MU Options History — June 2012 In June 2012, MU traded between $5.39 and $6.31. ATM implied volatility averaged 56.4%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded above realized volatility by 6.6% (HV 20d: 49.8%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.39.
Notable Days 2012-06-29 : Highest Volume — 162,036 contracts2012-06-29 : Largest IV drop — 21.2% change2012-06-04 : Highest IV Rank — 27.4%2012-06-04 : Largest Expected Move — 20.3%Monthly Statistics Metric Avg Min Max Open Close Price $5.79 $5.39 $6.31 $5.45 $6.31 Max Pain $7.00 $7.00 $7.00 $7.00 $7.00 ATM IV 56.4% 40.7% 80.4% 70.6% 40.7% Expected Move 16.5% 13.6% 20.3% 20.0% 14.2% HV 20d 49.8% 45.3% 54.4% 46.1% 50.4% HV 60d 41.8% 39.8% 45.2% 40.6% 45.2% IV Rank 11.1% 0.4% 27.4% 20.7% 0.4% IV Percentile 43.0% 1.6% 84.1% 73.0% 1.6% Term Structure 0.7% -1.9% 3.7% 1.4% 3.1% VWIV 58.8% 49.3% 68.3% 68.3% 55.0% Skew 25d 2.4% -3.2% 23.1% 0.6% 23.1% Skew 10d 3.9% -14.5% 77.9% 1.7% 77.9% Call IV 25d 60.3% 51.4% 70.6% 69.1% 57.7% Put IV 25d 62.7% 50.7% 80.9% 69.7% 80.9% Bid-Ask Spread % 4.67 3.21 7.51 4.68 3.21 Gamma HHI 0.24 0.20 0.32 0.20 0.20 Net GEX -1.2M -1.6M -593.2K -1.1M -634.3K Net DEX 134.1M 90.8M 154.5M 138.5M 90.8M Net VEX -906.0K -1000.0K -773.6K -945.6K -945.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.39 0.05 1.11 0.50 0.10 Total Volume 25,898.714 3,401 162,036 31,950 162,036 Total OI 1,091,319.905 1,053,905 1,120,717 1,082,066 1,090,106
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 2012-06-01 $5.45 $7.00 70.6% 20.0% 46.1% 20.7% 68.3% 0.6% 1.4% -1.1M 138.5M -945.6K 0.50 4.68 N/A N/A 21,357 10,593 547,175 534,891 2012-06-04 $5.39 $7.00 80.4% 20.3% 45.5% 27.4% 68.2% 4.0% -1.4% -1.1M 143.4M -909.8K 0.45 7.03 N/A N/A 10,728 4,856 551,538 536,506 2012-06-05 $5.60 $7.00 71.9% 18.4% 48.6% 21.6% 65.3% 3.3% -1.4% -1.1M 137.5M -943.7K 0.57 4.40 N/A N/A 8,321 4,762 556,328 537,757 2012-06-06 $5.75 $7.00 61.2% 18.2% 48.3% 14.4% 64.0% 3.9% -1.9% -1.1M 132.7M -970.2K 0.59 3.99 N/A N/A 9,366 5,505 558,435 538,105 2012-06-07 $5.67 $7.00 55.7% 17.5% 47.6% 10.6% 64.0% 0.6% 0.2% -1.2M 139.5M -943.7K 0.13 3.48 N/A N/A 13,248 1,726 563,748 539,188 2012-06-08 $5.88 $7.00 53.5% 17.4% 49.8% 9.1% 63.7% 2.4% 1.0% -1.1M 128.4M -1000.0K 0.39 3.93 N/A N/A 5,195 2,015 569,403 539,348 2012-06-11 $5.71 $7.00 59.0% 18.0% 50.3% 12.8% 65.9% 2.4% -1.1% -1.2M 139.3M -929.4K 0.13 4.05 N/A N/A 17,710 2,241 568,001 539,414 2012-06-12 $5.92 $7.00 54.2% 17.9% 51.9% 9.6% 62.4% 3.5% -1.3% -1.0M 127.4M -974.1K 0.09 4.17 N/A N/A 17,800 1,528 578,996 539,715 2012-06-13 $5.86 $7.00 53.4% 17.8% 50.9% 9.0% 62.7% 3.0% -0.3% -1.0M 132.7M -957.7K 1.11 5.02 N/A N/A 4,157 4,607 576,890 539,036 2012-06-14 $5.76 $7.00 60.9% 17.5% 50.4% 14.2% 62.9% 3.1% 0.7% -1.2M 140.4M -924.7K 0.29 4.67 N/A N/A 10,287 2,991 581,184 539,533 2012-06-15 $5.89 $7.00 58.8% 16.9% 49.9% 12.7% 59.5% 3.3% 1.1% -1.1M 136.9M -935.7K 0.64 5.46 N/A N/A 7,039 4,474 581,082 538,600 2012-06-18 $5.94 $7.00 55.1% 15.8% 45.6% 10.2% 56.3% 1.7% 0.9% -1.5M 135.5M -908.6K 0.44 4.52 N/A N/A 19,255 8,517 526,421 527,484 2012-06-19 $6.10 $7.00 55.8% 16.0% 45.6% 10.7% 55.7% 2.4% -1.5% -1.3M 125.6M -947.5K 0.86 4.44 N/A N/A 19,580 16,918 537,522 530,414 2012-06-20 $6.12 $7.00 56.8% 16.3% 45.3% 11.4% 59.3% 0.1% -1.8% -1.0M 114.3M -960.7K 0.68 4.30 N/A N/A 22,951 15,676 544,528 525,651 2012-06-21 $5.65 $7.00 49.2% 14.1% 54.0% 6.2% 49.7% -0.1% 2.4% -1.6M 154.5M -789.3K 0.38 7.51 N/A N/A 13,955 5,235 557,011 531,076 2012-06-22 $5.74 $7.00 47.3% 13.6% 54.4% 4.9% 49.3% -0.6% 3.7% -1.4M 146.2M -813.5K 0.17 3.58 N/A N/A 18,151 3,146 559,102 527,596 2012-06-25 $5.59 $7.00 51.4% 14.7% 53.2% 7.7% 51.7% -0.9% 1.8% -1.4M 144.9M -773.6K 0.05 4.32 N/A N/A 8,271 443 555,481 519,045 2012-06-26 $5.63 $7.00 49.3% 14.1% 52.2% 6.3% 49.5% -3.2% 3.1% -1.3M 144.0M -781.5K 0.24 4.97 N/A N/A 2,869 683 556,760 519,070 2012-06-27 $5.72 $7.00 48.2% 13.8% 52.3% 5.5% 49.3% -2.4% 3.4% -1.4M 140.8M -797.4K 0.14 4.08 N/A N/A 2,990 411 558,183 519,061 2012-06-28 $5.97 $7.00 51.7% 14.8% 53.9% 7.9% 52.2% -0.7% 1.9% -593.2K 123.3M -875.0K 0.30 6.24 N/A N/A 40,165 12,115 559,230 519,104 2012-06-29 $6.31 $7.00 40.7% 14.2% 50.4% 0.4% 55.0% 23.1% 3.1% -634.3K 90.8M -945.2K 0.10 3.21 N/A N/A 147,901 14,135 569,638 520,468
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