MU Options History — September 2013

In September 2013, MU traded between $14.01 and $17.62. ATM implied volatility averaged 54.7%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 17.0% (HV 20d: 37.7%). Max pain ranged from $10.00 to $17.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.50.

Notable Days

2013-09-10: Highest Volume — 273,544 contracts
2013-09-16: Largest IV spike — 6.0% change
2013-09-30: Highest IV Rank — 53.1%
2013-09-10: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.43	$14.01	$17.62	$14.01	$17.47
Max Pain	$15.06	$10.00	$17.00	$13.50	$15.00
ATM IV	54.7%	49.7%	58.8%	51.6%	58.8%
Expected Move	13.8%	12.8%	15.6%	15.0%	12.9%
HV 20d	37.7%	28.7%	48.0%	42.8%	29.5%
HV 60d	42.7%	41.6%	44.1%	42.9%	41.9%
IV Rank	44.8%	34.7%	53.1%	38.6%	53.1%
IV Percentile	91.5%	75.0%	98.8%	84.9%	98.8%
Term Structure	-2.5%	-7.3%	1.2%	-0.1%	-4.1%
VWIV	48.3%	43.1%	54.2%	52.3%	43.8%
Skew 25d	2.2%	0.6%	4.5%	2.1%	1.8%
Skew 10d	5.0%	0.6%	8.2%	4.8%	5.1%
Call IV 25d	54.2%	49.3%	58.9%	52.3%	58.0%
Put IV 25d	56.4%	51.2%	60.2%	54.3%	59.8%
Bid-Ask Spread %	6.04	4.06	20.49	4.86	4.06
Gamma HHI	0.14	0.12	0.18	0.18	0.12
Net GEX	25.4M	20.4M	27.8M	20.4M	27.3M
Net DEX	-1.75B	-2.13B	-949.5M	-949.5M	-1.98B
Net VEX	-6.3M	-6.5M	-6.0M	-6.0M	-6.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.22	0.85	0.34	0.85
Total Volume	122,878.7	53,914	273,544	63,636	141,948
Total OI	2,573,344.95	2,384,866	2,743,201	2,384,866	2,622,954

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
2013-09-03	$14.01	$13.50	51.6%	15.0%	42.8%	38.6%	52.3%	2.1%	-0.1%	20.4M	-949.5M	-6.0M	0.34	4.86	N/A	N/A	47,599	16,037	1,636,363	748,503
2013-09-04	$14.75	$14.00	49.7%	14.2%	46.6%	34.7%	51.3%	1.9%	0.1%	24.4M	-1.22B	-6.1M	0.47	4.70	N/A	N/A	174,298	81,312	1,656,138	755,311
2013-09-05	$15.17	$15.00	50.5%	14.5%	46.5%	36.4%	51.0%	2.6%	0.8%	23.8M	-1.33B	-6.1M	0.59	4.62	N/A	N/A	74,969	43,888	1,631,776	790,175
2013-09-06	$15.26	$15.00	52.0%	14.9%	46.4%	39.3%	52.6%	1.4%	0.1%	23.1M	-1.38B	-6.1M	0.60	4.95	N/A	N/A	55,194	33,124	1,650,698	792,448
2013-09-09	$15.62	$15.00	51.9%	14.9%	46.9%	39.2%	52.1%	2.3%	-1.1%	24.1M	-1.46B	-6.1M	0.43	4.45	N/A	N/A	51,179	21,916	1,628,139	791,665
2013-09-10	$16.26	$15.00	54.4%	15.6%	48.0%	44.1%	54.2%	1.2%	-1.8%	24.0M	-1.68B	-6.0M	0.39	4.85	N/A	N/A	196,392	77,152	1,628,855	801,558
2013-09-11	$16.49	$15.00	51.9%	14.9%	40.1%	39.2%	52.2%	0.6%	-1.3%	25.3M	-1.80B	-6.3M	0.33	5.52	N/A	N/A	47,990	15,683	1,701,858	837,990
2013-09-12	$16.20	$0.00	51.2%	14.6%	40.6%	37.8%	51.4%	1.2%	1.2%	25.6M	-1.69B	-6.3M	0.78	4.14	N/A	N/A	60,831	47,384	1,706,877	836,579
2013-09-13	$16.20	$15.50	53.3%	15.3%	35.7%	42.0%	54.2%	1.7%	-0.1%	24.2M	-1.68B	-6.4M	0.51	6.23	N/A	N/A	113,939	58,363	1,720,318	865,582
2013-09-16	$16.44	$0.00	56.5%	12.9%	35.3%	48.4%	48.1%	2.2%	-5.6%	24.8M	-1.78B	-6.5M	0.40	20.49	N/A	N/A	53,759	21,383	1,754,996	876,121
2013-09-17	$16.84	$10.00	56.3%	12.9%	34.6%	48.0%	44.7%	2.1%	-7.0%	25.9M	-1.94B	-6.4M	0.48	10.01	N/A	N/A	72,976	35,223	1,768,029	877,120
2013-09-18	$17.27	$15.00	57.2%	12.9%	34.8%	49.8%	45.2%	2.4%	-7.3%	25.9M	-2.10B	-6.4M	0.32	9.05	N/A	N/A	113,062	36,204	1,786,580	894,635
2013-09-19	$17.16	$17.00	55.0%	13.1%	34.4%	45.5%	44.9%	4.5%	-1.4%	26.6M	-2.05B	-6.4M	0.22	5.52	N/A	N/A	76,541	16,638	1,804,704	902,358
2013-09-20	$17.23	$17.00	56.0%	13.0%	34.4%	47.5%	45.2%	3.6%	-0.9%	27.3M	-2.09B	-6.5M	0.38	4.86	N/A	N/A	38,974	14,940	1,834,511	905,643
2013-09-23	$17.05	$17.00	57.1%	13.0%	35.0%	49.8%	43.8%	2.2%	-4.9%	26.8M	-1.90B	-6.4M	0.63	4.27	N/A	N/A	51,683	32,336	1,745,116	826,688
2013-09-24	$17.04	$17.00	58.0%	13.0%	34.8%	51.6%	45.7%	3.4%	-6.1%	26.8M	-1.89B	-6.3M	0.65	5.05	N/A	N/A	103,792	67,041	1,745,051	838,657
2013-09-25	$16.97	$15.00	57.7%	12.9%	28.7%	50.9%	45.1%	3.1%	-6.0%	27.2M	-1.87B	-6.4M	0.76	4.30	N/A	N/A	40,453	30,833	1,787,875	882,599
2013-09-26	$17.47	$15.00	56.6%	12.8%	29.1%	48.7%	43.1%	3.1%	-2.2%	27.8M	-2.06B	-6.4M	0.61	4.13	N/A	N/A	78,624	48,259	1,796,938	892,290
2013-09-27	$17.62	$15.00	58.3%	12.9%	28.9%	52.1%	45.1%	1.3%	-2.1%	26.7M	-2.13B	-6.5M	0.33	4.84	N/A	N/A	124,332	41,323	1,822,407	920,794
2013-09-30	$17.47	$15.00	58.8%	12.9%	29.5%	53.1%	43.8%	1.8%	-4.1%	27.3M	-1.98B	-6.5M	0.85	4.06	N/A	N/A	76,913	65,035	1,757,405	865,549