MU Options History — November 2012

In November 2012, MU traded between $5.47 and $6.09. ATM implied volatility averaged 45.0%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 7.9% (HV 20d: 52.9%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2012-11-06: Highest Volume — 45,778 contracts
  • 2012-11-30: Largest IV drop — 16.9% change
  • 2012-11-06: Highest IV Rank — 38.5%
  • 2012-11-15: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.70$5.47$6.09$5.79$5.97
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV45.0%33.7%53.6%43.0%33.7%
Expected Move12.7%11.5%14.2%11.9%11.7%
HV 20d52.9%34.9%58.6%50.9%34.9%
HV 60d41.7%39.4%43.0%40.2%42.9%
IV Rank25.5%8.9%38.5%17.0%8.9%
IV Percentile23.6%0.4%61.1%15.1%0.4%
Term Structure1.5%-0.3%3.6%1.2%3.0%
VWIV44.8%40.3%48.8%41.9%40.8%
Skew 25d2.0%-2.0%8.6%8.6%0.4%
Skew 10d5.1%-9.4%17.9%15.8%0.5%
Call IV 25d46.0%37.8%49.4%37.8%45.9%
Put IV 25d48.0%43.8%51.1%46.4%46.3%
Bid-Ask Spread %4.423.505.804.404.95
Gamma HHI0.330.220.440.370.32
Net GEX-349.3K-660.3K330.1K-472.1K-300.8K
Net DEX60.6M37.6M68.4M59.6M51.6M
Net VEX-569.5K-679.4K-513.1K-617.7K-558.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.122.300.280.48
Total Volume12,486.6194,48045,77812,49610,563
Total OI842,200.048796,607876,409855,521836,902

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$5.79$6.0043.0%11.9%50.9%17.0%41.9%8.6%1.2%-472.1K59.6M-617.7K0.284.40N/AN/A9,7952,701474,506381,015
2012-11-02$5.71$6.0046.6%12.5%51.1%21.5%43.7%8.2%-0.3%-634.8K63.3M-592.0K0.293.77N/AN/A9,4162,777476,904381,666
2012-11-05$5.84$6.0052.8%13.4%51.8%29.1%47.9%2.8%0.5%-218.2K53.3M-632.4K0.135.11N/AN/A20,2282,637473,119379,535
2012-11-06$6.09$6.0053.6%13.1%53.9%38.5%46.0%3.5%0.6%330.1K37.6M-679.4K2.304.24N/AN/A13,88331,895487,316380,002
2012-11-07$5.91$6.0045.6%13.3%55.0%25.8%47.0%2.7%0.7%91.1K49.2M-662.8K0.434.98N/AN/A13,0325,633490,228386,181
2012-11-08$5.69$6.0046.9%13.5%56.4%27.9%48.8%1.4%0.8%-151.6K60.4M-599.5K0.513.63N/AN/A7,9894,044495,349370,852
2012-11-09$5.62$6.0045.9%13.6%56.6%26.4%48.7%1.7%0.8%-375.1K64.2M-576.0K0.494.57N/AN/A4,9782,459497,433370,073
2012-11-12$5.57$6.0047.4%13.3%56.6%28.7%47.7%1.0%1.1%-387.3K64.5M-572.9K0.473.76N/AN/A4,8682,312491,071368,921
2012-11-13$5.74$6.0049.3%13.3%57.5%34.6%47.0%0.4%1.2%51.2K59.1M-589.2K0.254.90N/AN/A8,1332,010493,577369,792
2012-11-14$5.56$6.0045.8%13.3%58.5%28.6%46.7%0.7%0.9%-439.8K67.4M-548.7K1.714.90N/AN/A2,7654,728494,661369,622
2012-11-15$5.47$6.0049.5%14.2%58.6%35.0%48.0%2.6%1.2%-524.2K67.7M-552.3K0.513.50N/AN/A5,0902,620493,495370,864
2012-11-16$5.47$6.0048.4%13.9%58.6%33.0%46.7%3.2%1.3%-78.0K68.0M-545.5K0.514.69N/AN/A6,9463,525495,695369,105
2012-11-19$5.54$6.0042.6%12.2%58.3%23.1%43.1%2.5%3.0%-660.3K67.8M-515.1K0.325.80N/AN/A5,4141,756459,878336,729
2012-11-20$5.56$6.0041.6%11.9%56.9%21.4%42.3%2.2%3.1%-558.1K66.3M-531.0K0.853.59N/AN/A2,4232,057462,655336,900
2012-11-21$5.52$6.0041.8%12.0%56.9%21.7%41.8%2.3%2.5%-587.2K68.4M-513.1K0.233.82N/AN/A6,7281,569463,503337,976
2012-11-23$5.68$6.0040.0%11.5%57.7%18.7%40.3%1.2%3.6%-644.9K62.6M-521.9K1.504.20N/AN/A4,2446,349466,418339,028
2012-11-26$5.70$6.0044.6%12.8%54.9%26.5%44.9%-0.9%0.6%-635.1K63.6M-521.8K0.255.41N/AN/A11,8053,004466,197342,166
2012-11-27$5.68$6.0042.5%12.2%43.1%22.9%43.2%-2.0%1.4%-550.6K63.6M-530.8K0.124.51N/AN/A9,9121,145474,398344,019
2012-11-28$5.77$6.0042.4%12.2%40.8%22.8%42.5%0.1%2.2%-416.0K60.0M-539.0K0.263.63N/AN/A6,9181,810482,236344,740
2012-11-29$5.91$6.0040.6%11.6%41.3%22.4%40.9%-0.9%3.0%-172.9K53.7M-558.8K0.684.54N/AN/A7,1954,863485,313346,161
2012-11-30$5.97$6.0033.7%11.7%34.9%8.9%40.8%0.4%3.0%-300.8K51.6M-558.5K0.484.95N/AN/A7,1133,450488,074348,828