MU Options History — January 2015 In January 2015, MU traded between $28.99 and $34.80. ATM implied volatility averaged 37.6%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 3.0% (HV 20d: 34.6%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.72.
Notable Days 2015-01-16 : Highest Volume — 540,604 contracts2015-01-07 : Largest IV drop — 18.3% change2015-01-06 : Highest IV Rank — 39.3%2015-01-06 : Largest Expected Move — 12.4%Monthly Statistics Metric Avg Min Max Open Close Price $31.11 $28.99 $34.80 $34.80 $29.26 Max Pain $32.70 $32.00 $35.00 $35.00 $32.00 ATM IV 37.6% 31.9% 46.2% 42.1% 36.1% Expected Move 10.5% 9.1% 12.4% 11.5% 10.2% HV 20d 34.6% 22.8% 40.6% 22.8% 40.6% HV 60d 31.3% 28.8% 36.3% 35.8% 30.5% IV Rank 22.4% 7.2% 39.3% 29.8% 19.7% IV Percentile 35.5% 7.5% 82.1% 58.7% 30.6% Term Structure -0.4% -2.8% 1.0% -0.5% 1.0% VWIV 36.8% 32.6% 42.3% 40.4% 36.5% Skew 25d 5.0% 2.2% 9.8% 5.9% 2.2% Skew 10d 10.6% 7.6% 16.5% 10.2% 8.1% Call IV 25d 36.0% 31.0% 43.1% 41.0% 36.1% Put IV 25d 41.0% 34.7% 52.9% 47.0% 38.2% Bid-Ask Spread % 10.30 7.00 30.23 7.15 8.23 Gamma HHI 0.13 0.06 0.70 0.09 0.06 Net GEX 26.7M 8.7M 71.7M 37.7M 8.7M Net DEX -1.46B -3.49B -34.6M -3.49B -50.5M Net VEX -7.8M -8.3M -7.1M -8.1M -7.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.35 1.13 0.67 0.86 Total Volume 173,710.8 55,860 540,604 170,183 82,240 Total OI 2,365,623.45 1,406,342 3,266,786 2,842,109 1,609,781
Daily Data (20 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 2015-01-02 $34.80 $35.00 42.1% 11.5% 22.8% 29.8% 40.4% 5.9% -0.5% 37.7M -3.49B -8.1M 0.67 7.15 N/A N/A 102,065 68,118 1,682,254 1,159,855 2015-01-05 $33.78 $33.00 46.1% 12.3% 24.8% 39.1% 42.3% 6.8% -1.3% 38.7M -3.11B -8.3M 0.57 7.17 N/A N/A 89,245 50,647 1,704,387 1,155,288 2015-01-06 $32.87 $34.00 46.2% 12.4% 25.8% 39.3% 41.3% 9.8% -2.3% 34.8M -2.67B -8.3M 0.53 10.90 N/A N/A 200,461 106,402 1,725,816 1,180,879 2015-01-07 $32.10 $33.00 37.7% 10.7% 26.5% 19.4% 37.1% 4.0% 0.5% 27.4M -2.44B -7.8M 0.79 10.63 N/A N/A 131,325 103,179 1,807,502 1,233,751 2015-01-08 $33.60 $33.00 34.4% 9.4% 32.1% 14.5% 33.6% 6.1% 0.4% 46.3M -3.20B -7.7M 0.66 7.78 N/A N/A 184,598 121,923 1,817,513 1,261,360 2015-01-09 $33.51 $33.00 33.5% 9.3% 31.2% 11.8% 32.7% 4.8% 0.4% 34.1M -3.22B -8.0M 1.00 9.46 N/A N/A 55,304 55,213 1,881,343 1,309,383 2015-01-12 $31.67 $33.00 38.2% 10.4% 36.4% 25.8% 35.8% 5.5% -2.3% 24.1M -2.34B -7.7M 0.74 7.00 N/A N/A 128,114 94,594 1,814,375 1,251,730 2015-01-13 $30.75 $33.00 38.6% 10.8% 36.1% 27.0% 37.6% 5.4% -0.8% 22.3M -1.94B -7.8M 1.13 7.29 N/A N/A 76,802 86,783 1,865,845 1,285,087 2015-01-14 $30.09 $33.00 40.8% 11.2% 36.4% 33.7% 39.3% 5.6% -1.4% 17.9M -1.61B -7.5M 0.85 7.75 N/A N/A 116,168 99,277 1,866,726 1,306,668 2015-01-15 $29.32 $33.00 40.4% 11.5% 37.0% 32.4% 40.1% 5.1% 0.4% 19.5M -1.30B -7.3M 1.08 30.23 N/A N/A 86,653 93,707 1,872,161 1,321,961 2015-01-16 $28.99 $33.00 39.5% 11.4% 35.0% 29.7% 39.2% 4.4% 0.3% 71.7M -1.04B -7.1M 0.35 13.68 N/A N/A 400,999 139,605 1,903,975 1,362,811 2015-01-20 $29.67 $32.00 37.4% 10.7% 35.7% 23.5% 36.1% 5.8% -0.2% 19.2M -227.5M -7.5M 0.49 12.97 N/A N/A 68,999 33,479 823,568 582,774 2015-01-21 $30.49 $32.00 36.1% 10.3% 37.6% 19.6% 36.6% 4.4% 0.1% 23.6M -471.8M -7.8M 0.47 10.60 N/A N/A 64,085 30,182 852,403 602,771 2015-01-22 $30.85 $32.00 33.3% 9.5% 38.0% 11.3% 34.4% 4.4% 0.5% 24.5M -584.8M -7.8M 0.38 9.29 N/A N/A 105,417 39,886 871,255 616,806 2015-01-23 $30.92 $32.00 31.9% 9.2% 37.7% 7.2% 32.6% 3.7% -0.1% 25.6M -628.7M -8.0M 0.55 12.15 N/A N/A 72,618 40,178 902,622 629,333 2015-01-26 $31.02 $32.00 32.4% 9.1% 37.8% 8.8% 32.6% 4.1% -0.5% 20.5M -562.0M -8.0M 0.99 10.09 N/A N/A 28,116 27,744 849,193 611,420 2015-01-27 $29.65 $32.00 35.5% 9.9% 40.1% 17.8% 34.5% 3.6% -2.8% 13.4M -171.1M -7.7M 1.03 8.36 N/A N/A 46,691 48,187 861,158 626,730 2015-01-28 $29.14 $32.00 36.0% 10.4% 39.2% 19.3% 36.2% 4.4% 1.0% 9.5M -34.6M -7.7M 0.59 7.13 N/A N/A 53,352 31,402 886,275 650,521 2015-01-29 $29.70 $32.00 35.4% 10.2% 40.5% 17.7% 37.7% 4.0% 0.5% 14.9M -196.2M -8.0M 0.60 8.21 N/A N/A 68,866 41,592 904,271 660,918 2015-01-30 $29.26 $32.00 36.1% 10.2% 40.6% 19.7% 36.5% 2.2% 1.0% 8.7M -50.5M -7.9M 0.86 8.23 N/A N/A 44,203 38,037 933,976 675,805
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