MU Options History — October 2013 In October 2013, MU traded between $16.55 and $18.49. ATM implied volatility averaged 48.7%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 13.1% (HV 20d: 35.7%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.48.
Notable Days 2013-10-11 : Highest Volume — 478,740 contracts2013-10-11 : Largest IV drop — 23.8% change2013-10-09 : Highest IV Rank — 70.5%2013-10-07 : Largest Expected Move — 13.2%Monthly Statistics Metric Avg Min Max Open Close Price $17.36 $16.55 $18.49 $17.61 $17.68 Max Pain $16.48 $15.00 $17.00 $15.00 $17.00 ATM IV 48.7% 39.3% 67.3% 59.1% 39.3% Expected Move 12.5% 11.5% 13.2% 13.0% 11.5% HV 20d 35.7% 23.5% 44.0% 28.7% 43.9% HV 60d 40.2% 37.7% 43.0% 41.7% 39.2% IV Rank 32.7% 13.6% 70.5% 53.8% 13.6% IV Percentile 55.9% 19.4% 99.6% 99.6% 19.4% Term Structure -0.5% -6.2% 5.2% -4.2% 0.3% VWIV 43.3% 40.5% 46.2% 45.5% 40.7% Skew 25d 0.5% -2.0% 1.4% 1.3% 0.0% Skew 10d 2.1% -2.9% 4.7% 4.7% 0.6% Call IV 25d 49.4% 40.1% 68.2% 59.0% 40.1% Put IV 25d 49.9% 40.2% 68.9% 60.3% 40.2% Bid-Ask Spread % 6.43 3.69 35.26 4.44 6.67 Gamma HHI 0.13 0.10 0.52 0.12 0.13 Net GEX 29.2M 19.6M 78.5M 27.0M 30.3M Net DEX -1.76B -2.46B -1.09B -2.02B -1.57B Net VEX -7.6M -7.9M -6.6M -6.6M -7.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.48 0.30 1.01 0.44 0.33 Total Volume 165,207.739 47,740 478,740 98,248 80,612 Total OI 2,990,615.217 2,688,799 3,432,878 2,711,609 2,868,779
Daily Data (23 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 2013-10-01 $17.61 $15.00 59.1% 13.0% 28.7% 53.8% 45.5% 1.3% -4.2% 27.0M -2.02B -6.6M 0.44 4.44 N/A N/A 68,374 29,874 1,807,398 904,211 2013-10-02 $17.67 $15.00 58.8% 13.0% 24.5% 53.2% 44.7% 0.9% -4.5% 26.9M -2.06B -6.7M 0.43 5.18 N/A N/A 106,520 45,465 1,838,488 915,839 2013-10-03 $18.02 $15.00 58.7% 12.9% 23.8% 53.0% 44.8% 1.1% -3.7% 26.8M -2.22B -6.8M 0.44 5.08 N/A N/A 148,352 64,586 1,880,822 943,749 2013-10-04 $18.47 $15.00 56.5% 12.9% 24.5% 48.4% 44.6% -1.0% -3.5% 31.5M -2.46B -7.1M 0.42 12.88 N/A N/A 179,259 75,626 1,958,319 981,936 2013-10-07 $18.49 $15.00 61.0% 13.2% 24.1% 57.7% 46.1% 0.2% -4.3% 27.2M -2.39B -7.3M 0.37 5.31 N/A N/A 190,015 71,217 1,961,207 932,220 2013-10-08 $17.93 $15.00 64.8% 13.0% 24.8% 65.3% 46.2% 0.8% -4.6% 28.5M -2.21B -7.7M 0.43 5.96 N/A N/A 161,059 70,032 2,070,253 974,433 2013-10-09 $18.15 $17.00 