MU Options History — November 2014 In November 2014, MU traded between $32.27 and $35.95. ATM implied volatility averaged 32.7%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 0.5% (HV 20d: 32.2%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.81.
Notable Days 2014-11-21 : Highest Volume — 205,906 contracts2014-11-21 : Largest IV spike — 5.5% change2014-11-04 : Highest IV Rank — 14.1%2014-11-04 : Largest Expected Move — 11.5%Monthly Statistics Metric Avg Min Max Open Close Price $33.60 $32.27 $35.95 $33.52 $35.95 Max Pain $30.00 $30.00 $30.00 $30.00 $30.00 ATM IV 32.7% 29.4% 36.2% 35.9% 30.3% Expected Move 11.0% 10.5% 11.5% 11.2% 10.6% HV 20d 32.2% 22.5% 54.6% 54.6% 22.5% HV 60d 42.9% 42.5% 43.4% 43.4% 42.9% IV Rank 5.9% 0.0% 14.1% 13.5% 1.9% IV Percentile 7.0% 0.0% 20.6% 18.3% 1.2% Term Structure -0.0% -1.2% 1.4% -1.2% 0.3% VWIV 38.4% 36.4% 40.0% 39.7% 37.9% Skew 25d 3.3% 1.7% 5.2% 5.1% 1.7% Skew 10d 7.8% 4.5% 11.8% 11.7% 11.8% Call IV 25d 31.9% 28.8% 34.8% 33.8% 30.5% Put IV 25d 35.2% 31.3% 39.6% 38.8% 32.2% Bid-Ask Spread % 6.21 4.66 8.35 5.06 5.53 Gamma HHI 0.12 0.10 0.16 0.10 0.13 Net GEX 43.6M 38.0M 53.0M 42.1M 40.0M Net DEX -3.27B -3.83B -2.77B -3.38B -3.83B Net VEX -8.7M -9.5M -7.9M -9.1M -7.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.81 0.34 2.01 0.42 0.59 Total Volume 101,957.684 54,162 205,906 119,128 83,555 Total OI 2,657,285.579 2,546,318 2,746,608 2,617,403 2,581,731
Daily Data (19 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 2014-11-03 $33.52 $30.00 35.9% 11.2% 54.6% 13.5% 39.7% 5.1% -1.2% 42.1M -3.38B -9.1M 0.42 5.06 N/A N/A 83,713 35,415 1,588,965 1,028,438 2014-11-04 $33.40 $30.00 36.2% 11.5% 54.0% 14.1% 39.8% 4.8% -0.0% 43.3M -3.32B -9.5M 0.65 5.61 N/A N/A 38,377 24,977 1,614,414 1,037,664 2014-11-05 $33.74 $30.00 35.5% 11.3% 53.9% 12.4% 38.9% 4.0% -0.1% 44.9M -3.42B -9.3M 0.56 4.74 N/A N/A 36,288 20,347 1,604,692 1,043,589 2014-11-06 $33.35 $30.00 35.1% 11.4% 50.1% 11.4% 38.8% 3.1% 0.1% 44.0M -3.28B -9.3M 0.58 4.66 N/A N/A 44,014 25,573 1,608,661 1,045,465 2014-11-07 $33.00 $30.00 35.8% 11.4% 33.3% 13.2% 39.7% 5.2% 0.2% 45.2M -3.12B -9.3M 0.79 6.45 N/A N/A 64,752 51,002 1,622,700 1,058,725 2014-11-10 $33.08 $30.00 34.3% 11.4% 30.6% 9.6% 39.4% 3.4% -0.6% 41.8M -3.13B -9.1M 1.41 6.16 N/A N/A 35,061 49,512 1,597,515 1,048,108 2014-11-11 $33.18 $30.00 33.9% 11.2% 29.4% 8.6% 39.2% 3.3% -0.1% 43.1M -3.23B -8.7M 1.65 5.81 N/A N/A 30,536 50,286 1,596,776 1,031,542 2014-11-12 $32.96 $30.00 32.8% 11.1% 28.9% 6.0% 38.2% 3.1% -0.5% 44.4M -3.06B -8.9M 0.94 6.33 N/A N/A 47,916 45,187 1,603,257 1,048,737 2014-11-13 $32.91 $30.00 32.6% 11.1% 28.4% 5.4% 37.3% 5.1% 0.0% 45.2M -3.08B -8.9M 2.01 6.53 N/A N/A 42,361 85,325 1,621,194 1,063,415 2014-11-14 $32.62 $30.00 31.7% 11.1% 28.8% 3.4% 40.0% 2.0% -0.7% 39.1M -2.94B -8.9M 0.82 6.56 N/A N/A 49,323 40,432 1,626,052 1,097,388 2014-11-17 $32.27 $30.00 31.7% 11.0% 27.8% 3.4% 38.0% 3.4% 1.0% 38.0M -2.77B -8.7M 0.93 7.56 N/A N/A 80,953 75,620 1,599,208 1,102,307 2014-11-18 $32.89 $30.00 31.4% 10.8% 24.9% 2.5% 36.8% 3.5% 0.8% 46.3M -3.05B -8.6M 0.62 6.09 N/A N/A 74,891 46,754 1,619,058 1,112,170 2014-11-19 $32.96 $30.00 30.5% 10.7% 24.3% 0.5% 38.3% 3.0% 1.4% 43.4M -3.09B -8.6M 0.34 7.02 N/A N/A 40,501 13,661 1,624,585 1,120,610 2014-11-20 $33.20 $30.00 30.1% 10.8% 24.2% 0.0% 37.8% 3.2% 0.3% 46.3M -3.17B -8.6M 0.65 7.33 N/A N/A 60,248 38,919 1,624,726 1,111,173 2014-11-21 $34.26 $30.00 31.7% 10.9% 26.1% 3.9% 38.1% 2.4% 0.3% 53.0M -3.66B -8.2M 0.50 8.35 N/A N/A 137,536 68,370 1,629,006 1,117,602 2014-11-24 $34.73 $30.00 31.3% 10.5% 23.0% 3.0% 37.4% 2.6% -0.5% 42.1M -3.52B -8.2M 0.60 6.10 N/A N/A 85,275 51,480 1,519,136 1,027,876 2014-11-25 $34.75 $30.00 30.2% 10.5% 22.9% 0.3% 37.6% 2.2% -0.5% 40.6M -3.38B -8.2M 1.01 5.87 N/A N/A 37,789 38,024 1,494,058 1,052,260 2014-11-26 $35.62 $30.00 29.4% 10.5% 23.6% 0.0% 36.4% 2.4% -0.4% 45.7M -3.74B -7.9M 0.40 6.27 N/A N/A 73,688 29,535 1,504,105 1,061,518 2014-11-28 $35.95 $30.00 30.3% 10.6% 22.5% 1.9% 37.9% 1.7% 0.3% 40.0M -3.83B -7.9M 0.59 5.53 N/A N/A 52,646 30,909 1,505,427 1,076,304
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