MU Options History — October 2015 In October 2015, MU traded between $14.65 and $19.15. ATM implied volatility averaged 51.0%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 16.8% (HV 20d: 67.8%). Max pain ranged from $18.50 to $20.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.75.
Notable Days 2015-10-05 : Highest Volume — 176,649 contracts2015-10-20 : Largest IV spike — 30.8% change2015-10-01 : Highest IV Rank — 85.5%2015-10-01 : Largest Expected Move — 22.3%Monthly Statistics Metric Avg Min Max Open Close Price $17.44 $14.65 $19.15 $14.65 $16.60 Max Pain $19.52 $18.50 $20.00 $19.00 $19.00 ATM IV 51.0% 43.7% 67.1% 67.1% 48.9% Expected Move 14.6% 12.4% 22.3% 22.3% 13.9% HV 20d 67.8% 48.7% 75.4% 48.7% 67.0% HV 60d 61.0% 59.0% 65.4% 59.4% 60.8% IV Rank 50.5% 34.7% 85.5% 85.5% 45.8% IV Percentile 80.7% 69.4% 98.0% 98.0% 75.8% Term Structure -0.8% -6.1% 6.3% 6.3% 1.2% VWIV 50.4% 42.5% 76.5% 76.5% 48.7% Skew 25d 4.4% 2.0% 9.5% 2.6% 2.0% Skew 10d 9.5% -3.6% 33.3% 0.8% 13.6% Call IV 25d 49.3% 42.2% 66.0% 66.0% 47.4% Put IV 25d 53.7% 46.1% 68.7% 68.7% 49.4% Bid-Ask Spread % 10.84 5.40 19.52 9.19 10.75 Gamma HHI 0.14 0.11 0.41 0.11 0.14 Net GEX 5.9M -12.0M 12.2M 3.8M 2.5M Net DEX 305.4M 23.5M 609.5M 609.5M 499.1M Net VEX -5.1M -5.9M -4.1M -4.1M -4.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.32 2.05 0.45 2.05 Total Volume 86,914.045 39,452 176,649 76,816 63,076 Total OI 2,290,063.045 1,969,096 2,486,577 2,379,633 2,155,007
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 2015-10-01 $14.65 $19.00 67.1% 22.3% 48.7% 85.5% 76.5% 2.6% 6.3% 3.8M 609.5M -4.1M 0.45 9.19 N/A N/A 52,885 23,931 1,485,779 893,854 2015-10-02 $15.93 $18.50 53.9% 13.6% 57.4% 56.8% 48.6% 3.2% -0.8% 7.1M 470.7M -4.5M 0.71 15.88 N/A N/A 78,753 55,611 1,534,670 921,964 2015-10-05 $17.57 $20.00 51.1% 13.9% 67.4% 50.8% 49.5% 4.4% -0.6% 8.9M 264.9M -5.3M 0.47 10.43 N/A N/A 120,509 56,140 1,468,341 895,061 2015-10-06 $18.27 $20.00 49.5% 14.1% 67.3% 47.2% 48.7% 5.2% -0.4% 11.3M 122.8M -5.7M 0.46 5.90 N/A N/A 76,892 35,050 1,493,962 912,254 2015-10-07 $18.60 $20.00 49.9% 13.9% 66.0% 48.1% 48.5% 4.3% -0.1% 12.2M 44.3M -5.8M 0.65 6.09 N/A N/A 51,302 33,424 1,512,651 922,002 2015-10-08 $18.72 $20.00 49.0% 13.8% 65.8% 46.1% 47.9% 2.9% -0.5% 11.8M 23.5M -5.9M 0.66 5.40 N/A N/A 53,610 35,420 1,520,651 931,517 2015-10-09 $17.94 $20.00 50.1% 13.8% 67.2% 48.5% 42.5% 4.6% -1.9% 9.3M 222.0M -5.4M 1.51 8.45 N/A N/A 36,899 55,717 1,531,252 943,384 2015-10-12 $18.02 $20.00 47.7% 13.2% 67.1% 43.2% 45.6% 5.3% -1.6% 11.2M 253.6M -5.2M 0.58 8.14 N/A N/A 36,249 20,867 1,500,928 919,758 2015-10-13 $18.18 $20.00 47.8% 13.5% 66.9% 43.5% 46.9% 3.4% -0.2% 11.8M 194.7M -5.4M 1.03 8.15 N/A N/A 25,196 25,916 1,508,952 925,715 2015-10-14 $18.83 $20.00 45.6% 12.8% 67.7% 38.6% 45.5% 2.4% -0.9% 11.4M 61.0M -5.6M 0.51 8.64 N/A N/A 86,237 43,756 1,513,482 931,701 2015-10-15 $18.69 $20.00 44.5% 12.4% 67.4% 36.2% 43.3% 3.5% -1.5% 6.5M 100.9M -5.5M 0.87 8.62 N/A N/A 33,297 28,830 1,531,705 945,693 2015-10-16 $18.48 $20.00 43.7% 12.6% 63.6% 34.7% 43.4% 5.0% -0.1% -12.0M 173.1M -5.3M 0.53 5.99 N/A N/A 37,666 20,099 1,528,003 958,574 2015-10-19 $19.15 $20.00 44.9% 12.8% 64.3% 37.2% 44.5% 2.9% -1.1% 7.8M 89.9M -5.6M 0.41 12.88 N/A N/A 69,863 28,473 1,190,035 779,061 2015-10-20 $17.37 $20.00 58.7% 16.9% 74.3% 67.3% 57.2% 9.5% -6.1% 4.7M 322.5M -5.2M 1.44 19.52 N/A N/A 52,174 75,079 1,220,469 791,227 2015-10-21 $16.43 $19.00 59.1% 16.9% 75.4% 68.1% 58.3% 5.9% -3.6% 2.2M 488.9M -4.8M 0.63 12.28 N/A N/A 85,220 53,852 1,286,017 856,080 2015-10-22 $16.72 $19.00 53.3% 15.4% 74.8% 55.5% 52.6% 3.7% -2.3% 4.3M 465.9M -4.7M 0.51 15.53 N/A N/A 56,281 28,843 1,312,133 863,109 2015-10-23 $17.23 $19.00 51.5% 14.9% 74.4% 51.5% 51.9% 3.7% -1.0% 5.0M 377.1M -4.9M 0.47 11.54 N/A N/A 52,602 24,960 1,320,541 864,714 2015-10-26 $16.57 $19.00 52.6% 15.5% 72.6% 53.9% 53.3% 3.9% -0.3% 2.8M 478.7M -4.7M 0.32 14.97 N/A N/A 52,197 16,903 1,269,329 842,079 2015-10-27 $16.66 $19.00 52.3% 15.2% 72.4% 53.2% 53.0% 5.1% -1.0% 2.8M 476.7M -4.7M 0.95 16.03 N/A N/A 21,864 20,837 1,275,741 846,889 2015-10-28 $16.91 $19.00 51.1% 14.7% 71.4% 50.6% 51.4% 7.1% -0.1% 4.0M 436.4M -4.7M 0.87 13.58 N/A N/A 24,743 21,434 1,283,572 843,375 2015-10-29 $16.22 $19.00 50.2% 14.4% 72.8% 48.7% 50.0% 6.5% -0.3% 1.0M 543.4M -4.3M 0.47 10.61 N/A N/A 26,836 12,616 1,291,668 858,488 2015-10-30 $16.60 $19.00 48.9% 13.9% 67.0% 45.8% 48.7% 2.0% 1.2% 2.5M 499.1M -4.5M 2.05 10.75 N/A N/A 20,701 42,375 1,298,358 856,649
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