MU Options History — August 2015 In August 2015, MU traded between $14.34 and $19.00. ATM implied volatility averaged 55.3%, placing in the 70.5% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 5.8% (HV 20d: 61.1%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.52.
Notable Days 2015-08-17 : Highest Volume — 170,445 contracts2015-08-20 : Largest IV spike — 15.6% change2015-08-21 : Highest IV Rank — 100.0%2015-08-24 : Largest Expected Move — 20.2%Monthly Statistics Metric Avg Min Max Open Close Price $16.84 $14.34 $19.00 $19.00 $16.45 Max Pain $19.86 $19.00 $20.00 $19.00 $20.00 ATM IV 55.3% 47.9% 73.8% 51.8% 66.1% Expected Move 15.6% 13.3% 20.2% 14.6% 17.8% HV 20d 61.1% 47.8% 71.3% 71.3% 56.7% HV 60d 63.6% 61.5% 67.9% 62.0% 67.9% IV Rank 70.5% 56.7% 100.0% 67.8% 83.4% IV Percentile 95.7% 90.1% 100.0% 96.4% 99.6% Term Structure 2.4% -2.7% 14.4% -1.7% -2.5% VWIV 55.4% 48.5% 67.2% 52.7% 62.9% Skew 25d 0.5% -6.8% 14.8% 1.3% 14.8% Skew 10d 1.2% -12.1% 36.5% 1.3% 36.5% Call IV 25d 56.8% 49.7% 70.4% 52.9% 63.1% Put IV 25d 57.3% 46.1% 78.5% 54.3% 77.8% Bid-Ask Spread % 24.79 6.89 59.32 21.58 10.42 Gamma HHI 0.13 0.07 0.35 0.15 0.07 Net GEX 8.5M -610.6K 16.9M 15.5M 5.9M Net DEX 519.8M 182.9M 870.9M 185.9M 457.6M Net VEX -5.5M -6.8M -4.0M -6.8M -5.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.52 0.17 1.40 0.23 0.28 Total Volume 112,854.476 48,134 170,445 64,563 88,473 Total OI 2,364,085.714 2,200,327 2,558,682 2,285,271 2,271,004
Daily Data (21 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 2015-08-03 $19.00 $19.00 51.8% 14.6% 71.3% 67.8% 52.7% 1.3% -1.7% 15.5M 185.9M -6.8M 0.23 21.58 N/A N/A 52,527 12,036 1,438,436 846,835 2015-08-04 $19.00 $19.00 48.7% 14.1% 71.3% 59.1% 50.8% -3.1% 1.6% 16.4M 182.9M -6.8M 0.46 16.18 N/A N/A 37,286 16,999 1,449,487 853,351 2015-08-05 $18.89 $19.00 49.3% 13.6% 70.2% 60.9% 49.9% -4.9% 1.4% 16.9M 199.8M -6.8M 0.65 9.48 N/A N/A 29,151 18,983 1,453,526 859,069 2015-08-06 $18.75 $20.00 50.0% 13.9% 69.4% 62.6% 48.5% -1.5% -0.3% 15.7M 258.8M -6.7M 1.40 49.73 N/A N/A 34,656 48,536 1,457,751 862,663 2015-08-07 $18.39 $20.00 49.6% 13.8% 69.6% 61.7% 49.5% -6.8% 4.4% 12.3M 379.4M -6.6M 0.44 52.58 N/A N/A 73,320 31,997 1,464,700 898,346 2015-08-10 $18.79 $20.00 47.9% 13.3% 69.9% 56.7% 49.9% -0.8% -2.7% 16.0M 305.8M -6.5M 0.50 59.32 N/A N/A 42,309 21,136 1,445,922 882,430 2015-08-11 $17.88 $20.00 48.6% 13.7% 61.1% 58.9% 50.7% -3.5% 0.3% 10.9M 459.6M -6.1M 0.24 30.11 N/A N/A 61,965 14,982 1,464,630 881,944 2015-08-12 $18.18 $20.00 49.2% 14.1% 60.2% 60.5% 50.9% -0.7% -0.0% 15.5M 375.3M -6.4M 0.39 51.41 N/A N/A 82,871 32,044 1,487,984 887,330 2015-08-13 $17.70 $20.00 48.7% 14.6% 58.9% 59.0% 51.9% -4.8% 3.6% 12.5M 491.2M -6.0M 0.84 7.25 N/A N/A 54,183 45,683 1,514,907 903,661 2015-08-14 $16.91 $20.00 52.4% 14.9% 59.4% 69.5% 53.2% 3.1% -0.1% 5.4M 677.6M -5.4M 0.52 33.75 N/A N/A 110,267 57,340 1,531,776 924,066 2015-08-17 $17.22 $20.00 50.0% 14.3% 56.3% 62.7% 51.9% -0.2% 7.0% 5.8M 622.1M -5.6M 0.46 30.57 N/A N/A 116,950 53,495 1,493,055 926,085 2015-08-18 $16.37 $20.00 49.9% 14.4% 58.6% 62.4% 51.1% -1.1% 3.9% 2.1M 720.6M -5.1M 0.51 6.89 N/A N/A 94,949 48,377 1,540,456 939,165 2015-08-19 $15.90 $20.00 51.2% 14.7% 57.3% 66.1% 52.4% -0.3% 0.3% -610.6K 784.8M -4.8M 0.73 8.25 N/A N/A 50,850 36,999 1,561,499 955,488 2015-08-20 $14.70 $20.00 59.2% 16.8% 60.3% 88.6% 59.0% 0.9% 6.6% -351.8K 870.9M -4.1M 0.82 42.12 N/A N/A 82,181 67,393 1,575,046 959,164 2015-08-21 $14.60 $20.00 65.4% 18.6% 60.3% 100.0% 67.2% 1.0% 2.4% 760.3K 823.0M -4.3M 0.36 31.41 N/A N/A 117,442 42,502 1,601,367 957,315 2015-08-24 $14.55 $20.00 73.8% 20.2% 60.3% 100.0% 66.4% 10.4% -2.7% 2.4M 676.8M -4.4M 0.63 11.70 N/A N/A 90,217 56,465 1,319,328 880,999 2015-08-25 $14.34 $20.00 65.3% 17.4% 47.9% 81.7% 61.4% 2.4% 14.4% 2.3M 722.1M -4.0M 0.22 10.92 N/A N/A 110,323 24,793 1,344,060 878,420 2015-08-26 $14.37 $20.00 62.0% 17.2% 47.8% 74.4% 60.6% -3.2% 4.1% 3.0M 718.3M -4.0M 0.17 9.45 N/A N/A 110,758 18,470 1,397,634 889,475 2015-08-27 $15.65 $20.00 58.0% 16.6% 59.6% 65.8% 58.2% 5.8% 4.1% 8.9M 547.7M -4.9M 0.51 13.90 N/A N/A 94,736 48,662 1,432,877 892,144 2015-08-28 $15.93 $20.00 63.9% 18.2% 56.1% 78.6% 64.3% 2.3% 7.0% 12.1M 455.4M -5.3M 0.54 13.48 N/A N/A 89,334 48,304 1,434,593 887,812 2015-08-31 $16.45 $20.00 66.1% 17.8% 56.7% 83.4% 62.9% 14.8% -2.5% 5.9M 457.6M -5.6M 0.28 10.42 N/A N/A 68,983 19,490 1,380,366 890,638
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