MU Options History — September 2015 In September 2015, MU traded between $14.08 and $17.53. ATM implied volatility averaged 63.8%, placing in the 78.4% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 8.7% (HV 20d: 55.1%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.42.
Notable Days 2015-09-18 : Highest Volume — 160,456 contracts2015-09-24 : Largest IV spike — 6.0% change2015-09-01 : Highest IV Rank — 92.5%2015-09-28 : Largest Expected Move — 22.4%Monthly Statistics Metric Avg Min Max Open Close Price $15.97 $14.08 $17.53 $15.82 $14.98 Max Pain $19.57 $19.00 $20.00 $19.00 $19.00 ATM IV 63.8% 58.8% 70.3% 70.3% 66.1% Expected Move 18.5% 16.9% 22.4% 18.5% 21.7% HV 20d 55.1% 46.1% 61.6% 57.7% 49.5% HV 60d 65.7% 57.6% 70.4% 68.1% 59.6% IV Rank 78.4% 67.5% 92.5% 92.5% 83.4% IV Percentile 96.2% 92.1% 99.6% 99.6% 97.6% Term Structure -2.5% -4.7% -0.1% -3.3% -1.2% VWIV 64.6% 58.4% 78.2% 66.0% 75.0% Skew 25d 4.6% 2.0% 6.7% 4.1% 6.7% Skew 10d 14.4% -2.1% 39.5% 16.1% 21.5% Call IV 25d 62.6% 57.1% 69.5% 67.5% 64.8% Put IV 25d 67.2% 62.2% 75.1% 71.6% 71.5% Bid-Ask Spread % 6.82 4.61 10.27 10.27 7.66 Gamma HHI 0.10 0.07 0.11 0.07 0.10 Net GEX 6.0M 2.3M 10.0M 5.2M 4.1M Net DEX 532.8M 342.4M 670.9M 525.9M 594.8M Net VEX -4.7M -5.7M -3.7M -5.2M -4.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.42 0.12 0.67 0.49 0.24 Total Volume 81,064.857 32,207 160,456 47,715 146,600 Total OI 2,321,304.762 2,156,971 2,382,284 2,299,879 2,328,927
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 2015-09-01 $15.82 $19.00 70.3% 18.5% 57.7% 92.5% 66.0% 4.1% -3.3% 5.2M 525.9M -5.2M 0.49 10.27 N/A N/A 31,941 15,774 1,401,161 898,718 2015-09-02 $16.24 $19.00 68.2% 17.4% 59.1% 87.9% 60.6% 5.6% -3.6% 6.6M 492.0M -5.3M 0.57 7.91 N/A N/A 44,775 25,391 1,409,078 901,085 2015-09-03 $16.61 $20.00 65.8% 17.4% 60.0% 82.7% 60.4% 2.0% -2.1% 8.5M 444.8M -5.4M 0.16 5.70 N/A N/A 132,373 21,447 1,425,115 901,244 2015-09-04 $16.84 $20.00 64.7% 17.5% 60.2% 80.3% 61.1% 4.6% -1.7% 7.2M 403.4M -5.5M 0.65 6.40 N/A N/A 42,739 27,915 1,461,882 906,089 2015-09-08 $17.53 $20.00 63.3% 16.9% 61.6% 77.3% 59.7% 4.4% -4.3% 9.3M 342.4M -5.7M 0.41 4.61 N/A N/A 42,116 17,316 1,436,385 889,940 2015-09-09 $16.92 $20.00 62.0% 17.0% 60.4% 74.4% 58.4% 2.7% -2.5% 8.1M 449.6M -5.3M 0.67 5.44 N/A N/A 44,294 29,488 1,449,338 894,763 2015-09-10 $17.22 $20.00 61.6% 17.1% 60.4% 73.5% 58.7% 6.2% -2.3% 10.0M 401.9M -5.5M 0.54 6.32 N/A N/A 27,929 14,991 1,466,018 904,721 2015-09-11 $16.80 $20.00 60.5% 17.1% 60.3% 71.2% 58.9% 5.6% -0.8% 7.1M 480.8M -5.2M 0.46 6.78 N/A N/A 29,239 13,361 1,473,256 909,028 2015-09-14 $16.68 $20.00 62.0% 17.4% 58.2% 74.3% 60.6% 6.3% -0.1% 6.8M 513.2M -5.0M 0.25 5.36 N/A N/A 44,822 11,399 1,446,989 892,537 2015-09-15 $16.52 $20.00 60.9% 17.4% 57.8% 71.9% 60.9% 4.7% -1.2% 8.0M 523.7M -4.9M 0.20 5.86 N/A N/A 50,305 10,248 1,476,167 891,170 2015-09-16 $16.67 $20.00 58.8% 16.9% 55.0% 67.5% 59.2% 4.6% -2.7% 9.1M 509.3M -4.9M 0.36 5.92 N/A N/A 23,675 8,532 1,466,037 891,633 2015-09-17 $16.38 $20.00 58.9% 17.1% 54.3% 67.7% 58.7% 5.5% -4.1% 6.3M 559.4M -4.7M 0.39 8.43 N/A N/A 29,793 11,689 1,472,438 892,577 2015-09-18 $15.49 $20.00 62.1% 18.0% 50.3% 74.6% 62.4% 4.4% -2.3% 3.5M 670.9M -4.2M 0.67 7.86 N/A N/A 96,118 64,338 1,475,450 892,798 2015-09-21 $15.75 $20.00 61.6% 17.9% 50.5% 73.6% 61.4% 6.5% -0.9% 5.0M 557.3M -4.2M 0.12 6.25 N/A N/A 105,441 13,063 1,346,097 810,874 2015-09-22 $15.48 $19.00 62.7% 18.4% 51.0% 76.0% 65.1% 4.2% -2.7% 5.2M 558.6M -4.1M 0.54 7.32 N/A N/A 70,133 38,036 1,380,967 811,417 2015-09-23 $14.81 $19.00 62.8% 19.3% 53.4% 76.3% 67.8% 4.0% -2.8% 3.2M 642.6M -4.0M 0.23 5.00 N/A N/A 77,445 17,736 1,434,615 863,095 2015-09-24 $15.32 $19.00 66.6% 20.6% 54.6% 84.5% 71.9% 4.1% -3.8% 4.8M 575.5M -4.4M 0.29 8.43 N/A N/A 77,211 22,553 1,439,407 864,280 2015-09-25 $14.90 $19.00 65.5% 20.5% 46.1% 81.9% 74.8% 2.7% -3.5% 3.6M 626.5M -4.2M 0.53 8.19 N/A N/A 53,188 28,001 1,458,549 872,976 2015-09-28 $14.08 $19.00 69.0% 22.4% 49.2% 89.6% 78.2% 2.7% -4.7% 2.3M 665.9M -3.7M 0.35 7.29 N/A N/A 64,144 22,654 1,434,672 865,395 2015-09-29 $14.38 $19.00 67.1% 21.8% 48.2% 85.6% 76.0% 5.4% -2.6% 2.9M 651.0M -3.8M 0.61 6.17 N/A N/A 33,596 20,553 1,439,538 870,974 2015-09-30 $14.98 $19.00 66.1% 21.7% 49.5% 83.4% 75.0% 6.7% -1.2% 4.1M 594.8M -4.1M 0.24 7.66 N/A N/A 118,623 27,977 1,446,856 882,071
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