MU Options History — February 2014 In February 2014, MU traded between $22.81 and $25.49. ATM implied volatility averaged 40.3%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 9.3% (HV 20d: 30.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.87.
Notable Days 2014-02-21 : Highest Volume — 535,490 contracts2014-02-07 : Largest IV drop — 12.0% change2014-02-05 : Highest IV Rank — 27.8%2014-02-03 : Largest Expected Move — 12.1%Monthly Statistics Metric Avg Min Max Open Close Price $24.49 $22.81 $25.49 $22.81 $24.19 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 40.3% 35.4% 46.3% 45.6% 42.0% Expected Move 11.5% 10.9% 12.1% 12.1% 11.2% HV 20d 30.9% 21.3% 49.4% 49.4% 21.3% HV 60d 38.9% 37.0% 39.9% 39.7% 37.0% IV Rank 15.6% 5.8% 27.8% 26.5% 19.2% IV Percentile 25.0% 4.0% 54.4% 51.6% 33.3% Term Structure 2.3% -0.7% 4.3% 4.2% 3.8% VWIV 40.8% 38.5% 44.7% 44.7% 38.9% Skew 25d 2.9% 1.5% 4.2% 2.0% 4.2% Skew 10d 6.1% 1.6% 11.1% 1.6% 11.1% Call IV 25d 39.4% 33.5% 46.5% 46.0% 39.0% Put IV 25d 42.3% 37.1% 48.0% 48.0% 43.2% Bid-Ask Spread % 11.05 5.34 18.89 5.34 14.25 Gamma HHI 0.13 0.10 0.36 0.11 0.14 Net GEX 21.5M -14.5M 34.2M 29.0M 10.9M Net DEX -2.05B -2.63B -1.39B -1.61B -1.40B Net VEX -7.3M -7.7M -6.6M -7.7M -7.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.35 2.39 0.47 0.38 Total Volume 151,321.368 50,898 535,490 83,916 148,941 Total OI 2,441,190.421 2,251,132 2,569,951 2,377,626 2,403,396
Daily Data (19 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 2014-02-03 $22.81 $15.00 45.6% 12.1% 49.4% 26.5% 44.7% 2.0% 4.2% 29.0M -1.61B -7.7M 0.47 5.34 N/A N/A 57,237 26,679 1,555,491 822,135 2014-02-04 $23.00 $15.00 43.9% 12.0% 48.9% 22.9% 41.4% 1.7% 4.2% 29.9M -1.68B -7.5M 0.52 8.02 N/A N/A 66,427 34,222 1,575,218 831,261 2014-02-05 $23.31 $15.00 46.3% 12.1% 46.1% 27.8% 43.9% 1.5% 4.3% 29.2M -1.82B -7.7M 1.01 7.53 N/A N/A 60,575 61,420 1,583,474 855,711 2014-02-06 $24.11 $15.00 45.7% 11.6% 33.7% 26.6% 39.8% 1.6% -0.7% 29.9M -2.20B -7.6M 0.65 8.77 N/A N/A 144,382 94,427 1,598,955 893,811 2014-02-07 $24.51 $15.00 40.3% 11.6% 32.6% 15.5% 41.3% 2.4% 0.8% -14.5M -2.43B -7.6M 1.15 9.43 N/A N/A 85,605 98,862 1,622,312 947,639 2014-02-10 $24.87 $15.00 41.8% 11.7% 32.2% 18.6% 41.3% 3.3% 2.9% 34.2M -2.46B -7.3M 0.58 5.54 N/A N/A 64,665 37,659 1,551,818 873,882 2014-02-11 $24.71 $15.00 41.9% 11.7% 31.7% 18.8% 43.6% 2.8% 2.5% 33.5M -2.36B -7.3M 2.39 11.99 N/A N/A 31,912 76,267 1,557,208 880,565 2014-02-12 $24.89 $15.00 39.6% 11.5% 31.4% 14.1% 39.6% 2.5% 2.6% 31.6M -2.43B -7.1M 2.06 6.24 N/A N/A 38,870 80,002 1,546,452 904,425 2014-02-13 $24.91 $15.00 38.7% 11.7% 30.8% 12.3% 40.4% 2.3% 1.2% 31.3M -2.43B -7.1M 1.03 11.39 N/A N/A 36,836 37,909 1,563,961 943,205 2014-02-14 $25.08 $15.00 36.3% 11.6% 30.5% 7.5% 40.2% 2.5% 1.6% 31.1M -2.54B -7.0M 1.15 16.45 N/A N/A 75,973 87,282 1,573,795 962,116 2014-02-18 $25.42 $15.00 35.4% 11.5% 27.3% 5.8% 40.1% 2.7% 1.3% 27.4M -2.63B -6.6M 1.29 11.79 N/A N/A 88,656 113,954 1,532,755 928,622 2014-02-19 $25.42 $15.00 36.0% 11.2% 25.5% 6.8% 38.6% 3.3% 1.6% 22.0M -2.53B -6.9M 0.51 11.16 N/A N/A 103,116 52,607 1,546,885 998,351 2014-02-20 $25.49 $15.00 36.0% 11.2% 24.6% 6.9% 41.5% 3.7% 0.7% 16.4M -2.52B -6.8M 0.46 10.21 N/A N/A 102,963 47,237 1,537,788 1,019,401 2014-02-21 $25.08 $15.00 37.3% 11.3% 25.6% 9.5% 39.1% 3.9% 2.6% 14.6M -2.10B -7.3M 0.39 18.89 N/A N/A 385,314 150,176 1,476,343 1,051,556 2014-02-24 $24.75 $15.00 37.5% 11.0% 23.2% 9.9% 39.2% 3.9% 2.1% 14.3M -1.60B -7.3M 0.77 13.63 N/A N/A 57,968 44,918 1,305,777 945,355 2014-02-25 $24.26 $15.00 40.1% 10.9% 24.6% 15.2% 39.4% 3.4% 2.4% 14.0M -1.40B -7.4M 0.69 14.28 N/A N/A 46,723 32,331 1,335,272 970,426 2014-02-26 $24.22 $15.00 39.5% 11.1% 24.6% 13.9% 43.1% 3.4% 2.2% 12.5M -1.40B -7.4M 0.35 13.77 N/A N/A 37,750 13,148 1,353,010 983,016 2014-02-27 $24.19 $15.00 41.4% 11.0% 23.8% 17.9% 38.5% 3.9% 3.4% 11.5M -1.39B -7.4M 0.62 11.27 N/A N/A 93,706 58,387 1,363,385 987,846 2014-02-28 $24.19 $15.00 42.0% 11.2% 21.3% 19.2% 38.9% 4.2% 3.8% 10.9M -1.40B -7.5M 0.38 14.25 N/A N/A 108,142 40,799 1,378,762 1,024,634
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