MU Options History — December 2014 In December 2014, MU traded between $32.98 and $36.39. ATM implied volatility averaged 40.4%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 15.2% (HV 20d: 25.2%). Max pain ranged from $29.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.83.
Notable Days 2014-12-16 : Highest Volume — 166,281 contracts2014-12-08 : Largest IV spike — 16.0% change2014-12-15 : Highest IV Rank — 45.3%2014-12-16 : Largest Expected Move — 12.9%Monthly Statistics Metric Avg Min Max Open Close Price $34.98 $32.98 $36.39 $35.00 $35.01 Max Pain $31.14 $29.00 $35.00 $31.00 $35.00 ATM IV 40.4% 32.0% 48.8% 32.6% 41.4% Expected Move 11.3% 10.4% 12.9% 11.1% 10.9% HV 20d 25.2% 21.8% 29.3% 21.9% 23.5% HV 60d 39.9% 36.1% 43.1% 43.0% 36.1% IV Rank 25.6% 6.0% 45.3% 7.3% 28.0% IV Percentile 47.2% 7.5% 81.3% 9.5% 54.4% Term Structure 0.7% -4.2% 9.7% 6.2% -1.3% VWIV 41.7% 36.8% 52.6% 38.4% 39.0% Skew 25d 3.9% 0.2% 6.8% 2.5% 5.4% Skew 10d 7.6% 2.6% 14.5% 2.8% 10.9% Call IV 25d 39.3% 28.5% 46.6% 32.3% 39.7% Put IV 25d 43.2% 30.2% 52.7% 34.8% 45.1% Bid-Ask Spread % 6.23 3.97 10.34 4.90 4.16 Gamma HHI 0.10 0.08 0.14 0.12 0.08 Net GEX 34.5M 19.6M 47.2M 36.1M 30.6M Net DEX -3.52B -4.04B -2.74B -3.42B -3.59B Net VEX -8.3M -9.1M -7.8M -8.1M -8.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.28 1.41 0.94 0.73 Total Volume 99,644.727 43,792 166,281 104,306 84,960 Total OI 2,721,042.955 2,561,300 2,868,581 2,561,300 2,797,273
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 2014-12-01 $35.00 $31.00 32.6% 11.1% 21.9% 7.3% 38.4% 2.5% 6.2% 36.1M -3.42B -8.1M 0.94 4.90 N/A N/A 53,719 50,587 1,502,620 1,058,680 2014-12-02 $35.60 $31.00 32.2% 10.9% 22.3% 6.5% 38.4% 6.4% 6.8% 38.3M -3.64B -8.1M 0.77 6.28 N/A N/A 43,901 33,976 1,515,684 1,073,257 2014-12-03 $36.14 $31.00 32.0% 11.0% 22.5% 6.0% 40.8% 0.5% 6.1% 43.8M -3.90B -7.9M 0.73 5.53 N/A N/A 85,165 62,594 1,531,312 1,079,767 2014-12-04 $36.07 $30.00 33.4% 11.0% 22.5% 9.4% 38.1% 1.7% 6.0% 42.4M -3.88B -8.0M 0.50 5.06 N/A N/A 55,680 27,653 1,554,351 1,106,374 2014-12-05 $36.39 $30.00 32.3% 11.0% 21.8% 6.7% 42.3% 1.7% 9.7% 45.3M -4.04B -8.0M 0.91 6.48 N/A N/A 52,118 47,548 1,567,384 1,100,747 2014-12-08 $35.95 $30.00 37.5% 11.1% 22.0% 18.8% 46.3% 2.2% -1.0% 33.8M -3.77B -8.0M 0.69 3.97 N/A