MU Options History — December 2012

In December 2012, MU traded between $5.93 and $6.85. ATM implied volatility averaged 45.8%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 13.3% (HV 20d: 32.5%). Max pain ranged from $6.00 to $7.50. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2012-12-21: Highest Volume — 63,486 contracts
  • 2012-12-10: Largest IV spike — 28.5% change
  • 2012-12-12: Highest IV Rank — 58.1%
  • 2012-12-19: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.45$5.93$6.85$5.93$6.34
Max Pain$7.20$6.00$7.50$6.00$7.50
ATM IV45.8%34.4%58.9%40.5%43.9%
Expected Move13.4%11.9%14.5%12.3%13.7%
HV 20d32.5%23.3%41.6%34.5%41.6%
HV 60d41.0%39.4%42.7%42.7%42.3%
IV Rank32.6%10.2%58.1%22.2%28.9%
IV Percentile33.0%0.8%84.9%7.5%23.0%
Term Structure-1.4%-6.5%3.4%2.0%-2.5%
VWIV49.1%41.7%56.9%43.1%51.1%
Skew 25d-2.1%-8.5%4.5%-0.2%-8.1%
Skew 10d-1.6%-9.4%12.8%-1.2%-3.6%
Call IV 25d51.3%45.9%59.2%49.2%57.6%
Put IV 25d49.1%45.4%51.2%49.0%49.5%
Bid-Ask Spread %4.291.959.354.873.94
Gamma HHI0.240.190.300.300.27
Net GEX370.4K-712.6K1.4M-380.6K-133.5K
Net DEX27.1M-6.5M57.5M54.0M48.3M
Net VEX-591.2K-657.5K-526.8K-545.1K-539.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.111.550.210.21
Total Volume26,625.458,69563,48610,99919,388
Total OI878,824.6837,078934,930837,078875,939

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$5.93$6.0040.5%12.3%34.5%22.2%43.1%-0.2%2.0%-380.6K54.0M-545.1K0.214.87N/AN/A9,1081,891487,856349,222
2012-12-04$6.04$6.0036.2%11.9%34.2%13.8%41.7%2.1%2.6%-187.5K47.8M-560.2K1.554.54N/AN/A4,4476,896490,417349,867
2012-12-05$6.18$6.0034.4%12.6%31.8%10.2%43.8%4.5%2.8%22.8K37.4M-587.6K1.494.36N/AN/A10,93516,270491,942355,381
2012-12-06$6.41$6.0040.8%13.0%32.1%22.8%46.0%-0.9%1.9%323.5K25.9M-600.2K0.226.02N/AN/A28,8466,223494,793353,013
2012-12-07$6.44$7.5039.2%13.4%28.0%19.6%47.7%0.6%0.2%593.4K19.6M-610.6K0.642.53N/AN/A23,15614,833513,207354,684
2012-12-10$6.67$7.5050.3%14.1%28.9%41.3%49.1%0.4%-4.0%1.0M2.6M-629.5K0.845.28N/AN/A16,30113,745517,161354,842
2012-12-11$6.77$7.5047.5%13.2%28.2%35.8%48.1%1.7%-2.4%1.0M327.4K-638.9K0.388.26N/AN/A15,4445,861516,257365,676
2012-12-12$6.71$7.5058.9%14.2%27.9%58.1%47.0%3.1%-5.8%849.2K7.4M-623.7K0.709.35N/AN/A12,1738,542515,003368,504
2012-12-13$6.66$7.5049.7%14.2%24.4%40.0%50.0%-0.4%-4.5%1.1M6.4M-644.2K0.624.26N/AN/A23,93614,832518,060363,533
2012-12-14$6.85$7.5048.6%13.9%23.3%38.0%49.9%-0.6%-3.6%1.2M-6.5M-657.5K0.144.15N/AN/A43,2706,140528,815372,363
2012-12-17$6.61$7.5048.7%14.0%28.5%38.2%51.4%-4.1%-3.7%976.2K11.1M-626.1K0.453.72N/AN/A16,7177,564535,003372,683
2012-12-18$6.70$7.5049.4%14.2%28.5%39.6%51.8%-2.6%-4.1%1.0M11.2M-616.1K0.723.76N/AN/A22,63016,183530,486376,067
2012-12-19$6.82$7.5050.7%14.5%28.5%42.0%50.8%-1.3%-6.5%1.2M2.2M-630.1K0.193.63N/AN/A15,5213,020540,477386,089
2012-12-20$6.79$7.5050.4%14.4%28.3%41.4%49.6%-3.1%-4.7%1.4M3.5M-631.8K0.792.70N/AN/A13,46910,621542,638385,895
2012-12-21$6.32$7.5044.7%12.8%39.8%30.3%49.7%-3.8%3.4%-712.6K49.3M-546.7K0.392.62N/AN/A45,51217,974546,672388,258
2012-12-24$6.23$7.5044.9%12.9%40.4%30.8%56.9%-6.6%0.1%-429.1K53.1M-545.0K0.111.95N/AN/A20,0082,147493,926348,591
2012-12-26$6.18$7.5043.9%12.6%40.6%28.8%49.7%-7.7%1.1%-461.3K55.6M-526.8K0.702.79N/AN/A5,1273,568510,601350,085
2012-12-27$6.22$7.5044.8%12.8%40.4%30.5%55.4%-7.4%0.2%-426.5K54.5M-537.6K0.293.13N/AN/A12,6303,676509,844351,333
2012-12-28$6.13$7.5049.4%13.2%40.1%39.6%48.5%-8.5%-0.7%-468.2K57.5M-526.9K0.303.96N/AN/A10,7293,176518,689352,620
2012-12-31$6.34$7.5043.9%13.7%41.6%28.9%51.1%-8.1%-2.5%-133.5K48.3M-539.6K0.213.94N/AN/A16,0153,373523,170352,769