MU Options History — February 2012

In February 2012, MU traded between $7.70 and $8.88. ATM implied volatility averaged 48.2%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 8.2% (HV 20d: 40.0%). Max pain ranged from $7.00 to $11.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.97.

Notable Days

  • 2012-02-27: Highest Volume — 194,471 contracts
  • 2012-02-27: Largest IV spike — 39.2% change
  • 2012-02-29: Highest IV Rank — 18.0%
  • 2012-02-14: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.13$7.70$8.88$7.70$8.55
Max Pain$8.05$7.00$11.00$7.00$8.00
ATM IV48.2%40.4%59.9%48.0%59.9%
Expected Move13.2%11.8%14.8%12.9%13.8%
HV 20d40.0%34.2%49.6%35.8%49.6%
HV 60d63.0%54.0%74.3%73.9%55.5%
IV Rank10.5%5.5%18.0%10.4%18.0%
IV Percentile39.0%13.9%61.9%42.9%61.9%
Term Structure2.3%0.6%5.1%0.8%1.8%
VWIV47.7%42.5%56.4%45.9%56.4%
Skew 25d2.8%-4.2%6.8%2.4%-4.2%
Skew 10d7.8%-4.0%15.5%9.4%-3.2%
Call IV 25d47.5%44.2%53.1%47.8%51.7%
Put IV 25d50.3%45.6%56.6%50.2%47.6%
Bid-Ask Spread %3.882.579.573.155.37
Gamma HHI0.270.180.390.350.23
Net GEX1.9M522.4K3.0M1.9M1.5M
Net DEX-66.8M-95.6M-13.3M-56.4M-68.5M
Net VEX-675.4K-924.5K-240.1K-587.5K-924.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.034.561.140.23
Total Volume46,719.2511,188194,47118,819176,970
Total OI488,613.75149,081631,422434,944631,422

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$7.70$7.0048.0%12.9%35.8%10.4%45.9%2.4%0.8%1.9M-56.4M-587.5K1.143.15N/AN/A8,77410,045290,998143,946
2012-02-02$7.72$7.0042.5%12.4%34.2%6.8%44.3%2.9%0.6%1.9M-53.5M-587.7K0.373.33N/AN/A9,6713,581292,346147,661
2012-02-03$7.95$11.0048.8%12.2%34.6%10.9%0.0%5.4%1.5%522.4K-13.3M-240.1K0.039.57N/AN/A10,907281118,00031,081
2012-02-06$7.72$8.0051.0%13.1%36.8%12.3%46.9%3.6%1.7%2.1M-57.3M-588.0K0.492.57N/AN/A9,2344,564303,341142,541
2012-02-07$7.88$8.0049.3%13.0%37.1%11.2%49.1%5.1%2.1%2.6M-68.1M-599.6K0.784.30N/AN/A8,8276,864307,248143,076
2012-02-08$8.16$8.0047.7%13.5%38.5%10.2%47.2%6.8%1.2%2.9M-86.6M-622.2K0.336.29N/AN/A27,9639,165309,499146,987
2012-02-09$8.16$8.0046.9%13.4%38.4%9.7%48.2%6.1%1.3%3.0M-84.8M-625.4K1.112.89N/AN/A10,87112,079317,034151,716
2012-02-10$7.91$8.0047.8%13.7%40.6%10.2%48.8%4.4%1.9%2.5M-67.7M-612.0K0.554.14N/AN/A17,0789,326320,109149,852
2012-02-13$7.85$8.0045.5%13.1%40.7%8.8%47.5%5.7%2.5%2.6M-63.4M-602.4K0.982.84N/AN/A20,74620,420322,989155,636
2012-02-14$8.34$8.0051.7%14.8%44.9%12.8%50.7%5.7%0.9%2.7M-95.6M-679.2K0.223.44N/AN/A55,28612,401324,039171,838
2012-02-15$8.28$8.0050.6%14.5%39.5%12.1%50.0%3.4%2.8%2.8M-92.7M-696.1K4.563.36N/AN/A23,270106,032340,308172,834
2012-02-16$8.46$8.0049.9%14.3%38.9%11.6%49.2%4.0%2.6%1.3M-91.2M-803.1K0.372.96N/AN/A11,8184,394344,947259,019
2012-02-17$8.43$8.0047.3%13.6%38.3%10.0%47.1%3.6%3.2%1.4M-94.0M-788.9K0.992.75N/AN/A7,6487,599344,248251,283
2012-02-21$8.21$8.0044.4%12.7%39.6%8.0%45.5%5.2%4.2%1.5M-57.9M-738.1K0.443.10N/AN/A12,3575,396298,135193,702
2012-02-22$8.04$8.0041.7%11.9%40.3%6.3%42.5%2.2%5.1%1.3M-46.1M-716.1K2.222.74N/AN/A4,2489,451302,202197,610
2012-02-23$7.82$8.0041.3%11.8%41.4%6.0%45.2%1.2%4.8%905.6K-30.1M-698.1K0.673.04N/AN/A11,1827,478302,548205,540
2012-02-24$7.95$8.0040.4%12.0%38.9%5.5%45.2%-0.9%4.6%1.2M-39.3M-725.9K0.243.26N/AN/A9,0702,162307,026210,258
2012-02-27$8.56$8.0056.3%13.4%45.7%15.7%47.3%-3.3%0.6%1.9M-78.2M-762.1K3.204.71N/AN/A46,346148,125305,388209,896
2012-02-28$8.88$8.0053.1%13.5%46.8%13.7%50.2%-3.8%1.9%1.8M-91.2M-911.5K0.403.87N/AN/A52,06620,690322,528283,444
2012-02-29$8.55$8.0059.9%13.8%49.6%18.0%56.4%-4.2%1.8%1.5M-68.5M-924.5K0.235.37N/AN/A143,34233,628336,981294,441