N/A 56,869 39,446 1,536,768 1,087,900 2014-12-09 $35.66 $29.00 41.8% 11.4% 22.4% 28.9% 37.8% 6.8% -3.3% 33.7M -3.70B -8.2M 0.57 4.89 N/A N/A 67,050 38,398 1,562,544 1,098,505 2014-12-10 $34.83 $29.00 43.0% 11.9% 24.4% 31.8% 49.1% 2.3% 0.2% 32.3M -3.38B -8.5M 0.73 6.10 N/A N/A 58,016 42,112 1,580,450 1,103,412 2014-12-11 $35.14 $29.00 43.7% 11.6% 24.3% 33.4% 44.7% 3.5% -4.2% 38.0M -3.53B -8.4M 0.95 5.61 N/A N/A 55,867 53,119 1,595,889 1,115,700 2014-12-12 $34.01 $29.00 46.8% 12.2% 27.4% 40.6% 52.6% 0.2% 1.1% 25.2M -3.02B -8.8M 0.90 8.65 N/A N/A 69,799 63,028 1,602,842 1,132,180 2014-12-15 $33.51 $29.00 48.8% 12.7% 27.8% 45.3% 49.3% 5.6% -1.3% 27.3M -2.87B -8.7M 0.62 7.14 N/A N/A 97,464 60,141 1,600,789 1,123,378 2014-12-16 $32.98 $29.00 48.7% 12.9% 28.1% 45.3% 44.8% 6.1% -2.4% 28.5M -2.74B -8.9M 1.01 6.64 N/A N/A 82,576 83,705 1,647,410 1,129,298 2014-12-17 $33.84 $29.00 47.3% 12.6% 28.8% 41.8% 44.7% 5.6% 1.4% 31.8M -3.16B -9.1M 0.95 10.34 N/A N/A 57,178 54,166 1,688,875 1,157,103 2014-12-18 $34.42 $29.00 44.9% 12.2% 29.3% 36.3% 43.6% 4.5% -0.6% 38.0M -3.45B -8.8M 1.01 6.60 N/A N/A 46,568 46,966 1,695,752 1,154,744 2014-12-19 $34.49 $29.00 42.6% 11.7% 29.3% 30.9% 43.7% 4.6% -1.1% 47.2M -3.50B -8.5M 0.28 8.22 N/A N/A 72,988 20,620 1,706,858 1,161,723 2014-12-22 $34.64 $0.00 41.0% 10.7% 27.1% 27.1% 37.4% 5.0% -0.8% 33.2M -3.48B -8.2M 0.86 8.35 N/A N/A 41,282 35,593 1,624,341 1,092,695 2014-12-23 $34.99 $35.00 39.1% 10.6% 26.9% 22.5% 37.6% 4.3% -0.4% 34.2M -3.62B -8.2M 1.14 6.39 N/A N/A 32,357 36,745 1,642,828 1,107,231 2014-12-24 $34.91 $35.00 38.9% 10.5% 27.0% 22.2% 36.8% 4.7% -0.9% 31.2M -3.57B -8.2M 1.17 6.16 N/A N/A 20,150 23,642 1,641,963 1,116,232 2014-12-26 $35.02 $35.00 39.9% 10.6% 25.4% 24.5% 37.3% 4.2% -2.1% 19.6M -3.62B -8.1M 0.93 4.87 N/A N/A 36,121 33,664 1,646,519 1,119,677 2014-12-29 $35.56 $35.00 39.9% 10.4% 25.8% 24.5% 37.3% 4.4% -1.1% 35.2M -3.81B -7.8M 1.41 5.19 N/A N/A 48,086 67,765 1,625,916 1,104,721 2014-12-30 $35.40 $35.00 40.2% 10.7% 23.9% 25.3% 37.5% 4.5% -0.9% 32.7M -3.73B -7.9M 0.53 5.61 N/A N/A 34,403 18,399 1,636,113 1,135,140 2014-12-31 $35.01 $35.00 41.4% 10.9% 23.5% 28.0% 39.0% 5.4% -1.3% 30.6M -3.59B -8.1M 0.73 4.16 N/A N/A 49,185 35,775 1,657,999 1,139,274
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