67.3% 13.0% 24.8% 70.5% 44.0% 0.7% -6.2% 30.3M -2.30B -7.9M 0.31 5.09 N/A N/A 153,263 48,219 2,123,073 996,807 2013-10-10 $18.43 $17.00 62.1% 12.7% 23.5% 59.9% 42.1% 1.4% -2.5% 32.4M -2.46B -7.9M 0.50 35.26 N/A N/A 284,106 141,993 2,182,919 1,015,083 2013-10-11 $16.84 $17.00 47.3% 12.5% 41.6% 29.9% 43.3% -2.0% -0.6% 28.9M -1.70B -7.6M 0.36 4.50 N/A N/A 351,572 127,168 2,288,650 1,087,094 2013-10-14 $17.07 $17.00 47.6% 12.5% 41.6% 30.4% 43.4% -0.6% 3.0% 32.0M -1.90B -7.8M 0.39 4.29 N/A N/A 150,288 58,982 2,282,392 1,035,767 2013-10-15 $16.92 $17.00 47.5% 12.8% 40.9% 30.3% 44.8% -0.5% 3.1% 32.3M -1.84B -7.9M 0.30 4.39 N/A N/A 74,948 22,305 2,336,738 1,058,488 2013-10-16 $16.96 $17.00 44.3% 12.7% 39.8% 23.7% 43.6% 0.5% 5.2% 31.1M -1.82B -7.8M 0.48 4.30 N/A N/A 56,099 26,705 2,328,923 1,066,050 2013-10-17 $17.15 $17.00 42.0% 12.4% 40.0% 19.1% 42.5% 0.6% 0.5% 31.4M -1.89B -7.6M 1.01 5.13 N/A N/A 77,978 79,076 2,305,427 1,063,889 2013-10-18 $17.03 $17.00 40.6% 12.1% 40.0% 16.2% 40.5% 1.2% 0.4% 78.5M -1.82B -7.7M 0.78 4.65 N/A N/A 115,922 90,952 2,325,782 1,107,096 2013-10-21 $16.57 $17.00 41.8% 12.3% 41.0% 18.7% 42.3% 0.8% 0.5% 19.6M -1.10B -7.6M 0.61 4.71 N/A N/A 62,156 37,631 1,795,286 893,513 2013-10-22 $16.76 $17.00 41.6% 12.2% 41.3% 18.3% 41.9% 1.2% 1.0% 21.0M -1.18B -7.7M 0.38 4.80 N/A N/A 35,253 13,534 1,809,943 900,183 2013-10-23 $16.55 $17.00 42.2% 12.3% 41.5% 19.4% 42.8% 1.3% 1.2% 19.8M -1.09B -7.6M 0.44 4.12 N/A N/A 44,260 19,398 1,820,379 910,724 2013-10-24 $16.83 $17.00 40.2% 12.3% 40.5% 15.4% 42.8% 1.2% -0.8% 22.7M -1.21B -7.7M 0.40 3.69 N/A N/A 86,263 34,832 1,838,575 932,414 2013-10-25 $16.58 $17.00 39.3% 12.3% 40.6% 13.6% 41.8% 1.0% -1.1% 20.1M -1.11B -7.7M 0.70 4.51 N/A N/A 40,336 28,232 1,877,872 954,344 2013-10-28 $16.72 $17.00 39.9% 12.3% 40.7% 14.8% 44.4% 0.9% 3.0% 21.0M -1.18B -7.7M 0.67 4.14 N/A N/A 28,573 19,167 1,834,463 938,976 2013-10-29 $17.50 $17.00 39.3% 12.2% 44.0% 13.6% 41.6% 0.1% 3.4% 26.2M -1.48B -7.8M 0.52 3.94 N/A N/A 83,222 43,499 1,846,432 949,135 2013-10-30 $17.39 $17.00 39.5% 12.3% 44.0% 14.0% 42.0% -0.3% 3.4% 26.2M -1.45B -7.9M 0.37 4.91 N/A N/A 53,081 19,774 1,869,936 970,143 2013-10-31 $17.68 $17.00 39.3% 11.5% 43.9% 13.6% 40.7% 0.0% 0.3% 30.3M -1.57B -7.9M 0.33 6.67 N/A N/A 60,793 19,819 1,894,986 973,793
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