MU Options History — October 2012

In October 2012, MU traded between $5.17 and $5.89. ATM implied volatility averaged 42.7%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 11.2% (HV 20d: 31.5%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2012-10-12: Highest Volume — 32,311 contracts
  • 2012-10-31: Largest IV spike — 14.7% change
  • 2012-10-31: Highest IV Rank — 29.0%
  • 2012-10-26: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.67$5.17$5.89$5.77$5.43
Max Pain$6.19$6.00$7.00$7.00$6.00
ATM IV42.7%37.7%52.7%49.7%52.7%
Expected Move12.0%11.0%14.0%12.7%13.3%
HV 20d31.5%22.6%46.6%43.5%45.2%
HV 60d35.1%31.7%39.1%37.7%38.6%
IV Rank15.1%9.7%29.0%13.0%29.0%
IV Percentile12.5%1.2%55.2%31.3%55.2%
Term Structure2.5%-1.3%5.1%0.6%1.3%
VWIV42.5%38.6%46.9%44.5%46.0%
Skew 25d1.7%-7.5%5.3%1.1%0.7%
Skew 10d6.3%-15.2%62.6%-1.9%1.5%
Call IV 25d43.7%39.7%48.7%48.7%45.5%
Put IV 25d45.4%38.7%49.8%49.8%46.2%
Bid-Ask Spread %5.592.8922.129.925.01
Gamma HHI0.300.200.450.220.45
Net GEX-730.8K-1.1M-204.5K-650.5K-864.8K
Net DEX121.9M66.7M157.5M134.1M76.7M
Net VEX-582.6K-641.8K-520.2K-611.4K-567.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.174.170.620.17
Total Volume19,048.0483,87832,31119,2418,123
Total OI983,500.143782,0471,100,8431,012,422853,860

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$5.77$7.0049.7%12.7%43.5%13.0%44.5%1.1%0.6%-650.5K134.1M-611.4K0.629.92N/AN/A11,9097,332539,926472,496
2012-10-02$5.84$7.0044.5%11.9%43.4%9.7%42.9%0.4%1.7%-462.8K130.4M-641.8K0.652.89N/AN/A12,4188,110545,669473,163
2012-10-03$5.84$7.0046.2%11.6%42.9%11.1%40.9%3.5%2.7%-546.0K135.1M-606.6K0.295.61N/AN/A7,0572,062552,296476,644
2012-10-04$5.88$7.0040.0%11.0%31.4%12.7%38.7%5.3%4.3%-204.5K129.5M-635.3K0.696.57N/AN/A9,4916,586556,275475,596
2012-10-05$5.89$6.0037.7%12.0%28.9%10.0%42.2%5.1%4.8%-732.2K134.1M-621.0K0.223.58N/AN/A11,7842,644561,934480,869
2012-10-08$5.85$6.0041.5%12.2%28.9%14.5%43.9%4.2%3.6%-744.9K136.4M-593.5K0.313.38N/AN/A2,969909549,697477,952
2012-10-09$5.76$6.0043.4%12.0%29.2%16.6%44.0%4.4%5.1%-639.2K137.2M-608.2K0.813.10N/AN/A6,4395,207551,099478,266
2012-10-10$5.76$6.0042.6%12.4%28.1%16.6%44.4%2.7%3.3%-726.4K140.6M-589.6K0.393.34N/AN/A10,9454,261554,289481,036
2012-10-11$5.75$6.0042.6%12.2%26.4%16.5%43.4%3.1%3.3%-638.7K137.5M-607.3K0.213.51N/AN/A17,4213,698557,370481,679
2012-10-12$5.67$6.0042.1%12.1%25.2%15.9%44.5%0.1%3.4%-579.4K142.4M-578.6K4.173.68N/AN/A6,25026,061565,949482,808
2012-10-15$5.72$6.0040.3%11.6%25.6%13.7%42.3%3.0%4.4%-729.4K145.3M-579.8K2.563.83N/AN/A4,05910,376562,490501,691
2012-10-16$5.78$6.0038.3%11.0%26.1%11.3%39.0%1.6%2.1%-899.4K148.0M-567.4K0.685.25N/AN/A8,9976,112564,558509,390
2012-10-17$5.78$6.0039.1%11.2%23.5%12.2%39.2%-1.2%1.4%-828.8K144.3M-578.1K0.495.18N/AN/A13,9056,760569,874509,437
2012-10-18$5.65$6.0038.8%11.1%22.6%11.8%38.6%1.4%1.7%-783.0K152.8M-542.6K0.364.97N/AN/A16,4245,834577,134509,760
2012-10-19$5.45$6.0040.3%11.5%24.8%13.7%40.1%0.2%4.7%-866.7K157.5M-520.2K0.924.24N/AN/A13,22212,194589,668511,175
2012-10-22$5.44$6.0041.1%11.8%24.7%14.7%40.6%1.2%3.2%-848.7K75.0M-520.9K1.953.32N/AN/A10,89221,231440,407341,640
2012-10-23$5.41$6.0043.7%12.5%23.8%18.0%42.9%0.9%2.3%-852.6K76.7M-557.8K1.062.96N/AN/A8,4448,964447,039359,483
2012-10-24$5.17$6.0043.8%12.6%26.5%18.1%43.8%-7.5%1.3%-1.1M84.8M-522.3K2.143.48N/AN/A7,59616,276450,520362,741
2012-10-25$5.69$6.0042.7%12.2%44.8%16.7%43.7%3.0%-0.7%-817.0K66.7M-595.9K0.3511.53N/AN/A21,8197,562454,152377,375
2012-10-26$5.47$6.0046.0%14.0%46.6%20.7%46.9%1.8%-1.3%-877.6K75.2M-588.1K0.2722.12N/AN/A21,8175,849465,273380,823
2012-10-31$5.43$6.0052.7%13.3%45.2%29.0%46.0%0.7%1.3%-864.8K76.7M-567.7K0.175.01N/AN/A6,9601,163473,240380,620