MU Options History — July 2015 In July 2015, MU traded between $17.19 and $20.10. ATM implied volatility averaged 45.1%, placing in the 48.8% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 34.0% (HV 20d: 79.1%). Max pain ranged from $19.00 to $26.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.57.
Notable Days 2015-07-14 : Highest Volume — 340,092 contracts2015-07-06 : Largest IV spike — 14.8% change2015-07-27 : Highest IV Rank — 82.5%2015-07-27 : Largest Expected Move — 15.8%Monthly Statistics Metric Avg Min Max Open Close Price $18.70 $17.19 $20.10 $18.77 $18.53 Max Pain $19.68 $19.00 $26.00 $26.00 $19.00 ATM IV 45.1% 33.5% 57.0% 33.5% 48.9% Expected Move 12.8% 9.7% 15.8% 10.2% 13.8% HV 20d 79.1% 62.0% 93.5% 72.4% 72.4% HV 60d 54.4% 48.5% 61.8% 48.5% 61.8% IV Rank 48.8% 16.1% 82.5% 16.1% 59.6% IV Percentile 80.8% 26.6% 98.4% 26.6% 94.0% Term Structure 0.8% -3.9% 5.6% 0.3% 2.8% VWIV 45.7% 35.2% 57.2% 36.2% 49.2% Skew 25d -0.4% -6.7% 4.9% 2.5% -1.3% Skew 10d 0.3% -15.0% 14.9% 5.3% -15.0% Call IV 25d 46.6% 33.6% 63.0% 35.3% 50.7% Put IV 25d 46.1% 36.9% 56.4% 37.9% 49.3% Bid-Ask Spread % 17.79 5.72 54.80 12.49 24.58 Gamma HHI 0.14 0.08 0.23 0.17 0.14 Net GEX 6.3M -5.5M 19.2M -5.5M 12.5M Net DEX 554.3M -57.4M 1.04B 1.04B 343.3M Net VEX -5.7M -7.5M -3.9M -3.9M -6.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.57 0.28 1.28 0.36 0.66 Total Volume 154,721.045 85,899 340,092 109,399 149,872 Total OI 2,380,573.5 2,080,760 2,748,732 2,256,268 2,358,032
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 2015-07-01 $18.77 $26.00 33.5% 10.2% 72.4% 16.1% 36.2% 2.5% 0.3% -5.5M 1.04B -3.9M 0.36 12.49 N/A N/A 80,687 28,712 1,347,164 909,104 2015-07-02 $19.09 $26.00 34.5% 9.7% 73.3% 18.9% 35.2% 3.3% 0.4% -4.3M 973.6M -4.4M 0.46 8.92 N/A N/A 118,121 54,542 1,388,852 926,014 2015-07-06 $18.29 $20.00 39.6% 11.9% 73.8% 33.3% 40.7% 4.0% 0.3% -5.1M 1.01B -4.3M 0.52 5.72 N/A N/A 178,680 92,462 1,390,748 924,627 2015-07-07 $18.23 $19.00 40.0% 11.4% 74.0% 34.5% 40.3% 2.7% 1.1% -766.7K 941.4M -4.6M 0.88 8.38 N/A N/A 91,443 80,130 1,514,336 948,658 2015-07-08 $17.65 $19.00 42.1% 11.9% 74.0% 40.5% 41.3% 3.8% -0.2% -2.1M 966.0M -4.4M 0.77 6.86 N/A N/A 51,948 40,094 1,554,939 955,108 2015-07-09 $17.19 $19.00 42.6% 12.0% 73.7% 41.9% 41.1% 4.9% -1.2% -3.0M 1.03B -4.0M 0.61 9.08 N/A N/A 65,222 39,971 1,567,060 954,628 2015-07-10 $17.57 $19.00 39.3% 11.0% 75.1% 32.3% 39.1% 2.4% 0.6% 4.6M 938.2M -4.4M 1.28 5.92 N/A N/A 56,860 72,533 1,599,964 956,051 2015-07-13 $17.61 $19.00 37.0% 10.5% 75.0% 25.9% 37.2% 2.5% -0.6% 4.0M 932.3M -4.4M 0.37 5.89 N/A N/A 100,493 36,969 1,565,409 949,938 2015-07-14 $19.56 $19.00 42.0% 12.1% 86.3% 40.1% 42.7% 1.1% -0.6% 7.8M 528.9M -5.7M 0.48 11.06 N/A N/A 230,095 109,997 1,613,395 954,719 2015-07-15 $18.85 $19.00 40.9% 12.3% 86.7% 37.0% 43.6% -2.3% 2.9% 6.7M 696.7M -5.7M 0.72 8.56 N/A N/A 76,471 54,724 1,667,693 997,293 2015-07-16 $19.59 $19.00 44.5% 13.3% 88.2% 47.3% 47.0% -3.6% 2.1% 8.3M 492.0M -6.3M 0.48 16.79 N/A N/A 110,409 53,270 1,687,505 1,013,963 2015-07-17 $20.10 $19.00 47.9% 13.9% 89.1% 56.7% 49.3% 2.1% -1.0% 12.0M 272.9M -6.7M 0.71 43.83 N/A N/A 133,655 95,377 1,714,911 1,033,821 2015-07-20 $18.85 $19.00 49.1% 14.1% 91.0% 60.2% 51.3% -2.2% 1.9% 8.1M 318.0M -6.2M 0.60 54.80 N/A N/A 82,772 49,598 1,278,657 802,103 2015-07-21 $18.85 $19.00 50.3% 14.4% 91.1% 63.6% 53.4% -1.9% 0.6% 7.2M 311.0M -6.3M 0.28 18.30 N/A N/A 69,189 19,645 1,307,563 828,748 2015-07-22 $17.98 $19.00 46.3% 13.3% 91.7% 52.3% 48.2% -1.4% 5.6% 3.7M 501.1M -5.9M 0.67 24.25 N/A N/A 94,500 63,306 1,353,674 856,134 2015-07-23 $18.66 $19.00 47.1% 13.3% 93.5% 54.6% 48.3% -1.8% 3.8% 10.5M 324.1M -6.5M 0.53 23.23 N/A N/A 56,077 29,822 1,382,770 853,969 2015-07-24 $18.34 $19.00 51.8% 14.7% 93.4% 67.9% 54.1% -3.9% -0.9% 10.3M 361.9M -6.3M 0.29 25.92 N/A N/A 97,042 28,219 1,392,480 846,865 2015-07-27 $18.11 $19.00 57.0% 15.8% 62.0% 82.5% 57.2% -6.7% -3.9% 10.0M 339.4M -6.2M 0.37 20.37 N/A N/A 81,395 30,493 1,366,304 807,510 2015-07-28 $19.76 $19.00 54.2% 15.2% 67.8% 74.7% 53.0% -3.9% -2.0% 16.7M -15.0M -7.3M 0.59 21.08 N/A N/A 125,479 73,688 1,393,643 824,844 2015-07-29 $19.86 $19.00 52.5% 14.2% 67.8% 69.8% 50.9% -6.3% 1.2% 17.1M -47.0M -7.5M 0.39 17.39 N/A N/A 130,318 50,330 1,420,888 849,566 2015-07-30 $19.91 $19.00 50.3% 12.8% 67.7% 63.5% 46.1% -3.4% 3.3% 19.2M -57.4M -7.4M 0.49 17.90 N/A N/A 80,052 39,201 1,451,498 861,469 2015-07-31 $18.53 $19.00 48.9% 13.8% 72.4% 59.6% 49.2% -1.3% 2.8% 12.5M 343.3M -6.5M 0.66 24.58 N/A N/A 90,265 59,607 1,477,900 880,132
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