MU Options History — September 2012

In September 2012, MU traded between $5.94 and $6.70. ATM implied volatility averaged 49.9%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 13.6% (HV 20d: 36.3%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.71.

Notable Days

  • 2012-09-07: Highest Volume — 85,965 contracts
  • 2012-09-28: Largest IV drop — 23.9% change
  • 2012-09-11: Highest IV Rank — 16.4%
  • 2012-09-27: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.35$5.94$6.70$6.09$5.98
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV49.9%41.4%54.9%46.4%41.4%
Expected Move14.2%12.0%15.6%12.4%12.0%
HV 20d36.3%18.5%41.9%22.7%41.9%
HV 60d41.3%37.1%44.0%41.4%37.1%
IV Rank13.1%7.8%16.4%11.0%7.8%
IV Percentile31.4%6.7%53.6%15.9%6.7%
Term Structure0.8%-3.9%8.0%8.0%3.1%
VWIV50.2%41.7%58.0%45.0%41.7%
Skew 25d3.5%-1.5%7.2%-1.5%4.1%
Skew 10d8.0%-4.5%14.3%0.2%7.0%
Call IV 25d51.0%45.8%57.6%49.5%45.8%
Put IV 25d54.5%48.0%60.3%48.0%49.8%
Bid-Ask Spread %3.372.327.613.373.58
Gamma HHI0.160.140.200.170.20
Net GEX-134.7K-944.9K888.6K-224.4K-631.7K
Net DEX86.4M51.7M126.1M92.8M126.1M
Net VEX-833.6K-943.7K-659.4K-806.9K-659.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.182.350.180.58
Total Volume27,979.0537,94085,96516,87538,724
Total OI1,001,408.211943,1261,039,733951,7611,035,671

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$6.09$7.0046.4%12.4%22.7%11.0%45.0%-1.5%8.0%-224.4K92.8M-806.9K0.183.37N/AN/A14,2862,589519,915431,846
2012-09-05$6.19$7.0050.0%12.8%18.5%13.3%45.5%0.7%6.3%-143.4K88.7M-814.2K0.263.18N/AN/A14,3483,675520,082432,187
2012-09-06$6.68$7.0048.2%13.0%34.0%12.1%46.0%0.7%2.3%413.3K51.7M-930.9K0.303.47N/AN/A22,9126,820522,380433,800
2012-09-07$6.42$7.0047.9%15.2%36.5%11.9%50.0%7.1%1.2%268.4K66.8M-880.8K2.352.61N/AN/A25,68760,278531,872435,124
2012-09-10$6.41$7.0052.7%15.3%36.4%15.0%52.0%7.2%-0.9%54.4K79.8M-921.1K0.612.81N/AN/A14,4798,800549,743479,701
2012-09-11$6.36$7.0054.9%14.9%36.4%16.4%52.2%5.1%-0.3%-36.8K84.9M-889.1K0.722.95N/AN/A10,4387,490554,129475,901
2012-09-12$6.47$7.0048.7%14.9%36.0%12.4%49.3%5.0%-0.9%262.0K75.3M-898.3K1.422.58N/AN/A3,5555,058555,802472,268
2012-09-13$6.60$7.0046.6%13.4%36.6%11.1%49.0%2.9%4.4%633.5K66.6M-922.2K0.722.60N/AN/A9,9847,236556,450474,423
2012-09-14$6.70$7.0048.6%13.9%36.4%12.4%49.8%2.5%2.9%888.6K56.5M-943.7K0.253.41N/AN/A14,6583,724559,913479,820
2012-09-17$6.57$7.0049.0%14.0%37.1%12.6%51.5%2.5%2.0%246.5K71.0M-893.0K0.682.73N/AN/A8,0045,452544,150472,182
2012-09-18$6.48$7.0052.5%15.1%37.1%14.8%52.5%4.4%-2.0%-269.0K80.2M-869.4K0.673.90N/AN/A4,9953,349546,446473,733
2012-09-19$6.65$7.0050.0%14.3%38.2%13.2%52.5%1.2%0.7%282.5K72.0M-869.2K0.613.51N/AN/A4,9353,005547,031475,723
2012-09-20$6.45$7.0052.1%14.9%39.0%14.6%50.4%2.9%-1.3%-577.2K84.1M-859.4K0.753.62N/AN/A9,1106,819547,884476,014
2012-09-21$6.36$7.0049.5%14.2%39.2%12.9%49.7%3.9%0.5%-638.7K93.5M-809.1K0.743.52N/AN/A7,6895,719545,285474,421
2012-09-24$6.26$7.0050.1%14.4%39.6%13.3%50.7%5.2%-1.2%-944.9K110.0M-711.6K1.123.43N/AN/A31,95735,688483,491459,635
2012-09-25$6.11$7.0051.7%14.8%40.3%14.3%53.6%4.7%-2.8%-788.2K109.9M-730.9K0.362.87N/AN/A30,97511,216496,250466,204
2012-09-26$5.94$7.0052.7%15.1%41.5%14.9%54.8%4.3%-2.3%-740.6K120.4M-688.2K0.732.32N/AN/A20,37814,823520,510472,464
2012-09-27$6.02$7.0054.4%15.6%41.8%16.0%58.0%2.8%-3.9%-614.3K112.0M-740.3K0.387.61N/AN/A38,26214,485528,400475,906
2012-09-28$5.98$7.0041.4%12.0%41.9%7.8%41.7%4.1%3.1%-631.7K126.1M-659.4K0.583.58N/AN/A24,50614,218550,494485,177