MU Options History — November 2015 In November 2015, MU traded between $14.89 and $17.95. ATM implied volatility averaged 51.1%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 2.1% (HV 20d: 53.2%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.76.
Notable Days 2015-11-20 : Highest Volume — 135,722 contracts2015-11-05 : Largest IV spike — 13.8% change2015-11-24 : Highest IV Rank — 58.9%2015-11-13 : Largest Expected Move — 15.3%Monthly Statistics Metric Avg Min Max Open Close Price $15.91 $14.89 $17.95 $17.11 $15.93 Max Pain $18.43 $18.00 $19.00 $19.00 $18.00 ATM IV 51.1% 45.0% 54.9% 48.3% 53.9% Expected Move 13.9% 12.2% 15.3% 13.1% 12.2% HV 20d 53.2% 42.2% 61.6% 57.9% 42.3% HV 60d 59.2% 55.6% 62.0% 61.0% 55.6% IV Rank 50.8% 37.3% 58.9% 44.6% 56.7% IV Percentile 80.7% 68.7% 86.9% 73.4% 84.9% Term Structure 0.5% -5.3% 8.0% 1.2% -4.0% VWIV 49.0% 43.3% 53.8% 46.3% 43.5% Skew 25d 3.0% 0.2% 7.2% 3.7% 2.3% Skew 10d 5.7% -10.6% 21.3% 16.7% 18.2% Call IV 25d 50.5% 43.6% 54.3% 47.4% 52.2% Put IV 25d 53.5% 47.6% 58.1% 51.1% 54.4% Bid-Ask Spread % 11.89 6.51 19.95 8.26 12.15 Gamma HHI 0.14 0.12 0.24 0.14 0.15 Net GEX 1.9M -3.7M 6.5M 3.4M 2.0M Net DEX 546.0M 280.7M 672.7M 430.0M 442.7M Net VEX -4.2M -5.1M -3.8M -4.6M -3.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.27 1.73 0.79 0.27 Total Volume 66,602.25 21,225 135,722 99,518 74,862 Total OI 2,217,990.85 2,075,306 2,338,828 2,111,112 2,075,306
Daily Data (20 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 2015-11-02 $17.11 $19.00 48.3% 13.1% 57.9% 44.6% 46.3% 3.7% 1.2% 3.4M 430.0M -4.6M 0.79 8.26 N/A N/A 55,750 43,768 1,261,545 849,567 2015-11-03 $17.95 $19.00 45.0% 13.6% 58.8% 37.3% 47.8% 6.6% -0.4% 6.5M 280.7M -5.1M 0.68 10.26 N/A N/A 42,995 29,327 1,284,724 867,134 2015-11-04 $17.41 $18.50 46.0% 13.5% 59.2% 39.7% 47.9% 1.8% 0.1% 4.6M 369.6M -4.9M 0.80 10.57 N/A N/A 32,619 26,160 1,298,427 878,523 2015-11-05 $16.51 $19.00 52.4% 14.6% 61.6% 53.5% 51.5% 5.5% -0.0% 1.5M 504.0M -4.6M 1.73 19.61 N/A N/A 35,104 60,720 1,314,938 890,730 2015-11-06 $16.45 $19.00 49.3% 14.4% 60.1% 46.9% 50.0% 3.3% 1.1% -1.7M 556.9M -4.5M 0.84 17.90 N/A N/A 22,267 18,605 1,324,077 923,348 2015-11-09 $15.84 $19.00 50.3% 14.9% 61.2% 48.9% 52.4% 3.5% 1.4% -165.4K 616.8M -4.1M 0.40 14.31 N/A N/A 32,167 12,859 1,304,837 906,470 2015-11-10 $15.53 $19.00 52.3% 14.8% 61.1% 53.4% 51.9% 3.0% -0.1% -252.5K 635.0M -4.1M 0.42 7.42 N/A N/A 66,553 28,017 1,315,998 908,295 2015-11-11 $15.75 $19.00 50.1% 14.9% 59.5% 48.5% 53.3% 4.5% 1.3% -123.3K 596.9M -4.2M 0.44 17.82 N/A N/A 57,897 25,231 1,338,391 903,096 2015-11-12 $15.36 $19.00 50.6% 14.7% 59.8% 49.6% 51.5% 1.8% 0.9% -500.3K 641.1M -4.1M 0.81 7.92 N/A N/A 21,791 17,646 1,380,091 911,827 2015-11-13 $15.03 $18.00 53.1% 15.3% 59.9% 55.1% 53.8% 7.2% 1.3% -3.7M 672.7M -3.9M 1.35 12.12 N/A N/A 31,024 42,003 1,373,410 911,872 2015-11-16 $14.89 $18.00 52.1% 14.9% 57.5% 52.8% 53.0% 2.1% 2.7% 740.5K 652.5M -3.8M 0.65 9.94 N/A N/A 32,322 20,880 1,364,679 889,454 2015-11-17 $15.32 $18.00 52.3% 15.0% 49.6% 53.3% 52.5% 1.1% 2.4% 1.6M 610.3M -4.0M 0.59 12.10 N/A N/A 64,208 37,600 1,375,659 902,487 2015-11-18 $15.64 $18.00 50.4% 14.4% 46.9% 49.1% 50.6% 0.6% 3.7% 3.1M 562.9M -4.1M 1.13 7.58 N/A N/A 27,506 31,194 1,393,157 913,375 2015-11-19 $15.88 $18.00 51.1% 14.5% 46.7% 50.8% 50.9% 1.3% 2.7% 3.6M 540.8M -4.3M 0.42 9.69 N/A N/A 52,278 22,096 1,404,611 927,345 2015-11-20 $15.41 $18.00 50.4% 13.5% 46.0% 49.2% 47.3% 1.3% 8.0% 2.0M 631.1M -3.9M 0.94 19.95 N/A N/A 69,872 65,850 1,413,169 925,659 2015-11-23 $15.32 $18.00 51.4% 12.5% 44.3% 51.3% 45.0% 0.2% -1.0% 881.0K 576.4M -3.8M 0.49 12.70 N/A N/A 37,935 18,686 1,279,631 852,107 2015-11-24 $15.63 $18.00 54.9% 12.7% 45.0% 58.9% 44.2% 2.7% -5.3% 3.4M 531.9M -3.9M 0.43 7.20 N/A N/A 14,804 6,421 1,299,612 862,123 2015-11-25 $15.58 $18.00 54.6% 12.3% 44.5% 58.3% 43.3% 2.8% -3.4% 3.9M 520.7M -3.9M 1.03 13.72 N/A N/A 14,054 14,443 1,309,877 851,098 2015-11-27 $15.56 $18.00 54.1% 12.4% 42.2% 57.1% 43.3% 4.4% -1.9% 6.2M 547.0M -3.8M 0.97 6.51 N/A N/A 12,455 12,076 1,310,210 862,958 2015-11-30 $15.93 $18.00 53.9% 12.2% 42.3% 56.7% 43.5% 2.3% -4.0% 2.0M 442.7M -3.8M 0.27 12.15 N/A N/A 59,127 15,735 1,270,892 804,414
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