ATM implied volatility averaged 76.3%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 21.2%. IV traded below realized volatility by 7.0% (HV 20d: 83.2%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.51.
Notable Days 2011-11-16 : Highest Volume — 89,897 contracts2011-11-09 : Largest IV spike — 47.9% change2011-11-02 : Highest IV Rank — 50.7%2011-11-01 : Largest Expected Move — 27.6%Monthly Statistics Metric Avg Min Max Open Close Price $5.76 $5.18 $6.74 $5.29 $5.99 Max Pain $5.29 $5.00 $6.00 $5.00 $6.00 ATM IV 76.3% 59.6% 110.4% 104.1% 71.7% Expected Move 21.2% 17.2% 27.6% 27.6% 17.2% HV 20d 83.2% 58.5% 104.3% 65.8% 102.0% HV 60d 84.3% 78.9% 88.8% 84.4% 88.1% IV Rank 28.6% 17.9% 50.7% 46.6% 25.7% IV Percentile 80.8% 72.2% 98.4% 98.0% 75.4% Term Structure -1.2% -18.5% 5.9% -18.5% 5.9% VWIV 74.4% 63.2% 94.8% 94.8% 63.2% Skew 25d 8.8% 1.5% 15.3% 14.6% 8.9% Skew 10d 19.3% 3.6% 32.1% 30.6% 15.9% Call IV 25d 72.1% 59.6% 92.8% 92.8% 59.6% Put IV 25d 80.9% 68.4% 107.4% 107.4% 68.4% Bid-Ask Spread % 5.43 3.07 24.69 8.74 4.04 Gamma HHI 0.23 0.16 0.39 0.18 0.21 Net GEX 761.7K 239.0K 1.7M 363.6K 864.9K Net DEX 7.3M -58.5M 30.6M 23.0M 10.0M Net VEX -431.9K -568.3K -367.0K -389.0K -417.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.51 0.17 1.23 1.23 0.40 Total Volume 28,611.19 9,742 89,897 22,236 24,992 Total OI 689,517.381 646,502 756,118 646,502 677,973
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 2011-11-01 $5.29 $5.00 104.1% 27.6% 65.8% 46.6% 94.8% 14.6% -18.5% 363.6K 23.0M -389.0K 1.23 8.74 N/A N/A 9,980 12,256 451,342 195,160 2011-11-02 $5.43 $5.00 110.4% 24.6% 58.5% 50.7% 78.9% 13.3% -8.6% 413.1K 22.8M -390.5K 0.58 4.41 N/A N/A 12,078 6,949 452,816 200,045 2011-11-03 $5.84 $5.00 65.2% 21.1% 63.3% 21.5% 77.5% 8.3% -6.6% 751.3K 9.1M -443.4K 1.02 4.40 N/A N/A 14,306 14,655 454,236 203,357 2011-11-04 $5.89 $6.00 59.6% 19.8% 63.2% 17.9% 71.1% 9.7% -1.9% 842.7K 6.2M -452.5K 0.44 4.64 N/A N/A 26,965 11,764 460,284 205,826 2011-11-07 $5.85 $6.00 73.4% 20.7% 62.2% 26.8% 75.7% 7.4% -1.9% 835.0K 5.2M -459.6K 0.46 5.70 N/A N/A 25,435 11,587 467,373 206,503 2011-11-08 $5.91 $6.00 62.7% 19.8% 62.2% 19.9% 75.7% 8.7% -0.8% 1.1M 260.1K -465.0K 0.41 4.62 N/A N/A 19,366 8,031 479,263 211,969 2011-11-09 $5.35 $6.00 92.7% 23.8% 72.7% 39.2% 80.9% 10.3% -4.7% 461.6K 23.6M -401.9K 0.74 6.60 N/A N/A 14,163 10,499 486,484 215,015 2011-11-10 $5.18 $6.00 83.4% 23.9% 70.2% 33.2% 82.5% 13.8% -4.9% 239.0K 30.6M -367.0K 0.35 4.17 N/A N/A 31,608 11,025 486,782 218,457 2011-11-11 $5.43 $5.00 80.0% 22.9% 71.4% 31.0% 77.2% 14.6% -3.5% 529.8K 21.2M -400.6K 0.75 3.83 N/A N/A 15,775 11,896 502,002 219,640 2011-11-14 $5.35 $5.00 80.0% 22.9% 69.5% 31.0% 76.7% 15.3% -4.2% 390.5K 26.4M -378.6K 0.25 3.87 N/A N/A 13,596 3,442 503,127 222,781 2011-11-15 $5.46 $5.00 78.6% 22.5% 66.2% 30.1% 77.6% 7.1% -2.7% 503.5K 21.5M -396.8K 0.46 3.91 N/A N/A 12,626 5,745 505,905 225,073 2011-11-16 $6.74 $5.00 72.6% 20.8% 98.9% 26.3% 76.5% 3.5% 5.1% 1.7M -58.5M -568.3K 0.38 24.69 N/A N/A 65,183 24,714 510,504 218,916 2011-11-17 $6.33 $5.00 71.3% 20.4% 102.2% 25.4% 71.4% 1.5% 3.2% 1.7M -38.9M -521.0K 0.38 3.07 N/A N/A 36,733 13,948 529,239 226,879 2011-11-18 $6.29 $5.00 65.1% 18.7% 101.7% 21.4% 63.3% 7.6% 4.1% 1.5M -27.2M -484.1K 0.32 3.90 N/A N/A 31,175 10,024 523,855 230,272 2011-11-21 $6.09 $5.00 65.5% 18.8% 102.0% 21.7% 64.8% 9.7% 4.3% 678.7K 2.9M -463.1K 0.30 4.10 N/A N/A 15,823 4,821 462,358 184,824 2011-11-22 $6.10 $5.00 69.0% 19.8% 101.2% 23.9% 69.1% 10.1% 2.0% 737.4K 886.8K -467.9K 0.35 4.28 N/A N/A 16,461 5,716 468,175 186,492 2011-11-23 $5.71 $5.00 69.5% 19.9% 104.3% 24.3% 71.2% 3.0% 1.4% 634.2K 12.3M -429.1K 0.60 3.15 N/A N/A 9,983 6,030 474,941 187,943 2011-11-25 $5.50 $5.00 87.4% 21.9% 104.1% 35.8% 75.3% 4.2% 0.2% 520.6K 20.9M -391.2K 0.48 3.45 N/A N/A 6,586 3,156 480,488 190,503 2011-11-28 $5.62 $5.00 66.8% 19.7% 103.7% 22.5% 71.1% 5.9% 2.1% 575.5K 20.4M -393.7K 0.17 3.89 N/A N/A 8,409 1,460 484,698 191,974 2011-11-29 $5.64 $5.00 72.8% 18.4% 102.2% 26.4% 68.5% 7.2% 4.7% 618.2K 20.1M -388.4K 0.56 4.52 N/A N/A 7,627 4,247 484,268 192,123 2011-11-30 $5.99 $6.00 71.7% 17.2% 102.0% 25.7% 63.2% 8.9% 5.9% 864.9K 10.0M -417.1K 0.40 4.04 N/A N/A 17,795 7,197 485,379 192,594
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