MU Options History — March 2014 In March 2014, MU traded between $21.91 and $25.11. ATM implied volatility averaged 53.3%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 30.6% (HV 20d: 22.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.74.
Notable Days 2014-03-13 : Highest Volume — 341,144 contracts2014-03-13 : Largest IV spike — 14.1% change2014-03-13 : Highest IV Rank — 58.2%2014-03-13 : Largest Expected Move — 12.8%Monthly Statistics Metric Avg Min Max Open Close Price $23.99 $21.91 $25.11 $24.48 $23.66 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 53.3% 47.8% 61.3% 50.9% 56.6% Expected Move 11.6% 11.2% 12.8% 11.2% 11.4% HV 20d 22.7% 18.7% 38.6% 20.3% 38.6% HV 60d 35.6% 34.0% 38.2% 36.7% 38.2% IV Rank 41.5% 30.9% 58.2% 37.1% 47.6% IV Percentile 77.7% 57.5% 98.0% 70.2% 89.7% Term Structure -2.5% -6.4% 1.9% -0.7% -3.2% VWIV 40.1% 38.2% 42.3% 40.1% 39.0% Skew 25d 3.9% 2.6% 5.8% 3.1% 3.6% Skew 10d 8.3% 5.2% 12.9% 9.9% 12.9% Call IV 25d 52.2% 46.1% 60.7% 51.8% 54.7% Put IV 25d 56.2% 50.1% 64.3% 54.9% 58.3% Bid-Ask Spread % 19.24 9.69 54.42 36.55 11.94 Gamma HHI 0.15 0.09 0.23 0.14 0.11 Net GEX 24.5M 14.1M 43.2M 14.1M 25.2M Net DEX -1.46B -1.81B -737.3M -1.42B -1.51B Net VEX -7.9M -8.5M -7.6M -7.7M -7.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.28 2.00 0.74 0.59 Total Volume 148,911.143 54,618 341,144 271,739 202,165 Total OI 2,593,673.619 2,300,092 2,795,245 2,300,092 2,613,960
Daily Data (21 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 2014-03-03 $24.48 $15.00 50.9% 11.2% 20.3% 37.1% 40.1% 3.1% -0.7% 14.1M -1.42B -7.7M 0.74 36.55 N/A N/A 156,610 115,129 1,313,317 986,775 2014-03-04 $25.11 $15.00 50.0% 11.4% 21.1% 35.3% 39.2% 2.6% -1.6% 22.4M -1.74B -7.9M 0.81 11.08 N/A N/A 84,637 68,350 1,366,222 996,397 2014-03-05 $24.83 $15.00 50.6% 11.4% 21.8% 36.6% 40.4% 3.6% -0.1% 22.9M -1.68B -7.8M 0.95 9.69 N/A N/A 66,440 62,982 1,392,416 988,166 2014-03-06 $24.77 $15.00 49.9% 11.5% 21.6% 35.1% 39.7% 3.8% 1.1% 23.4M -1.69B -7.9M 0.52 11.71 N/A N/A 99,294 51,269 1,422,730 998,521 2014-03-07 $24.42 $15.00 47.8% 11.2% 19.2% 30.9% 38.2% 4.0% 1.9% 19.0M -1.57B -8.0M 2.00 14.45 N/A N/A 50,329 100,555 1,470,546 1,017,640 2014-03-10 $24.85 $15.00 51.8% 11.5% 19.3% 39.0% 40.6% 4.5% -3.3% 21.7M -1.76B -7.9M 0.32 11.04 N/A N/A 121,883 39,137 1,443,056 1,035,382 2014-03-11 $24.67 $15.00 53.1% 11.4% 18.7% 41.5% 40.2% 4.6% -4.4% 25.7M -1.71B -8.0M 0.69 11.66 N/A N/A 35,833 24,545 1,500,487 1,045,161 2014-03-12 $24.84 $15.00 53.7% 11.5% 18.8% 42.8% 40.6% 5.8% -4.6% 27.3M -1.79B -7.9M 0.87 15.18 N/A N/A 60,364 52,709 1,508,121 1,049,684 2014-03-13 $24.11 $15.00 61.3% 12.8% 21.4% 58.2% 42.3% 3.6% -6.4% 22.8M -1.48B -8.3M 0.28 54.42 N/A N/A 266,511 74,633 1,533,778 1,052,038 2014-03-14 $23.96 $15.00 57.0% 12.0% 21.4% 48.7% 40.9% 4.9% -5.0% 23.9M -1.55B -8.5M 0.45 20.90 N/A N/A 87,221 38,870 1,679,491 1,071,907 2014-03-17 $23.93 $15.00 54.5% 11.7% 21.2% 43.3% 40.5% 4.0% -1.6% 33.7M -1.54B -8.2M 1.70 18.46 N/A N/A 44,195 75,316 1,666,362 1,056,320 2014-03-18 $24.49 $15.00 52.8% 11.7% 22.4% 39.9% 39.9% 3.5% -2.2% 43.2M -1.81B -8.2M 1.10 22.76 N/A N/A 58,695 64,736 1,679,781 1,089,500 2014-03-19 $23.98 $15.00 52.8% 11.5% 23.4% 39.9% 41.4% 4.1% -2.3% 35.4M -1.54B -8.1M 0.36 24.76 N/A N/A 42,376 15,208 1,694,215 1,101,030 2014-03-20 $24.01 $15.00 51.4% 11.5% 23.3% 37.0% 40.1% 3.2% -2.2% 32.4M -1.47B -7.9M 0.36 20.73 N/A N/A 101,774 36,785 1,653,881 1,089,718 2014-03-21 $23.66 $15.00 54.7% 11.5% 23.2% 43.9% 40.2% 3.7% -2.4% 20.1M -1.31B -7.8M 0.38 17.90 N/A N/A 114,442 44,007 1,659,635 1,097,023 2014-03-24 $23.48 $15.00 52.8% 11.6% 23.0% 39.9% 40.5% 3.3% -1.9% 22.9M -1.30B -7.7M 0.68 20.83 N/A N/A 54,638 37,417 1,519,518 1,038,851 2014-03-25 $23.53 $15.00 51.4% 11.2% 22.1% 37.0% 39.3% 3.6% -2.5% 23.3M -1.31B -7.6M 0.70 20.92 N/A N/A 32,076 22,542 1,535,282 1,053,680 2014-03-26 $22.83 $15.00 53.9% 11.5% 24.3% 42.2% 39.2% 4.4% -3.6% 18.8M -1.03B -7.6M 0.41 15.53 N/A N/A 120,615 49,423 1,542,082 1,060,346 2014-03-27 $22.24 $15.00 56.9% 11.4% 25.6% 48.3% 39.7% 4.8% -4.1% 17.7M -829.3M -7.7M 0.68 12.09 N/A N/A 100,890 68,768 1,609,838 1,086,688 2014-03-28 $21.91 $15.00 56.1% 11.8% 25.9% 46.7% 39.1% 4.2% -2.6% 19.4M -737.3M -7.6M 0.95 21.32 N/A N/A 94,389 89,376 1,648,764 1,098,837 2014-03-31 $23.66 $15.00 56.6% 11.4% 38.6% 47.6% 39.0% 3.6% -3.2% 25.2M -1.51B -7.6M 0.59 11.94 N/A N/A 127,515 74,650 1,557,602 1,056,358
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