MU Options History — December 2011

In December 2011, MU traded between $5.45 and $6.41. ATM implied volatility averaged 58.6%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded below realized volatility by 22.8% (HV 20d: 81.4%). Max pain ranged from $6.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.64.

Notable Days

2011-12-22: Highest Volume — 57,302 contracts
2011-12-30: Largest IV drop — 15.0% change
2011-12-13: Highest IV Rank — 23.3%
2011-12-14: Largest Expected Move — 20.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.88	$5.45	$6.41	$5.89	$6.29
Max Pain	$7.36	$6.00	$7.50	$6.00	$7.50
ATM IV	58.6%	46.3%	68.0%	57.8%	46.3%
Expected Move	17.5%	15.1%	20.4%	17.1%	15.4%
HV 20d	81.4%	52.9%	102.2%	102.1%	72.6%
HV 60d	86.7%	78.5%	93.0%	87.1%	78.5%
IV Rank	17.2%	9.3%	23.3%	16.7%	9.3%
IV Percentile	63.1%	45.6%	72.6%	65.5%	45.6%
Term Structure	2.5%	-1.2%	6.0%	5.8%	5.9%
VWIV	61.8%	52.9%	68.8%	62.2%	54.0%
Skew 25d	5.3%	2.1%	8.3%	4.0%	5.9%
Skew 10d	11.8%	5.2%	16.4%	14.2%	14.5%
Call IV 25d	61.6%	51.9%	68.0%	63.4%	54.1%
Put IV 25d	66.9%	56.5%	75.0%	67.4%	60.0%
Bid-Ask Spread %	3.34	2.12	6.00	3.25	2.45
Gamma HHI	0.19	0.14	0.25	0.21	0.15
Net GEX	701.8K	359.8K	1.0M	782.3K	842.2K
Net DEX	13.2M	-9.5M	29.6M	15.9M	1.9M
Net VEX	-393.0K	-434.4K	-330.2K	-405.1K	-430.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.13	1.90	0.33	1.64
Total Volume	17,130.286	5,504	57,302	8,686	10,813
Total OI	680,029.333	628,308	728,552	682,058	665,426

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
2011-12-01	$5.89	$6.00	57.8%	17.1%	102.1%	16.7%	62.2%	4.0%	5.8%	782.3K	15.9M	-405.1K	0.33	3.25	N/A	N/A	6,550	2,136	487,350	194,708
2011-12-02	$5.80	$6.00	55.4%	17.1%	98.9%	15.2%	60.8%	3.6%	6.0%	687.9K	17.3M	-392.5K	0.23	3.66	N/A	N/A	12,455	2,848	486,769	191,924
2011-12-05	$5.73	$7.50	62.6%	18.6%	99.0%	19.8%	65.6%	7.9%	-0.7%	669.0K	18.9M	-375.7K	0.46	2.85	N/A	N/A	4,537	2,065	492,848	191,166
2011-12-06	$5.65	$7.50	63.1%	18.2%	99.1%	20.1%	64.1%	8.3%	-0.9%	604.4K	21.7M	-364.7K	0.44	3.18	N/A	N/A	8,504	3,729	494,925	191,152
2011-12-07	$6.06	$7.50	60.6%	18.7%	102.2%	18.5%	64.9%	5.8%	-0.1%	932.8K	4.7M	-432.9K	0.19	3.76	N/A	N/A	27,145	5,227	498,654	191,319
2011-12-08	$5.82	$7.50	62.8%	19.2%	96.5%	20.0%	68.8%	5.0%	-0.9%	953.0K	11.0M	-410.7K	0.39	4.16	N/A	N/A	6,018	2,338	516,704	190,854
2011-12-09	$5.89	$7.50	54.9%	18.5%	95.5%	14.8%	64.4%	6.0%	0.3%	958.2K	9.4M	-418.0K	0.20	4.24	N/A	N/A	8,363	1,695	516,125	191,152
2011-12-12	$5.82	$7.50	61.5%	18.9%	94.5%	19.1%	67.7%	4.4%	-0.2%	827.3K	15.5M	-383.3K	0.23	3.11	N/A	N/A	4,488	1,016	518,185	191,995
2011-12-13	$5.61	$7.50	68.0%	18.7%	95.4%	23.3%	67.6%	4.0%	-0.3%	647.2K	19.0M	-383.7K	0.82	3.40	N/A	N/A	5,310	4,358	518,193	192,200
2011-12-14	$5.45	$7.50	57.9%	20.4%	95.8%	16.8%	68.5%	7.1%	-1.2%	380.9K	29.6M	-339.0K	0.77	3.73	N/A	N/A	9,525	7,341	520,669	193,980
2011-12-15	$5.55	$7.50	63.8%	18.3%	55.5%	20.6%	65.7%	5.2%	4.2%	401.0K	24.5M	-364.0K	0.42	3.20	N/A	N/A	9,209	3,867	525,365	195,997
2011-12-16	$5.68	$7.50	61.6%	17.6%	52.9%	19.1%	63.5%	3.9%	4.5%	433.1K	23.2M	-369.9K	0.80	2.79	N/A	N/A	6,712	5,349	531,304	197,248
2011-12-19	$5.45	$7.50	65.1%	18.7%	54.4%	21.5%	62.5%	6.8%	2.0%	359.8K	28.9M	-330.2K	0.44	2.93	N/A	N/A	8,603	3,811	462,874	165,965
2011-12-20	$5.79	$7.50	57.1%	16.4%	58.6%	16.2%	58.6%	6.9%	4.2%	517.2K	19.4M	-360.5K	0.13	3.52	N/A	N/A	23,876	3,126	464,705	163,603
2011-12-21	$5.54	$7.50	62.6%	18.0%	60.4%	19.8%	66.8%	5.2%	0.3%	536.0K	20.4M	-360.2K	1.22	6.00	N/A	N/A	24,190	29,401	478,255	164,462
2011-12-22	$6.41	$7.50	54.9%	15.7%	76.5%	14.8%	55.3%	4.9%	4.1%	1.0M	-9.5M	-434.4K	0.52	3.45	N/A	N/A	37,728	19,574	483,942	172,534
2011-12-23	$6.39	$7.50	53.1%	15.2%	74.9%	13.6%	52.9%	4.7%	3.9%	806.2K	-6.4M	-433.2K	0.71	3.03	N/A	N/A	5,721	4,064	487,760	179,012
2011-12-27	$6.25	$7.50	52.8%	15.1%	75.4%	13.5%	53.2%	4.6%	5.5%	763.9K	4.0M	-413.6K	0.27	2.98	N/A	N/A	16,218	4,362	478,501	168,836
2011-12-28	$6.17	$7.50	53.5%	15.3%	75.7%	14.0%	54.6%	2.1%	5.6%	792.4K	5.4M	-422.8K	1.31	2.41	N/A	N/A	3,972	5,186	492,133	169,314
2011-12-29	$6.27	$7.50	54.5%	15.6%	73.0%	14.6%	55.7%	4.1%	4.5%	828.8K	2.0M	-427.8K	1.90	2.12	N/A	N/A	2,866	5,440	492,412	170,096
2011-12-30	$6.29	$7.50	46.3%	15.4%	72.6%	9.3%	54.0%	5.9%	5.9%	842.2K	1.9M	-430.3K	1.64	2.45	N/A	N/A	4,101	6,712	493,080	172,346