MU Options History — July 2012

In July 2012, MU traded between $5.62 and $6.89. ATM implied volatility averaged 52.5%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 0.9% (HV 20d: 51.7%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2012-07-03: Highest Volume — 137,649 contracts
  • 2012-07-03: Largest IV drop — 19.6% change
  • 2012-07-02: Highest IV Rank — 15.1%
  • 2012-07-10: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.15$5.62$6.89$6.55$6.21
Max Pain$6.71$6.00$7.00$7.00$6.00
ATM IV52.5%46.6%62.2%62.2%61.7%
Expected Move14.2%12.8%15.3%14.5%14.1%
HV 20d51.7%45.3%56.0%50.9%45.3%
HV 60d47.4%45.9%49.1%45.9%48.2%
IV Rank8.4%4.2%15.1%15.1%14.6%
IV Percentile31.1%8.7%57.5%57.5%56.7%
Term Structure1.6%-1.3%3.4%0.9%1.5%
VWIV52.1%46.4%57.2%56.3%53.6%
Skew 25d1.8%-5.6%35.2%-2.1%35.2%
Skew 10d3.4%-12.3%80.9%-4.1%80.9%
Call IV 25d53.7%47.5%58.7%54.0%58.7%
Put IV 25d55.5%47.4%93.9%51.9%93.9%
Bid-Ask Spread %3.392.575.814.442.90
Gamma HHI0.250.170.560.420.18
Net GEX-426.9K-1.2M2.3M1.1M-354.7K
Net DEX107.5M21.6M166.5M64.4M81.4M
Net VEX-862.7K-1.1M-699.0K-1.1M-823.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.072.370.450.45
Total Volume32,749.7625,282137,64967,09527,076
Total OI1,047,375.286721,6081,252,2601,218,671763,518

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$6.55$7.0062.2%14.5%50.9%15.1%56.3%-2.1%0.9%1.1M64.4M-1.1M0.454.44N/AN/A46,25020,845684,647534,024
2012-07-03$6.89$7.0050.0%13.6%52.0%6.7%47.6%-3.4%1.6%2.3M21.6M-1.1M0.103.07N/AN/A125,53212,117705,600546,660
2012-07-05$6.81$7.0052.7%13.7%52.2%8.6%50.5%-5.4%1.6%-171.9K61.7M-1.1M0.533.18N/AN/A20,03910,533622,467551,775
2012-07-06$6.72$7.0054.6%14.7%52.2%9.9%54.8%-1.6%1.4%-577.5K74.5M-1.1M0.403.61N/AN/A18,5487,431626,502557,626
2012-07-09$6.49$7.0058.9%15.3%53.3%12.7%53.3%0.4%0.9%-679.8K98.0M-988.0K0.352.74N/AN/A6,9442,426620,587556,687
2012-07-10$6.16$7.0062.0%15.3%55.8%14.8%53.2%4.7%1.4%-1.1M130.6M-888.9K0.593.21N/AN/A14,8268,691621,761557,433
2012-07-11$6.21$7.0053.3%15.1%54.5%8.9%56.2%4.8%1.1%-1.1M128.9M-894.7K0.573.56N/AN/A6,3243,630626,009562,437
2012-07-12$6.13$7.0051.8%14.8%54.6%7.9%52.7%1.8%2.0%-1.1M134.1M-878.0K0.572.99N/AN/A8,3704,730628,072562,473
2012-07-13$6.13$7.0049.5%14.2%54.1%6.3%50.0%3.4%3.1%-1.1M136.0M-861.3K0.845.81N/AN/A2,8712,411629,676562,849
2012-07-16$6.00$7.0051.5%14.8%54.3%7.6%52.5%2.1%1.7%-1.2M146.9M-816.2K0.633.08N/AN/A7,7814,892622,102561,553
2012-07-17$5.77$7.0048.5%13.9%56.0%5.6%50.2%2.1%1.3%-1.2M166.5M-733.9K0.332.76N/AN/A42,52314,082624,906562,548
2012-07-18$5.84$7.0048.0%13.8%55.3%5.3%50.7%3.0%3.4%-1.2M158.7M-764.2K2.373.92N/AN/A5,96914,158624,116561,627
2012-07-19$5.78$7.0048.0%13.8%55.3%5.3%49.3%-0.8%2.3%-1.1M162.5M-730.2K0.122.82N/AN/A29,3293,600620,240552,507
2012-07-20$5.83$7.0047.7%13.7%47.3%5.1%50.5%1.8%3.4%-582.6K157.3M-754.3K0.653.27N/AN/A32,03820,781640,543552,886
2012-07-23$5.62$7.0052.8%15.1%48.8%8.4%53.9%1.0%-1.3%-537.0K104.3M-699.0K0.214.11N/AN/A33,3057,121333,630387,978
2012-07-24$5.73$6.0052.3%15.0%48.4%8.1%57.2%-0.0%-0.8%-317.2K98.3M-738.4K0.073.54N/AN/A31,7252,272349,833392,400
2012-07-25$5.84$6.0050.0%14.3%48.7%6.5%55.7%-0.8%0.8%83.1K93.3M-767.0K0.182.62N/AN/A18,7813,408373,351393,266
2012-07-26$5.96$6.0046.7%13.4%48.9%4.3%50.1%-3.5%2.8%651.7K87.5M-781.3K0.112.57N/AN/A15,4521,637379,660394,410
2012-07-27$6.28$6.0046.6%12.8%50.1%4.2%46.4%-0.1%2.8%-365.2K66.0M-848.5K0.163.81N/AN/A34,6595,676382,522394,961
2012-07-30$6.11$6.0054.9%13.2%47.0%9.9%49.7%-5.6%2.4%-290.8K85.8M-797.8K0.783.14N/AN/A5,0323,930373,482395,557
2012-07-31$6.21$6.0061.7%14.1%45.3%14.6%53.6%35.2%1.5%-354.7K81.4M-823.3K0.452.90N/AN/A18,6798,397365,749397,769