MU Options History — June 2014 In June 2014, MU traded between $28.66 and $32.95. ATM implied volatility averaged 41.3%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 14.2% (HV 20d: 27.1%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.54.
Notable Days 2014-06-23 : Highest Volume — 346,244 contracts2014-06-24 : Largest IV drop — 25.1% change2014-06-18 : Highest IV Rank — 34.8%2014-06-18 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $30.90 $28.66 $32.95 $28.66 $32.95 Max Pain $20.29 $20.00 $22.00 $20.00 $22.00 ATM IV 41.3% 31.1% 46.7% 44.2% 31.7% Expected Move 10.8% 10.5% 11.1% 10.9% 10.5% HV 20d 27.1% 22.8% 32.3% 28.5% 31.7% HV 60d 40.8% 38.2% 42.1% 41.5% 39.0% IV Rank 19.5% 0.0% 34.8% 22.5% 1.6% IV Percentile 35.7% 0.0% 56.0% 45.6% 0.8% Term Structure -1.4% -3.2% 0.7% -1.8% 0.4% VWIV 38.2% 36.8% 43.9% 38.5% 36.8% Skew 25d 2.9% 0.8% 4.4% 4.4% 1.9% Skew 10d 7.1% 3.8% 13.1% 9.1% 4.2% Call IV 25d 40.5% 31.5% 45.1% 42.9% 31.7% Put IV 25d 43.4% 32.8% 48.5% 47.3% 33.6% Bid-Ask Spread % 16.07 8.82 59.69 10.85 8.82 Gamma HHI 0.12 0.07 0.22 0.11 0.10 Net GEX 28.5M 5.7M 47.8M 28.2M 33.3M Net DEX -2.96B -3.39B -2.39B -2.39B -3.37B Net VEX -7.2M -7.7M -6.5M -7.7M -6.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.54 0.20 0.99 0.40 0.56 Total Volume 124,062.429 42,965 346,244 42,965 153,967 Total OI 2,226,445.095 2,066,929 2,426,414 2,066,929 2,205,997
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 2014-06-02 $28.66 $20.00 44.2% 10.9% 28.5% 22.5% 38.5% 4.4% -1.8% 28.2M -2.39B -7.7M 0.40 10.85 N/A N/A 30,739 12,226 1,262,115 804,814 2014-06-03 $28.67 $20.00 44.2% 10.8% 28.1% 22.6% 38.7% 4.1% -2.1% 30.2M -2.39B -7.7M 0.48 11.96 N/A N/A 35,808 17,257 1,272,764 810,744 2014-06-04 $28.97 $20.00 44.1% 10.7% 28.1% 22.5% 37.5% 3.6% -2.8% 33.3M -2.50B -7.5M 0.34 10.04 N/A N/A 34,247 11,799 1,280,643 815,370 2014-06-05 $29.04 $20.00 44.8% 10.8% 27.7% 23.8% 38.6% 4.2% -3.2% 35.0M -2.52B -7.5M 0.57 14.17 N/A N/A 28,471 16,138 1,284,603 820,217 2014-06-06 $29.54 $20.00 42.9% 10.7% 27.5% 19.8% 38.6% 3.7% -2.6% 47.8M -2.69B -7.3M 0.55 13.41 N/A N/A 55,315 30,635 1,284,383 824,984 2014-06-09 $29.00 $20.00 43.0% 10.9% 28.6% 20.0% 38.3% 3.2% -2.6% 29.0M -2.45B -7.4M 0.41 11.52 N/A N/A 66,283 27,289 1,265,483 827,494 2014-06-10 $29.51 $20.00 42.9% 10.8% 28.0% 19.8% 38.0% 3.5% -2.8% 31.0M -2.63B -7.3M 0.69 9.67 N/A N/A 50,975 35,301 1,283,795 842,486 2014-06-11 $30.99 $20.00 43.9% 10.9% 32.3% 22.0% 38.0% 2.9% -2.8% 27.9M -3.10B -6.8M 0.62 14.18 N/A N/A 188,334 117,667 1,297,324 853,865 2014-06-12 $30.86 $20.00 44.2% 10.9% 30.0% 22.6% 38.3% 3.2% -2.8% 21.8M -3.01B -7.2M 0.20 13.58 N/A N/A 93,244 19,005 1,333,786 914,583 2014-06-13 $31.17 $20.00 44.2% 10.8% 24.9% 28.2% 38.1% 2.4% -2.5% 26.2M -3.17B -7.3M 0.26 18.26 N/A N/A 89,292 23,650 1,370,586 922,152 2014-06-16 $31.91 $20.00 45.9% 11.0% 25.4% 32.7% 38.1% 2.0% -0.9% 25.8M -3.28B -7.2M 0.50 12.91 N/A N/A 86,243 43,311 1,338,524 888,637 2014-06-17 $32.25 $20.00 45.8% 11.1% 23.7% 32.3% 36.9% 2.7% -0.9% 25.8M -3.39B -7.0M 0.38 20.72 N/A N/A 69,556 26,291 1,359,613 903,744 2014-06-18 $32.06 $20.00 46.7% 11.1% 22.8% 34.8% 37.8% 3.0% -0.6% 25.1M -3.32B -7.2M 0.74 16.62 N/A N/A 72,157 53,339 1,376,387 914,152 2014-06-19 $31.81 $20.00 44.1% 10.9% 23.4% 28.1% 43.9% 2.6% -0.8% 22.8M -3.20B -7.1M 0.99 13.25 N/A N/A 54,162 53,507 1,374,010 924,691 2014-06-20 $31.85 $20.00 44.0% 10.8% 23.5% 27.8% 37.6% 3.0% -0.4% 26.2M -3.18B -7.2M 0.45 17.98 N/A N/A 82,153 36,944 1,395,687 956,488 2014-06-23 $31.26 $20.00 44.0% 10.7% 25.4% 27.7% 39.9% 3.4% -2.1% 21.1M -2.84B -7.1M 0.86 59.69 N/A N/A 185,669 160,575 1,321,612 878,720 2014-06-24 $32.50 $20.00 32.9% 10.5% 27.0% 0.0% 37.1% 1.8% 0.6% 29.6M -3.29B -6.7M 0.82 18.98 N/A N/A 162,458 133,447 1,374,664 973,451 2014-06-25 $32.34 $20.00 31.6% 10.7% 26.9% 0.0% 36.8% 2.3% 0.7% 36.1M -3.26B -6.8M 0.56 14.14 N/A N/A 48,176 26,789 1,392,641 984,852 2014-06-26 $32.00 $22.00 32.2% 10.7% 27.5% 1.5% 37.1% 1.7% 0.3% 35.7M -3.13B -6.8M 0.48 12.76 N/A N/A 63,274 30,642 1,399,845 993,027 2014-06-27 $31.51 $22.00 31.1% 10.7% 28.4% 0.0% 36.9% 0.8% 0.5% 5.7M -2.95B -7.0M 0.52 13.93 N/A N/A 52,068 26,908 1,419,706 1,006,708 2014-06-30 $32.95 $22.00 31.7% 10.5% 31.7% 1.6% 36.8% 1.9% 0.4% 33.3M -3.37B -6.5M 0.56 8.82 N/A N/A 98,610 55,357 1,340,556 865,441
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