MU Options History — January 2012

In January 2012, MU traded between $6.75 and $7.95. ATM implied volatility averaged 51.0%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 10.3% (HV 20d: 61.3%). Max pain ranged from $7.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2012-01-18: Highest Volume — 81,891 contracts
  • 2012-01-11: Largest IV drop — 30.0% change
  • 2012-01-09: Highest IV Rank — 21.0%
  • 2012-01-03: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.43$6.75$7.95$6.75$7.59
Max Pain$7.08$7.00$7.50$7.50$7.00
ATM IV51.0%41.7%64.4%62.6%41.9%
Expected Move14.5%12.5%17.7%17.7%13.7%
HV 20d61.3%39.2%76.3%76.0%42.4%
HV 60d77.7%75.2%79.9%79.6%75.2%
IV Rank12.3%6.3%21.0%19.8%6.5%
IV Percentile46.2%22.2%68.7%65.5%22.2%
Term Structure0.7%-4.7%5.8%-4.7%-1.2%
VWIV51.9%45.1%67.2%57.0%48.8%
Skew 25d6.9%0.7%10.5%6.2%0.7%
Skew 10d14.9%2.2%23.6%10.2%8.4%
Call IV 25d49.8%44.6%56.3%54.7%50.3%
Put IV 25d56.7%49.9%64.2%60.8%51.1%
Bid-Ask Spread %3.432.624.153.853.62
Gamma HHI0.210.160.310.160.31
Net GEX1.3M969.7K1.7M1.1M1.6M
Net DEX-44.2M-85.4M-17.0M-17.0M-50.0M
Net VEX-527.1K-572.3K-465.4K-465.4K-559.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.142.350.770.86
Total Volume29,095.210,00681,89132,80128,596
Total OI595,928.85362,733764,047666,209416,223

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$6.75$7.5062.6%17.7%76.0%19.8%57.0%6.2%-4.7%1.1M-17.0M-465.4K0.773.85N/AN/A18,48814,313493,133173,076
2012-01-04$6.99$7.5057.8%15.0%76.3%16.7%55.3%7.6%4.3%1.4M-30.2M-481.4K0.492.88N/AN/A14,7087,194500,941174,329
2012-01-05$7.16$7.5057.7%14.7%75.9%16.7%51.5%5.3%5.8%1.6M-39.3M-500.2K0.203.11N/AN/A47,0709,647503,739176,036
2012-01-06$7.20$7.0055.4%15.9%72.7%15.1%55.7%5.8%1.2%1.4M-40.5M-507.2K0.383.84N/AN/A14,9315,639507,285178,479
2012-01-09$7.29$7.0064.4%16.6%70.3%21.0%67.2%10.5%-0.8%1.2M-38.3M-498.5K2.354.11N/AN/A13,32131,261493,816179,035
2012-01-10$7.25$7.0059.5%16.0%70.6%17.8%56.1%10.4%-0.4%969.7K-31.4M-504.8K0.233.81N/AN/A22,8015,274495,695205,682
2012-01-11$7.22$7.0041.7%15.4%70.3%6.3%56.0%9.6%1.0%994.1K-29.7M-517.6K1.603.47N/AN/A6,91011,038510,600207,200
2012-01-12$7.27$7.0052.2%15.0%68.1%13.1%51.1%7.8%1.8%1.1M-32.0M-523.2K0.703.90N/AN/A5,8944,112510,701209,121
2012-01-13$7.23$7.0052.3%15.0%66.7%13.2%55.2%9.0%2.0%1.2M-27.3M-512.0K0.413.49N/AN/A11,3194,665511,623209,153
2012-01-17$7.16$7.0049.9%14.3%67.2%11.6%51.7%10.3%1.9%1.3M-18.4M-486.9K1.103.65N/AN/A10,55111,629513,952209,048
2012-01-18$7.65$7.0050.6%14.5%69.7%12.1%51.5%7.1%-0.1%1.7M-60.2M-528.2K0.183.05N/AN/A69,41312,478511,912213,130
2012-01-19$7.88$7.0047.9%13.7%66.6%10.3%51.2%10.2%1.2%1.7M-85.4M-559.1K0.782.62N/AN/A24,31418,843534,818217,458
2012-01-20$7.76$7.0045.8%13.1%65.7%8.9%47.5%7.7%2.6%1.2M-82.0M-556.8K0.142.65N/AN/A34,1774,803536,233227,814
2012-01-23$7.87$7.0044.5%12.7%61.9%8.1%47.2%7.6%0.8%1.3M-56.3M-564.5K0.473.47N/AN/A16,1887,605242,507120,226
2012-01-24$7.95$7.0043.7%12.5%39.2%7.6%45.1%5.2%0.8%1.5M-60.3M-568.6K0.203.05N/AN/A12,6462,514247,571123,435
2012-01-25$7.86$7.0044.1%12.6%39.7%7.9%47.3%5.1%0.7%1.6M-57.7M-572.3K0.483.41N/AN/A11,9645,737254,261124,000
2012-01-26$7.55$7.0045.9%13.2%42.1%9.0%47.9%5.4%-0.4%1.2M-42.6M-547.4K0.833.72N/AN/A13,73411,427259,651126,032
2012-01-27$7.43$7.0052.6%14.2%42.4%13.4%47.0%5.3%-1.2%1.1M-39.0M-541.4K0.492.84N/AN/A10,3425,116267,041131,898
2012-01-30$7.56$7.0049.5%13.8%42.4%11.4%48.8%2.2%-2.2%1.3M-45.4M-547.4K0.304.15N/AN/A16,3404,902269,244132,479
2012-01-31$7.59$7.0041.9%13.7%42.4%6.5%48.8%0.7%-1.2%1.6M-50.0M-559.7K0.863.62N/AN/A15,37013,226280,476135,747