MU Options History — March 2012

In March 2012, MU traded between $8.00 and $8.83. ATM implied volatility averaged 49.5%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 0.5% (HV 20d: 49.0%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.33.

Notable Days

  • 2012-03-26: Highest Volume — 476,567 contracts
  • 2012-03-23: Largest IV drop — 18.6% change
  • 2012-03-06: Highest IV Rank — 17.3%
  • 2012-03-14: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.45$8.00$8.83$8.71$8.10
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV49.5%41.9%58.7%49.2%51.3%
Expected Move14.3%12.0%15.2%14.2%14.1%
HV 20d49.0%41.1%54.1%49.7%43.6%
HV 60d50.4%42.4%56.5%55.4%42.8%
IV Rank11.3%6.4%17.3%11.2%12.5%
IV Percentile41.5%19.4%59.9%40.9%46.8%
Term Structure0.0%-2.3%3.7%0.3%3.7%
VWIV51.6%41.9%56.4%50.9%52.4%
Skew 25d-1.5%-5.1%1.8%-2.7%-5.1%
Skew 10d-1.8%-11.4%2.7%-1.6%-11.4%
Call IV 25d52.6%42.8%58.2%54.3%55.0%
Put IV 25d51.1%42.8%54.6%51.6%49.9%
Bid-Ask Spread %4.293.296.413.903.42
Gamma HHI0.180.140.320.200.21
Net GEX1.6M-182.5K3.9M2.8M1.4M
Net DEX-43.0M-92.2M3.9M-83.1M3.9M
Net VEX-1.2M-1.7M-1.0M-1.1M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.1113.830.740.50
Total Volume63,986.1827,694476,56726,80424,764
Total OI905,540.591783,9351,240,152783,9351,240,152

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$8.71$8.0049.2%14.2%49.7%11.2%50.9%-2.7%0.3%2.8M-83.1M-1.1M0.743.90N/AN/A15,43911,365462,582321,353
2012-03-02$8.64$8.0045.0%13.5%49.9%8.5%47.5%-2.6%2.7%2.7M-77.0M-1.1M1.316.41N/AN/A12,72816,710468,738325,901
2012-03-05$8.20$8.0052.3%14.6%53.1%13.2%51.9%-0.4%0.3%1.6M-34.9M-1.0M0.554.02N/AN/A21,34111,802472,780334,611
2012-03-06$8.00$8.0058.7%15.1%52.7%17.3%53.6%-0.3%-1.0%980.2K-18.5M-1.0M0.573.51N/AN/A17,0689,666480,176341,801
2012-03-07$8.09$8.0048.3%14.8%52.4%10.6%52.9%0.0%-0.8%1.1M-26.5M-1.1M0.314.05N/AN/A8,1292,508484,113345,185
2012-03-08$8.16$8.0047.0%14.6%51.0%9.8%52.8%0.4%-0.7%1.3M-31.4M-1.1M0.556.12N/AN/A4,9542,740485,345346,117
2012-03-09$8.33$8.0043.1%14.2%51.5%7.3%50.2%1.8%0.1%1.6M-44.7M-1.1M0.583.72N/AN/A6,9874,019486,011346,765
2012-03-12$8.08$8.0044.7%14.3%51.4%8.2%52.4%-1.5%-0.8%944.1K-22.7M-1.0M3.044.07N/AN/A11,86936,075484,141345,120
2012-03-13$8.49$8.0049.1%14.4%54.1%11.1%50.8%-0.3%-0.8%1.7M-55.0M-1.1M0.375.49N/AN/A9,7553,647488,892365,944
2012-03-14$8.58$8.0054.3%15.2%49.9%14.5%53.5%-2.6%-2.1%2.1M-66.1M-1.1M1.854.51N/AN/A14,93227,661489,173367,338
2012-03-15$8.83$8.0052.9%15.2%50.7%13.6%53.7%-1.9%-2.3%3.9M-92.2M-1.1M0.245.87N/AN/A19,1184,641491,988352,595
2012-03-16$8.82$8.0052.0%14.9%50.3%13.0%52.5%-0.9%-1.8%1.9M-84.6M-1.1M13.833.53N/AN/A14,863205,494494,529352,702
2012-03-19$8.63$8.0051.8%14.8%50.9%12.8%52.9%-1.5%-2.1%373.7K-37.2M-1.3M0.213.85N/AN/A23,1074,807399,873443,227
2012-03-20$8.57$8.0052.1%14.9%50.0%13.0%52.3%-1.9%-1.7%536.4K-34.1M-1.3M0.384.00N/AN/A10,8054,075413,816446,348
2012-03-21$8.74$8.0049.8%14.3%49.6%11.5%50.4%-3.5%-0.4%843.3K-49.3M-1.3M0.363.32N/AN/A20,6837,346417,917448,519
2012-03-22$8.71$8.0051.5%14.8%48.2%12.7%52.4%0.4%-1.1%841.5K-43.5M-1.3M0.865.51N/AN/A19,07616,393418,786450,039
2012-03-23$8.40$8.0041.9%12.0%50.2%6.4%41.9%0.0%3.5%156.2K-13.8M-1.2M1.093.57N/AN/A15,58116,947427,780457,017
2012-03-26$8.25$8.0044.5%12.7%43.0%8.1%52.0%-2.1%2.5%-182.5K1.9M-1.2M0.993.75N/AN/A240,077236,490410,647452,216
2012-03-27$8.57$8.0047.8%13.7%43.2%10.2%50.7%-0.8%0.6%2.7M-44.9M-1.7M0.113.86N/AN/A129,54714,352629,202546,279
2012-03-28$8.64$8.0048.7%14.0%41.1%10.9%51.9%-2.8%0.5%3.1M-56.5M-1.7M0.263.29N/AN/A24,7566,530640,897551,101
2012-03-29$8.42$8.0052.6%15.1%41.6%13.4%56.4%-4.6%1.8%2.4M-36.8M-1.7M0.664.62N/AN/A59,43839,411644,282549,895
2012-03-30$8.10$8.0051.3%14.1%43.6%12.5%52.4%-5.1%3.7%1.4M3.9M-1.7M0.503.42N/AN/A16,5278,237681,550558,602