MU Options History — May 2014 In May 2014, MU traded between $25.86 and $28.61. ATM implied volatility averaged 38.1%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 1.4% (HV 20d: 39.5%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.61.
Notable Days 2014-05-15 : Highest Volume — 192,607 contracts2014-05-27 : Largest IV spike — 23.8% change2014-05-30 : Highest IV Rank — 23.4%2014-05-01 : Largest Expected Move — 12.4%Monthly Statistics Metric Avg Min Max Open Close Price $27.09 $25.86 $28.61 $26.25 $28.59 Max Pain $20.00 $20.00 $20.00 $20.00 $20.00 ATM IV 38.1% 33.2% 44.6% 40.7% 44.6% Expected Move 11.3% 10.8% 12.4% 12.4% 10.9% HV 20d 39.5% 28.4% 54.3% 54.3% 28.5% HV 60d 40.7% 39.5% 41.8% 40.1% 41.5% IV Rank 9.5% 0.0% 23.4% 14.9% 23.4% IV Percentile 14.6% 0.0% 46.8% 25.8% 46.8% Term Structure 1.8% -1.3% 8.4% -1.0% -1.2% VWIV 39.6% 38.0% 44.4% 41.8% 38.0% Skew 25d 3.1% 1.5% 4.9% 2.9% 4.6% Skew 10d 6.4% 3.4% 11.3% 6.3% 9.5% Call IV 25d 37.2% 30.7% 44.1% 39.9% 44.1% Put IV 25d 40.3% 33.4% 48.7% 42.8% 48.7% Bid-Ask Spread % 13.69 9.70 23.62 23.62 19.61 Gamma HHI 0.12 0.09 0.24 0.11 0.12 Net GEX 29.7M 24.4M 41.4M 32.9M 27.2M Net DEX -2.17B -2.50B -1.80B -2.05B -2.47B Net VEX -7.9M -8.2M -7.6M -8.0M -7.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.32 1.19 0.43 0.48 Total Volume 99,044.048 56,195 192,607 150,818 102,562 Total OI 2,114,503.667 1,992,070 2,213,304 2,090,467 2,147,805
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 2014-05-01 $26.25 $20.00 40.7% 12.4% 54.3% 14.9% 41.8% 2.9% -1.0% 32.9M -2.05B -8.0M 0.43 23.62 N/A N/A 105,705 45,113 1,304,515 785,952 2014-05-02 $26.31 $20.00 38.6% 11.5% 53.9% 10.5% 40.2% 3.2% -0.4% 26.6M -2.08B -8.0M 0.32 9.98 N/A N/A 116,616 37,565 1,325,060 796,502 2014-05-05 $26.74 $20.00 39.0% 11.4% 48.1% 11.2% 39.3% 2.8% 0.2% 27.5M -2.14B -8.2M 0.66 11.05 N/A N/A 39,131 25,881 1,303,768 758,232 2014-05-06 $26.68 $20.00 39.3% 11.5% 44.9% 12.0% 39.7% 1.5% 0.1% 26.7M -2.15B -8.0M 0.38 10.98 N/A N/A 92,519 35,063 1,313,917 769,008 2014-05-07 $26.42 $20.00 38.4% 11.4% 45.2% 10.0% 39.0% 2.9% 0.9% 29.3M -2.07B -8.2M 0.56 10.13 N/A N/A 45,163 25,158 1,367,626 788,367 2014-05-08 $26.93 $20.00 37.8% 11.4% 45.3% 8.7% 39.0% 2.1% 0.1% 33.0M -2.28B -8.0M 0.85 21.80 N/A N/A 64,624 54,793 1,373,864 793,300 2014-05-09 $26.84 $20.00 37.7% 11.3% 41.5% 8.7% 39.4% 2.3% 0.3% 33.0M -2.23B -8.1M 0.71 9.70 N/A N/A 40,057 28,466 1,379,501 816,508 2014-05-12 $27.51 $20.00 36.4% 11.2% 39.5% 5.9% 38.4% 2.3% 0.6% 37.7M -2.43B -7.9M 0.47 14.00 N/A N/A 48,337 22,842 1,360,199 778,939 2014-05-13 $27.63 $20.00 35.4% 11.2% 38.6% 4.0% 38.0% 2.4% 0.7% 41.4M -2.47B -7.7M 0.47 16.65 N/A N/A 38,162 18,033 1,365,042 785,387 2014-05-14 $26.86 $20.00 35.0% 11.2% 41.1% 3.0% 38.5% 2.9% 1.5% 29.6M -2.18B -7.8M 0.71 11.63 N/A N/A 48,406 34,376 1,356,459 792,656 2014-05-15 $25.86 $20.00 37.7% 11.5% 44.4% 8.7% 39.4% 2.5% 0.5% 24.4M -1.80B -7.9M 0.60 9.88 N/A N/A 120,408 72,199 1,359,829 803,083 2014-05-16 $26.03 $20.00 36.1% 11.3% 39.4% 5.3% 44.4% 2.3% 0.8% 36.8M -1.93B -8.1M 0.49 12.66 N/A N/A 61,223 30,203 1,409,820 803,484 2014-05-19 $26.94 $20.00 35.4% 11.3% 36.0% 3.9% 39.8% 3.2% 6.0% 26.2M -2.00B -8.0M 1.19 13.80 N/A N/A 44,956 53,586 1,253,843 738,227 2014-05-20 $26.55 $20.00 36.5% 11.4% 34.7% 6.2% 41.1% 2.9% 7.4% 24.9M -1.88B -8.0M 0.51 12.10 N/A N/A 83,167 42,399 1,266,751 770,072 2014-05-21 $26.99 $20.00 34.9% 11.4% 35.1% 2.9% 39.8% 3.5% 7.6% 27.2M -2.04B -8.0M 0.76 16.13 N/A N/A 39,525 30,224 1,290,154 778,409 2014-05-22 $27.17 $20.00 33.2% 11.2% 35.1% 0.0% 40.1% 3.5% 8.1% 26.8M -2.08B -7.9M 0.66 17.77 N/A N/A 37,510 24,714 1,295,254 792,999 2014-05-23 $27.33 $20.00 34.0% 11.1% 32.3% 1.5% 40.5% 2.7% 8.4% 25.6M -2.13B -7.8M 0.85 12.10 N/A N/A 49,349 42,062 1,299,055 804,448 2014-05-27 $28.06 $20.00 42.0% 11.2% 31.0% 18.1% 38.1% 4.4% -1.3% 28.1M -2.27B -7.7M 0.37 10.31 N/A N/A 77,126 28,844 1,257,160 792,557 2014-05-28 $28.61 $20.00 43.3% 10.8% 31.0% 20.7% 38.0% 4.9% -0.5% 31.9M -2.50B -7.6M 0.72 10.12 N/A N/A 67,189 48,422 1,287,794 804,733 2014-05-29 $28.58 $20.00 43.1% 10.9% 28.4% 20.4% 38.0% 4.2% -1.3% 27.4M -2.47B -7.7M 0.52 13.45 N/A N/A 38,379 19,868 1,298,396 835,902 2014-05-30 $28.59 $20.00 44.6% 10.9% 28.5% 23.4% 38.0% 4.6% -1.2% 27.2M -2.47B -7.8M 0.48 19.61 N/A N/A 69,191 33,371 1,303,748 844,057
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