MU Options History — December 2015 In December 2015, MU traded between $13.64 and $16.55. ATM implied volatility averaged 51.7%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 11.5% (HV 20d: 40.2%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.78.
Notable Days 2015-12-23 : Highest Volume — 100,371 contracts2015-12-23 : Largest IV drop — 15.2% change2015-12-14 : Highest IV Rank — 76.8%2015-12-14 : Largest Expected Move — 17.7%Monthly Statistics Metric Avg Min Max Open Close Price $14.61 $13.64 $16.55 $16.55 $14.20 Max Pain $19.75 $17.00 $20.00 $17.50 $20.00 ATM IV 51.7% 39.5% 63.1% 50.5% 40.0% Expected Move 14.2% 10.9% 17.7% 12.1% 11.1% HV 20d 40.2% 35.3% 43.3% 43.2% 35.3% HV 60d 54.6% 45.7% 57.0% 56.1% 45.7% IV Rank 52.1% 25.5% 76.8% 49.4% 26.4% IV Percentile 73.6% 42.1% 93.7% 77.0% 42.9% Term Structure -1.7% -4.7% 1.0% -2.0% -0.4% VWIV 49.5% 38.3% 61.9% 42.1% 39.2% Skew 25d 2.7% 0.3% 5.4% 3.5% 2.6% Skew 10d 6.3% -9.9% 19.3% 16.8% 12.4% Call IV 25d 50.9% 38.6% 62.1% 49.7% 38.6% Put IV 25d 53.6% 41.1% 64.1% 53.2% 41.3% Bid-Ask Spread % 8.51 4.57 15.71 15.09 7.03 Gamma HHI 0.17 0.12 0.38 0.15 0.20 Net GEX -738.7K -8.8M 4.4M 4.1M -2.6M Net DEX 493.6M 336.6M 587.0M 336.6M 458.9M Net VEX -3.1M -4.0M -2.7M -4.0M -2.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.25 1.70 0.84 1.49 Total Volume 56,408.045 36,647 100,371 57,765 48,632 Total OI 2,095,449.727 2,020,250 2,146,133 2,092,020 2,062,953
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 2015-12-01 $16.55 $17.50 50.5% 12.1% 43.2% 49.4% 42.1% 3.5% -2.0% 4.1M 336.6M -4.0M 0.84 15.09 N/A N/A 31,400 26,365 1,288,791 803,229 2015-12-02 $15.82 $17.00 52.7% 12.3% 41.6% 54.1% 43.2% 3.4% -2.1% 2.5M 445.4M -3.7M 0.62 11.94 N/A N/A 24,574 15,257 1,301,503 808,351 2015-12-03 $15.59 $20.00 54.3% 14.2% 40.7% 57.5% 49.5% 4.4% -2.6% 1.4M 458.8M -3.7M 0.70 6.82 N/A N/A 24,984 17,548 1,306,676 800,085 2015-12-04 $15.50 $20.00 53.1% 14.2% 36.7% 55.2% 48.6% 3.9% -2.5% -267.7K 491.0M -3.6M 0.63 4.97 N/A N/A 26,218 16,436 1,310,522 812,719 2015-12-07 $14.85 $20.00 56.2% 14.9% 39.3% 61.7% 51.6% 2.3% -3.9% -1.4M 543.2M -3.3M 0.39 5.60 N/A N/A 33,875 13,074 1,301,418 795,695 2015-12-08 $14.65 $20.00 56.8% 15.3% 37.5% 63.0% 54.0% 2.9% -2.8% -1.8M 559.5M -3.2M 0.64 4.57 N/A N/A 25,220 16,145 1,311,816 799,740 2015-12-09 $14.32 $20.00 58.4% 16.1% 37.7% 66.6% 55.3% 0.8% -1.9% -2.1M 578.5M -3.1M 0.53 5.33 N/A N/A 30,909 16,319 1,318,032 798,776 2015-12-10 $14.64 $20.00 57.2% 15.8% 38.3% 64.0% 55.5% 0.3% -2.5% -1.8M 547.1M -3.2M 0.56 5.43 N/A N/A 23,437 13,210 1,326,032 801,994 2015-12-11 $14.02 $20.00 61.7% 17.2% 40.2% 73.7% 59.3% 1.8% -1.9% -8.8M 587.0M -3.0M 0.25 5.59 N/A N/A 78,196 19,720 1,330,269 798,225 2015-12-14 $13.64 $20.00 63.1% 17.7% 40.5% 76.8% 61.9% 2.7% -0.8% -1.6M 543.1M -2.9M 0.79 7.11 N/A N/A 37,691 29,752 1,361,553 751,969 2015-12-15 $14.18 $20.00 60.9% 17.4% 43.3% 71.9% 58.8% 3.3% -4.7% -1.6M 528.8M -3.0M 0.55 7.96 N/A N/A 37,991 21,034 1,347,475 770,338 2015-12-16 $14.08 $20.00 58.2% 16.7% 41.8% 66.2% 58.7% 2.9% -3.5% -1.7M 536.1M -3.0M 0.46 15.71 N/A N/A 33,277 15,204 1,359,911 768,446 2015-12-17 $14.29 $20.00 54.4% 15.7% 41.4% 57.9% 55.1% 3.0% -3.1% -1.5M 501.1M -3.0M 0.47 7.96 N/A N/A 50,025 23,542 1,365,602 754,737 2015-12-18 $14.34 $20.00 55.1% 15.9% 40.8% 59.5% 53.8% 3.6% -1.4% -145.8K 511.3M -3.0M 0.60 6.08 N/A N/A 31,143 18,768 1,377,243 768,890 2015-12-21 $14.75 $20.00 52.0% 15.0% 41.3% 52.7% 52.1% 1.4% -1.8% 410.4K 431.1M -3.0M 0.65 9.59 N/A N/A 44,957 29,067 1,305,481 714,769 2015-12-22 $14.59 $20.00 50.0% 14.9% 41.4% 48.4% 52.3% 2.1% -1.0% 643.6K 443.4M -3.0M 0.64 12.49 N/A N/A 41,346 26,298 1,325,337 720,742 2015-12-23 $14.27 $20.00 42.4% 10.9% 41.1% 31.9% 39.1% 0.7% -0.1% -863.4K 505.4M -2.7M 1.05 14.89 N/A N/A 48,993 51,378 1,341,015 727,442 2015-12-24 $14.48 $20.00 40.6% 10.9% 41.7% 27.8% 38.3% 1.3% 0.0% 4.4M 462.4M -2.8M 1.70 8.27 N/A N/A 21,431 36,351 1,350,871 744,883 2015-12-28 $14.20 $20.00 40.8% 11.4% 42.0% 28.2% 40.5% 2.1% 0.5% -1.3M 491.0M -2.7M 1.46 9.60 N/A N/A 21,833 31,782 1,316,075 738,079 2015-12-29 $14.35 $20.00 39.5% 11.3% 41.1% 25.5% 40.0% 4.3% 1.0% -517.6K 437.3M -2.7M 1.58 7.99 N/A N/A 19,521 30,869 1,323,361 729,113 2015-12-30 $14.16 $20.00 40.2% 11.3% 37.8% 26.9% 39.4% 5.4% 0.5% -1.7M 462.3M -2.7M 0.58 7.09 N/A N/A 23,505 13,700 1,329,306 730,430 2015-12-31 $14.20 $20.00 40.0% 11.1% 35.3% 26.4% 39.2% 2.6% -0.4% -2.6M 458.9M -2.7M 1.49 7.03 N/A N/A 19,547 29,085 1,331,447 731,506
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