MU Options History — March 2013

In March 2013, MU traded between $8.25 and $10.04. ATM implied volatility averaged 41.6%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 3.1% (HV 20d: 38.5%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.37.

Notable Days

  • 2013-03-21: Highest Volume — 180,651 contracts
  • 2013-03-14: Largest IV spike — 35.1% change
  • 2013-03-21: Highest IV Rank — 44.9%
  • 2013-03-21: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.30$8.25$10.04$8.25$9.98
Max Pain$7.95$7.00$8.00$8.00$8.00
ATM IV41.6%32.6%52.1%37.9%38.7%
Expected Move12.3%10.8%14.9%10.8%11.1%
HV 20d38.5%33.1%47.4%34.6%46.8%
HV 60d35.1%31.6%37.0%34.6%36.4%
IV Rank24.3%6.8%44.9%17.1%18.6%
IV Percentile28.6%0.4%71.4%10.7%15.5%
Term Structure-0.1%-5.2%4.2%4.2%2.7%
VWIV43.8%38.0%55.4%38.0%38.7%
Skew 25d1.8%-2.3%4.0%2.5%2.1%
Skew 10d7.8%2.9%13.6%13.6%4.9%
Call IV 25d43.8%39.5%56.6%39.5%40.0%
Put IV 25d45.6%41.1%54.3%42.0%42.1%
Bid-Ask Spread %4.272.498.917.962.90
Gamma HHI0.350.200.590.330.43
Net GEX4.8M2.1M15.6M2.2M9.5M
Net DEX-148.8M-289.5M-51.3M-51.3M-244.8M
Net VEX-1.2M-1.6M-799.3K-799.3K-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.150.980.980.33
Total Volume68,641.621,279180,65121,27935,181
Total OI732,103.85547,728959,454552,993935,777

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$8.25$8.0037.9%10.8%34.6%17.1%38.0%2.5%4.2%2.2M-51.3M-799.3K0.987.96N/AN/A10,76510,514288,678264,315
2013-03-04$8.40$7.0044.0%11.6%33.1%28.9%40.0%4.0%1.7%2.5M-57.2M-799.6K0.318.91N/AN/A43,72113,471284,096263,632
2013-03-05$8.73$8.0045.2%11.4%34.9%31.4%40.4%0.7%0.9%3.6M-89.6M-850.9K0.355.04N/AN/A27,1809,459304,543269,869
2013-03-06$8.65$8.0038.9%11.6%35.2%19.0%41.5%1.5%0.4%3.6M-82.3M-859.5K0.545.05N/AN/A14,5917,901308,904274,270
2013-03-07$8.94$8.0036.9%11.7%36.6%15.2%41.8%2.1%0.5%4.3M-108.9M-884.4K0.763.85N/AN/A30,02422,679312,332277,466
2013-03-08$9.20$8.0033.2%11.5%35.1%7.8%40.5%1.6%1.3%4.1M-134.8M-901.4K0.242.49N/AN/A84,33719,945317,009292,896
2013-03-11$9.35$8.0035.3%11.8%35.1%12.0%41.6%2.9%0.6%3.4M-135.8M-940.8K0.273.07N/AN/A47,78113,048319,802299,655
2013-03-12$9.32$8.0036.6%12.3%35.1%14.6%43.0%1.9%0.7%3.4M-133.1M-992.5K0.213.00N/AN/A59,21112,412337,107307,007
2013-03-13$9.51$8.0032.6%12.4%35.3%6.8%44.0%2.9%-0.6%3.2M-153.5M-1.1M0.252.96N/AN/A51,07212,998357,217316,546
2013-03-14$9.69$8.0044.1%12.6%35.4%29.1%44.3%1.1%-1.4%2.8M-177.7M-1.1M0.412.87N/AN/A62,14425,270385,809322,890
2013-03-15$9.37$8.0047.9%13.7%38.5%36.7%48.0%2.9%-2.1%2.1M-133.4M-1.1M0.305.24N/AN/A90,62327,352407,577343,206
2013-03-18$9.18$8.0049.0%14.1%38.4%38.8%50.1%2.1%-3.1%2.9M-98.3M-1.2M0.292.85N/AN/A34,89110,195414,158316,279
2013-03-19$9.24$8.0049.8%14.3%37.7%40.3%51.3%0.3%-3.3%3.2M-116.9M-1.2M0.174.90N/AN/A85,61014,203439,833322,443
2013-03-20$9.31$8.0051.5%14.8%35.2%43.7%54.3%-1.1%-5.2%4.0M-136.4M-1.3M0.155.16N/AN/A62,3639,308485,341331,164
2013-03-21$9.07$8.0052.1%14.9%35.3%44.9%55.4%-2.3%-4.2%3.8M-126.4M-1.4M0.325.75N/AN/A136,36044,291522,997335,479
2013-03-22$10.04$8.0039.4%11.3%47.0%20.0%40.3%2.6%1.9%15.6M-289.5M-1.5M0.313.87N/AN/A96,21529,436592,547366,907
2013-03-25$9.88$8.0039.7%11.4%47.4%20.6%40.7%3.0%1.1%7.3M-231.4M-1.5M0.403.62N/AN/A38,74415,515558,248342,874
2013-03-26$9.92$8.0039.3%11.3%47.4%19.8%40.3%2.7%1.0%7.4M-234.6M-1.5M0.413.35N/AN/A15,7926,544563,394346,038
2013-03-27$9.96$8.0040.1%11.5%47.0%21.4%41.1%2.0%0.4%7.4M-240.0M-1.5M0.402.54N/AN/A29,81711,869566,317347,455
2013-03-28$9.98$8.0038.7%11.1%46.8%18.6%38.7%2.1%2.7%9.5M-244.8M-1.6M0.332.90N/AN/A26,5248,657582,096353,681