MU Options History — June 2013 In June 2013, MU traded between $11.71 and $14.34. ATM implied volatility averaged 51.6%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 19.2% (HV 20d: 32.3%). Max pain ranged from $10.00 to $14.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.36.
Notable Days 2013-06-19 : Highest Volume — 390,950 contracts2013-06-12 : Largest IV spike — 62.2% change2013-06-12 : Highest IV Rank — 100.0%2013-06-06 : Largest Expected Move — 18.1%Monthly Statistics Metric Avg Min Max Open Close Price $13.14 $11.71 $14.34 $11.73 $14.33 Max Pain $10.45 $10.00 $14.50 $10.00 $14.50 ATM IV 51.6% 41.4% 81.9% 48.2% 41.4% Expected Move 15.1% 11.7% 18.1% 15.3% 11.7% HV 20d 32.3% 27.6% 37.1% 29.5% 35.9% HV 60d 38.8% 35.2% 41.0% 40.7% 35.2% IV Rank 45.6% 23.2% 100.0% 37.1% 23.2% IV Percentile 75.0% 36.1% 100.0% 67.1% 36.1% Term Structure -3.4% -10.2% 2.5% -4.1% 1.5% VWIV 54.1% 42.5% 65.9% 55.3% 42.5% Skew 25d 1.6% -1.0% 4.0% 4.0% 2.0% Skew 10d 3.5% 0.3% 6.4% 5.6% 4.0% Call IV 25d 53.8% 41.6% 64.3% 54.6% 41.6% Put IV 25d 55.4% 43.6% 65.7% 58.6% 43.6% Bid-Ask Spread % 4.46 3.04 5.91 5.09 5.56 Gamma HHI 0.17 0.15 0.23 0.19 0.21 Net GEX 13.5M 7.2M 22.9M 7.5M 18.8M Net DEX -832.3M -1.12B -466.9M -466.9M -1.08B Net VEX -3.5M -4.1M -2.6M -2.6M -4.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.36 0.14 0.61 0.32 0.47 Total Volume 136,984.25 43,884 390,950 65,093 146,447 Total OI 1,625,780.2 1,254,161 1,974,066 1,254,161 1,837,272
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2013-06-03 $11.73 $10.00 48.2% 15.3% 29.5% 37.1% 55.3% 4.0% -4.1% 7.5M -466.9M -2.6M 0.32 5.09 N/A N/A 49,501 15,592 804,761 449,400 2013-06-04 $11.71 $10.00 50.2% 15.5% 29.7% 41.1% 55.6% 2.0% -4.5% 7.2M -478.5M -2.8M 0.31 4.31 N/A N/A 70,817 21,751 841,710 458,384 2013-06-05 $12.02 $11.00 52.6% 16.8% 30.0% 45.7% 60.3% 2.1% -6.5% 7.9M -536.8M -2.9M 0.60 3.90 N/A N/A 37,512 22,485 879,748 469,568 2013-06-06 $12.35 $11.00 49.8% 18.1% 30.1% 40.2% 65.9% 1.5% -10.2% 8.4M -602.2M -3.0M 0.49 4.63 N/A N/A 72,166 35,007 888,851 479,568 2013-06-07 $12.65 $10.00 44.1% 14.5% 27.6% 35.0% 52.1% 1.9% -1.8% 9.3M -685.9M -3.1M 0.28 4.38 N/A N/A 66,998 18,647 934,928 485,235 2013-06-10 $12.95 $10.00 53.3% 15.5% 28.1% 73.0% 57.6% 2.2% -4.2% 10.1M -757.6M -3.2M 0.14 4.69 N/A N/A 127,254 17,460 973,569 483,364 2013-06-11 $12.81 $10.00 50.5% 16.2% 27.7% 64.5% 57.5% 2.4% -5.8% 10.6M -754.7M -3.3M 0.61 5.91 N/A N/A 76,419 46,625 1,022,813 490,180 2013-06-12 $12.49 $10.00 81.9% 17.6% 30.1% 100.0% 61.2% 2.0% -7.7% 9.7M -682.0M -3.4M 0.25 5.13 N/A N/A 83,239 20,700 1,053,927 517,124 2013-06-13 $12.91 $10.00 55.0% 15.8% 31.1% 49.0% 55.8% 1.8% -3.7% 9.7M -786.4M -3.4M 0.41 5.26 N/A N/A 70,242 28,493 1,092,095 530,054 2013-06-14 $12.76 $10.00 56.1% 16.1% 31.7% 51.2% 57.5% 1.8% -4.5% 12.2M -766.6M -3.6M 0.56 4.82 N/A N/A 48,030 26,949 1,136,279 548,672 2013-06-17 $13.24 $10.00 57.5% 16.5% 33.1% 53.8% 58.0% 1.4% -4.1% 13.2M -908.3M -3.6M 0.15 4.45 N/A N/A 166,972 25,405 1,151,254 539,952 2013-06-18 $13.75 $10.00 55.1% 15.8% 34.1% 49.2% 56.9% 2.4% -6.1% 15.0M -1.03B -3.6M 0.41 3.92 N/A N/A 187,356 77,410 1,184,603 542,492 2013-06-19 $13.97 $10.00 58.8% 16.8% 34.0% 56.2% 60.6% -1.0% -9.6% 16.3M -1.12B -3.9M 0.38 4.42 N/A N/A 283,876 107,074 1,265,928 583,311 2013-06-20 $13.54 $10.00 47.5% 13.6% 34.5% 34.8% 48.9% -0.3% 0.0% 19.9M -1.02B -3.9M 0.39 3.48 N/A N/A 141,197 54,532 1,346,803 615,652 2013-06-21 $13.90 $10.00 44.9% 12.9% 33.0% 29.8% 45.9% 0.5% 2.5% 22.9M -1.11B -4.0M 0.27 3.04 N/A N/A 140,794 37,602 1,351,130 622,936 2013-06-24 $13.46 $10.00 50.5% 14.5% 36.1% 40.5% 51.5% 2.2% -1.2% 15.4M -822.1M -3.9M 0.38 4.45 N/A N/A 95,411 36,003 1,180,996 498,206 2013-06-25 $13.75 $11.00 46.2% 13.3% 36.3% 32.4% 47.5% 2.7% 0.1% 17.2M -914.5M -4.0M 0.26 3.55 N/A N/A 34,777 9,107 1,217,779 513,011 2013-06-26 $14.18 $11.00 45.4% 13.0% 37.1% 30.8% 47.1% -0.5% 2.1% 18.8M -1.04B -4.1M 0.19 3.62 N/A N/A 91,664 17,601 1,233,817 515,237 2013-06-27 $14.34 $0.00 42.4% 12.2% 37.1% 25.2% 44.1% 1.0% 0.2% 20.2M -1.08B -4.1M 0.33 4.64 N/A N/A 97,926 32,644 1,251,266 523,729 2013-06-28 $14.33 $14.50 41.4% 11.7% 35.9% 23.2% 42.5% 2.0% 1.5% 18.8M -1.08B -4.1M 0.47 5.56 N/A N/A 99,941 46,506 1,296,261 541,011
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