MU Options History — March 2015 In March 2015, MU traded between $26.57 and $31.27. ATM implied volatility averaged 41.0%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 4.1% (HV 20d: 36.9%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.69.
Notable Days 2015-03-31 : Highest Volume — 155,583 contracts2015-03-25 : Largest IV spike — 13.4% change2015-03-13 : Highest IV Rank — 42.5%2015-03-31 : Largest Expected Move — 14.7%Monthly Statistics Metric Avg Min Max Open Close Price $28.16 $26.57 $31.27 $31.27 $27.16 Max Pain $29.50 $29.00 $31.00 $31.00 $29.00 ATM IV 41.0% 35.1% 43.8% 35.1% 43.4% Expected Move 11.9% 8.9% 14.7% 8.9% 14.7% HV 20d 36.9% 30.8% 46.3% 41.2% 32.7% HV 60d 38.4% 36.3% 39.9% 36.3% 39.9% IV Rank 34.2% 16.7% 42.5% 16.7% 41.5% IV Percentile 61.7% 24.2% 78.2% 24.2% 78.2% Term Structure -0.9% -3.0% 1.8% 1.8% -1.5% VWIV 40.9% 31.0% 49.3% 31.0% 49.3% Skew 25d 4.4% 3.4% 5.3% 5.3% 3.6% Skew 10d 8.2% 3.9% 11.2% 11.2% 9.1% Call IV 25d 39.1% 35.0% 42.8% 35.0% 41.6% Put IV 25d 43.5% 39.5% 46.5% 40.3% 45.3% Bid-Ask Spread % 6.46 4.53 8.76 7.38 6.38 Gamma HHI 0.08 0.07 0.09 0.09 0.07 Net GEX 3.2M -1.6M 15.6M 15.6M 3.5M Net DEX 116.6M -621.7M 440.5M -621.7M 221.2M Net VEX -7.3M -8.3M -6.4M -8.3M -7.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.29 1.34 0.55 0.55 Total Volume 87,757.045 49,962 155,583 67,709 155,583 Total OI 1,667,379.182 1,564,003 1,772,308 1,566,263 1,707,043
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 2015-03-02 $31.27 $31.00 35.1% 8.9% 41.2% 16.7% 31.0% 5.3% 1.8% 15.6M -621.7M -8.3M 0.55 7.38 N/A N/A 43,603 24,106 852,304 713,959 2015-03-03 $29.63 $31.00 38.0% 9.8% 44.6% 25.3% 33.4% 3.8% 1.7% 4.5M -162.6M -8.0M 0.62 8.26 N/A N/A 71,572 44,535 867,591 725,578 2015-03-04 $29.24 $31.00 38.8% 9.8% 44.6% 27.8% 33.0% 4.6% 0.2% 2.3M -56.0M -7.9M 0.59 8.62 N/A N/A 53,352 31,686 888,309 733,638 2015-03-05 $29.26 $30.00 39.1% 11.2% 44.6% 28.5% 39.2% 4.8% 0.0% 4.4M -73.6M -7.9M 1.04 8.36 N/A N/A 37,196 38,714 906,184 739,765 2015-03-06 $28.46 $30.00 39.5% 11.7% 45.2% 29.7% 40.0% 3.5% 1.4% -1.0M 153.3M -7.6M 0.63 4.53 N/A N/A 47,169 29,726 912,940 748,762 2015-03-09 $28.66 $29.00 41.2% 11.6% 44.8% 34.7% 40.9% 4.5% -0.9% 4.0M 40.2M -7.6M 0.61 6.70 N/A N/A 35,959 21,789 903,561 727,207 2015-03-10 $27.61 $29.00 43.2% 11.9% 46.3% 40.7% 40.5% 4.7% -1.4% -195.7K 288.3M -7.1M 0.77 4.80 N/A N/A 47,725 36,700 917,587 733,872 2015-03-11 $27.88 $29.00 42.9% 12.1% 31.3% 39.9% 41.3% 4.9% -1.0% 1.9M 195.9M -7.3M 0.29 5.12 N/A N/A 49,417 14,156 940,505 737,828 2015-03-12 $28.02 $29.00 43.4% 12.1% 31.5% 41.4% 41.5% 5.0% -1.4% 2.4M 169.0M -7.4M 0.29 5.11 N/A N/A 67,884 19,829 953,658 742,537 2015-03-13 $28.72 $29.00 43.8% 12.1% 30.8% 42.5% 42.4% 3.6% -3.0% 7.1M -46.8M -7.7M 0.71 5.32 N/A N/A 43,155 30,598 961,310 748,850 2015-03-16 $28.51 $29.00 42.2% 12.0% 30.8% 37.8% 41.9% 4.9% -0.9% 5.8M 30.6M -7.5M 0.53 5.29 N/A N/A 40,027 21,307 948,766 744,220 2015-03-17 $27.66 $29.00 42.6% 12.1% 31.1% 39.0% 42.4% 4.9% -1.7% 681.3K 266.1M -7.0M 0.89 5.30 N/A N/A 31,497 28,017 960,899 749,497 2015-03-18 $28.16 $29.00 42.4% 12.2% 32.4% 38.5% 42.2% 4.8% -2.3% 4.8M 128.2M -7.2M 0.49 8.21 N/A N/A 54,604 26,505 970,502 750,846 2015-03-19 $28.05 $29.00 41.5% 12.0% 32.3% 35.8% 40.2% 5.1% -1.9% 4.9M 169.0M -7.2M 0.46 5.58 N/A N/A 43,663 20,013 981,935 761,017 2015-03-20 $28.68 $29.00 37.0% 10.7% 33.6% 22.2% 38.2% 4.0% -1.1% 9.9M -17.4M -7.3M 1.01 4.62 N/A N/A 53,114 53,548 1,001,063 771,245 2015-03-23 $28.02 $30.00 38.2% 11.6% 33.8% 25.9% 39.9% 4.7% -0.9% 750.8K 122.2M -6.9M 0.78 7.11 N/A N/A 40,682 31,558 878,666 685,337 2015-03-24 $27.96 $30.00 37.9% 11.6% 33.4% 25.0% 40.1% 4.0% -1.2% 363.5K 132.6M -6.9M 0.69 5.74 N/A N/A 29,650 20,312 896,288 700,358 2015-03-25 $26.57 $30.00 43.0% 13.0% 37.2% 40.1% 44.6% 5.1% -1.7% -1.6M 440.5M -6.4M 1.34 7.25 N/A N/A 62,905 84,510 912,400 712,324 2015-03-26 $26.61 $29.00 43.5% 13.5% 37.1% 41.7% 46.4% 4.9% -1.9% -1.4M 422.9M -6.7M 0.55 7.01 N/A N/A 98,267 54,393 939,414 740,462 2015-03-27 $26.68 $29.00 41.4% 13.1% 37.2% 35.5% 44.6% 3.4% -1.5% 1.1M 404.0M -6.8M 1.09 8.76 N/A N/A 53,155 57,931 978,102 759,133 2015-03-30 $26.65 $29.00 43.5% 14.2% 35.9% 41.6% 47.7% 3.4% -1.6% -98.4K 360.1M -6.8M 0.68 6.61 N/A N/A 48,081 32,462 934,125 742,755 2015-03-31 $27.16 $29.00 43.4% 14.7% 32.7% 41.5% 49.3% 3.6% -1.5% 3.5M 221.2M -7.2M 0.55 6.38 N/A N/A 100,063 55,520 952,871 754,172
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