MU Options History — July 2014 In July 2014, MU traded between $30.55 and $34.64. ATM implied volatility averaged 34.9%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 2.1% (HV 20d: 32.8%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.44.
Notable Days 2014-07-31 : Highest Volume — 344,890 contracts2014-07-31 : Largest IV spike — 23.9% change2014-07-31 : Highest IV Rank — 30.3%2014-07-31 : Largest Expected Move — 12.2%Monthly Statistics Metric Avg Min Max Open Close Price $33.15 $30.55 $34.64 $33.98 $30.55 Max Pain $22.00 $22.00 $22.00 $22.00 $22.00 ATM IV 34.9% 31.2% 43.5% 31.2% 43.5% Expected Move 11.1% 10.4% 12.2% 10.4% 12.2% HV 20d 32.8% 29.7% 36.7% 32.7% 36.7% HV 60d 32.5% 29.0% 36.9% 36.9% 33.4% IV Rank 9.3% 0.3% 30.3% 0.3% 30.3% IV Percentile 8.9% 0.4% 52.0% 0.4% 52.0% Term Structure 0.1% -2.2% 1.2% 1.1% -2.2% VWIV 38.7% 36.2% 40.9% 36.5% 40.9% Skew 25d 1.4% 0.0% 2.5% 0.7% 2.5% Skew 10d 4.0% -0.6% 7.0% 5.0% 7.0% Call IV 25d 35.0% 31.4% 43.3% 31.6% 43.3% Put IV 25d 36.4% 32.3% 45.8% 32.3% 45.8% Bid-Ask Spread % 20.70 12.96 44.26 14.64 15.93 Gamma HHI 0.11 0.07 0.30 0.10 0.07 Net GEX 31.7M 17.0M 45.8M 32.7M 17.0M Net DEX -3.09B -3.99B -1.92B -3.72B -1.92B Net VEX -6.9M -7.6M -6.3M -6.3M -7.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.44 0.22 0.73 0.38 0.37 Total Volume 120,749.182 38,792 344,890 160,651 344,890 Total OI 2,210,483.682 1,920,348 2,476,341 2,271,069 2,055,374
Daily Data (22 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 2014-07-01 $33.98 $22.00 31.2% 10.4% 32.7% 0.3% 36.5% 0.7% 1.1% 32.7M -3.72B -6.3M 0.38 14.64 N/A N/A 116,618 44,033 1,375,011 896,058 2014-07-02 $33.76 $22.00 31.6% 10.5% 33.1% 1.3% 36.5% 1.9% 0.5% 34.3M -3.64B -6.6M 0.72 14.72 N/A N/A 55,237 39,986 1,394,201 915,065 2014-07-03 $33.73 $22.00 32.1% 10.6% 33.2% 2.6% 36.2% 1.6% 0.2% 29.0M -3.61B -6.7M 0.40 12.96 N/A N/A 44,272 17,758 1,403,659 937,859 2014-07-07 $32.86 $22.00 34.3% 10.8% 35.0% 7.9% 37.9% 1.3% 0.0% 27.4M -3.23B -6.8M 0.47 15.31 N/A N/A 60,903 28,685 1,369,270 908,982 2014-07-08 $33.13 $22.00 35.0% 10.8% 33.9% 9.5% 37.8% 0.8% -0.5% 30.8M -3.34B -6.9M 0.50 17.00 N/A N/A 93,547 46,631 1,393,136 917,859 2014-07-09 $32.89 $22.00 36.0% 10.6% 34.0% 12.0% 37.3% 1.1% -0.6% 36.7M -3.30B -6.9M 0.73 21.13 N/A N/A 77,643 56,402 1,419,986 923,243 2014-07-10 $32.77 $22.00 35.3% 11.0% 29.9% 10.2% 38.9% 1.4% -0.1% 34.2M -3.26B -7.0M 0.45 21.28 N/A N/A 61,210 27,438 1,438,187 945,864 2014-07-11 $32.80 $22.00 35.2% 10.9% 29.8% 10.2% 38.2% 1.0% 0.1% 33.3M -3.28B -6.9M 0.40 16.20 N/A N/A 58,655 23,287 1,459,204 955,334 2014-07-14 $33.59 $22.00 34.3% 10.9% 30.7% 7.8% 38.2% 1.9% 1.1% 36.7M -3.56B -6.6M 0.40 16.81 N/A N/A 72,130 28,601 1,417,474 907,420 2014-07-15 $34.02 $22.00 35.3% 11.5% 30.0% 10.3% 40.4% 1.7% -0.1% 42.0M -3.68B -6.7M 0.34 27.76 N/A N/A 130,376 43,803 1,430,311 921,818 2014-07-16 $34.64 $22.00 35.2% 11.1% 30.3% 10.1% 38.6% 1.7% 0.7% 45.8M -3.99B -6.8M 0.22 16.82 N/A N/A 156,936 34,252 1,473,239 942,328 2014-07-17 $33.05 $22.00 37.4% 11.1% 35.2% 15.6% 38.7% 0.7% -0.6% 33.7M -3.37B -7.0M 0.47 17.39 N/A N/A 104,041 48,483 1,485,356 946,719 2014-07-18 $33.15 $22.00 35.0% 11.2% 35.0% 9.6% 38.6% 1.5% 0.3% 45.4M -3.42B -7.0M 0.46 21.05 N/A N/A 138,719 63,663 1,512,021 964,320 2014-07-21 $33.07 $22.00 34.4% 11.3% 35.0% 8.2% 39.6% 0.6% -1.0% 19.7M -2.50B -7.0M 0.49 23.43 N/A N/A 45,521 22,272 1,141,730 778,618 2014-07-22 $33.63 $22.00 33.9% 11.3% 34.5% 6.8% 40.1% 2.5% 0.4% 23.2M -2.68B -6.9M 0.28 16.69 N/A N/A 35,923 10,000 1,155,339 788,557 2014-07-23 $33.68 $22.00 33.8% 11.2% 31.9% 6.7% 39.8% 2.4% 0.7% 26.5M -2.72B -6.9M 0.26 26.83 N/A N/A 79,743 20,406 1,172,341 792,751 2014-07-24 $33.88 $22.00 32.3% 11.3% 31.8% 3.0% 39.2% 1.2% 1.2% 43.4M -2.87B -6.8M 0.72 22.48 N/A N/A 44,093 31,620 1,212,308 794,445 2014-07-25 $33.42 $22.00 33.8% 11.2% 32.0% 6.8% 38.9% 0.0% 1.0% 30.0M -2.67B -7.0M 0.26 22.71 N/A N/A 92,633 24,102 1,220,048 804,933 2014-07-28 $31.98 $22.00 37.1% 11.6% 35.5% 14.8% 40.0% 0.4% -0.7% 21.3M -2.30B -7.2M 0.34 24.62 N/A N/A 100,693 34,233 1,195,394 784,323 2014-07-29 $32.13 $22.00 35.8% 11.5% 31.6% 11.6% 39.2% 2.1% 0.3% 25.6M -2.38B -7.4M 0.63 25.35 N/A N/A 35,712 22,540 1,232,643 798,227 2014-07-30 $32.53 $22.00 35.1% 11.0% 29.7% 9.8% 39.2% 2.4% -0.1% 28.9M -2.52B -7.4M 0.39 44.26 N/A N/A 27,900 10,892 1,241,808 807,878 2014-07-31 $30.55 $22.00 43.5% 12.2% 36.7% 30.3% 40.9% 2.5% -2.2% 17.0M -1.92B -7.6M 0.37 15.93 N/A N/A 252,348 92,542 1,245,170 810,204
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