MU Options History — August 2014 In August 2014, MU traded between $29.68 and $33.30. ATM implied volatility averaged 37.6%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 1.1% (HV 20d: 36.5%). Max pain ranged from $22.00 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.61.
Notable Days 2014-08-12 : Highest Volume — 158,678 contracts2014-08-25 : Largest IV spike — 16.0% change2014-08-07 : Highest IV Rank — 31.3%2014-08-08 : Largest Expected Move — 12.6%Monthly Statistics Metric Avg Min Max Open Close Price $31.83 $29.68 $33.30 $31.09 $32.60 Max Pain $29.30 $22.00 $37.00 $22.00 $36.00 ATM IV 37.6% 30.3% 43.9% 41.9% 39.9% Expected Move 11.5% 10.6% 12.6% 12.0% 10.6% HV 20d 36.5% 25.1% 39.7% 37.6% 25.1% HV 60d 33.0% 32.5% 34.3% 33.4% 32.7% IV Rank 16.7% 0.0% 31.3% 26.5% 23.0% IV Percentile 26.3% 0.0% 55.6% 43.3% 39.7% Term Structure 1.3% -1.7% 8.6% -1.1% 0.4% VWIV 40.0% 36.5% 44.3% 42.5% 37.5% Skew 25d 3.9% 2.4% 6.6% 4.1% 5.7% Skew 10d 7.5% 4.5% 14.6% 8.8% 6.7% Call IV 25d 36.6% 29.5% 43.3% 41.8% 38.8% Put IV 25d 40.5% 32.4% 46.4% 45.9% 44.5% Bid-Ask Spread % 12.98 4.03 24.91 19.78 4.64 Gamma HHI 0.12 0.07 0.62 0.18 0.08 Net GEX 30.2M 16.2M 113.6M 32.3M 21.7M Net DEX -2.38B -2.90B -1.65B -2.16B -2.55B Net VEX -8.5M -8.9M -8.1M -8.2M -8.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.34 1.56 0.41 0.73 Total Volume 89,162.667 40,076 158,678 144,902 59,100 Total OI 2,244,060.429 2,108,283 2,321,906 2,202,179 2,308,681
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 2014-08-01 $31.09 $22.00 41.9% 12.0% 37.6% 26.5% 42.5% 4.1% -1.1% 32.3M -2.16B -8.2M 0.41 19.78 N/A N/A 102,675 42,227 1,350,696 851,483 2014-08-04 $31.69 $25.00 41.1% 12.1% 37.5% 24.4% 42.3% 6.6% -0.1% 23.7M -2.34B -8.2M 0.34 19.43 N/A N/A 46,308 15,576 1,279,298 828,985 2014-08-05 $31.09 $25.00 42.5% 11.9% 37.8% 27.8% 42.0% 3.5% -1.0% 22.1M -2.17B -8.1M 0.75 19.85 N/A N/A 70,743 53,019 1,291,716 835,807 2014-08-06 $30.68 $25.00 41.1% 12.3% 37.9% 24.6% 41.0% 2.5% -1.2% 22.3M -1.98B -8.6M 0.62 16.88 N/A N/A 66,897 41,461 1,337,072 873,051 2014-08-07 $29.68 $25.00 43.9% 12.3% 39.3% 31.3% 42.4% 3.1% -0.2% 16.2M -1.65B -8.5M 0.57 24.30 N/A N/A 75,049 42,709 1,340,369 881,668 2014-08-08 $30.04 $25.00 41.0% 12.6% 39.7% 24.2% 44.2% 3.9% 0.3% 27.8M -1.77B -8.7M 0.34 24.91 N/A N/A 75,329 25,987 1,365,861 897,118 2014-08-11 $30.74 $25.00 39.4% 12.3% 39.7% 20.5% 40.8% 3.2% -1.2% 20.4M -2.05B -8.7M 0.50 21.85 N/A N/A 35,149 17,470 1,323,295 867,683 2014-08-12 $30.70 $25.00 39.0% 12.4% 39.2% 19.4% 43.0% 3.6% -1.7% 20.7M -2.04B -8.6M 0.48 16.23 N/A N/A 107,358 51,320 1,332,733 870,948 2014-08-13 $31.38 $25.00 36.2% 12.2% 39.5% 12.7% 40.3% 4.4% 0.5% 25.0M -2.27B -8.9M 0.64 21.46 N/A N/A 57,050 36,641 1,379,098 907,324 2014-08-14 $31.04 $25.00 35.4% 12.1% 36.4% 10.6% 40.3% 2.9% -0.1% 19.4M -2.13B -8.8M 0.38 21.95 N/A N/A 48,540 18,642 1,377,114 922,478 2014-08-15 $31.49 $25.00 35.1% 11.9% 36.8% 9.9% 44.3% 2.9% -0.1% 113.6M -2.31B -8.7M 0.44 20.22 N/A N/A 74,477 32,508 1,397,705 924,201 2014-08-18 $32.04 $0.00 31.5% 11.1% 37.5% 1.1% 39.1% 2.9% 8.6% 25.3M -2.46B -8.4M 0.67 4.23 N/A N/A 66,913 44,631 1,295,671 863,624 2014-08-19 $32.40 $32.00 30.3% 11.0% 37.2% 0.0% 38.2% 2.8% 7.5% 29.0M -2.60B -8.4M 0.43 4.03 N/A N/A 50,800 21,692 1,331,671 890,091 2014-08-20 $33.30 $32.00 31.3% 10.8% 38.6% 2.3% 38.0% 2.5% 6.9% 30.8M -2.89B -8.3M 0.60 4.71 N/A N/A 80,066 48,430 1,343,464 899,484 2014-08-21 $33.19 $32.00 31.3% 10.7% 38.6% 2.3% 36.8% 2.6% 7.3% 31.6M -2.86B -8.5M 0.73 4.81 N/A N/A 42,735 31,007 1,369,134 929,357 2014-08-22 $33.29 $37.00 32.2% 10.7% 38.3% 4.5% 37.2% 2.4% 8.1% 29.5M -2.90B -8.4M 0.59 4.79 N/A N/A 32,374 19,102 1,373,894 932,040 2014-08-25 $33.21 $37.00 37.4% 10.7% 34.6% 16.9% 37.7% 4.3% -1.5% 30.9M -2.80B -8.4M 1.56 4.67 N/A N/A 31,533 49,135 1,349,260 902,850 2014-08-26 $32.88 $36.00 39.3% 10.8% 34.9% 21.5% 37.5% 5.1% -0.7% 27.9M -2.65B -8.6M 0.77 5.07 N/A N/A 41,767 32,281 1,359,260 929,612 2014-08-27 $32.99 $36.00 40.4% 10.7% 34.6% 24.2% 38.0% 5.7% -1.7% 30.8M -2.69B -8.6M 0.67 4.20 N/A N/A 26,066 17,573 1,373,555 933,515 2014-08-28 $32.81 $36.00 39.7% 10.6% 25.4% 22.5% 36.5% 6.3% -1.0% 32.7M -2.63B -8.5M 0.49 4.64 N/A N/A 26,834 13,242 1,376,755 927,648 2014-08-29 $32.60 $36.00 39.9% 10.6% 25.1% 23.0% 37.5% 5.7% 0.4% 21.7M -2.55B -8.3M 0.73 4.64 N/A N/A 34,185 24,915 1,381,470 927,211
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