MU Options History — January 2016

In January 2016, MU traded between $9.89 and $14.83. ATM implied volatility averaged 58.0%, placing in the 59.3% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded above realized volatility by 7.7% (HV 20d: 50.3%). Max pain ranged from $11.50 to $15.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.16.

Notable Days

2016-01-15: Highest Volume — 218,213 contracts
2016-01-20: Largest IV spike — 31.0% change
2016-01-20: Highest IV Rank — 100.0%
2016-01-20: Largest Expected Move — 24.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.87	$9.89	$14.83	$14.32	$10.64
Max Pain	$13.37	$11.50	$15.00	$14.00	$11.50
ATM IV	58.0%	42.4%	83.7%	44.2%	63.8%
Expected Move	16.6%	12.2%	24.0%	12.9%	18.5%
HV 20d	50.3%	35.5%	70.2%	35.5%	70.2%
HV 60d	48.1%	45.5%	52.1%	45.5%	52.1%
IV Rank	59.3%	31.8%	100.0%	35.7%	64.3%
IV Percentile	80.3%	49.2%	100.0%	55.2%	91.7%
Term Structure	-0.4%	-2.3%	2.7%	0.2%	0.7%
VWIV	57.7%	42.9%	83.5%	44.2%	66.8%
Skew 25d	7.7%	1.7%	13.9%	5.3%	8.0%
Skew 10d	17.3%	0.5%	27.9%	23.9%	11.8%
Call IV 25d	54.6%	42.1%	76.9%	42.6%	59.6%
Put IV 25d	62.3%	44.7%	90.8%	47.9%	67.6%
Bid-Ask Spread %	13.89	9.90	22.12	12.26	13.11
Gamma HHI	0.15	0.09	0.26	0.17	0.09
Net GEX	-1.6M	-5.8M	795.8K	-2.0M	795.8K
Net DEX	368.5M	153.7M	608.0M	436.5M	153.7M
Net VEX	-2.2M	-2.9M	-1.8M	-2.7M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.50	2.36	0.51	1.12
Total Volume	76,794.316	25,681	218,213	48,168	31,081
Total OI	1,673,624.368	1,003,208	2,202,404	2,059,345	1,271,800

Daily Data (19 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
2016-01-04	$14.32	$14.00	44.2%	12.9%	35.5%	35.7%	44.2%	5.3%	0.2%	-2.0M	436.5M	-2.7M	0.51	12.26	N/A	N/A	31,815	16,353	1,321,941	737,404
2016-01-05	$14.83	$15.00	42.4%	12.2%	38.1%	31.8%	42.9%	2.6%	-0.1%	762.5K	369.6M	-2.9M	1.06	12.78	N/A	N/A	49,024	52,013	1,334,103	746,814
2016-01-06	$14.19	$15.00	44.2%	12.6%	38.3%	35.7%	43.4%	3.5%	0.2%	-2.3M	452.9M	-2.8M	1.27	13.39	N/A	N/A	20,033	25,538	1,354,159	759,735
2016-01-07	$13.69	$15.00	49.8%	13.5%	39.9%	47.9%	47.4%	6.0%	1.2%	-4.0M	506.5M	-2.7M	1.02	9.90	N/A	N/A	25,453	26,051	1,362,910	769,388
2016-01-08	$13.35	$15.00	48.4%	13.7%	40.1%	44.8%	46.4%	4.7%	-0.3%	-5.4M	547.6M	-2.6M	1.13	13.66	N/A	N/A	18,713	21,095	1,376,265	777,341
2016-01-11	$12.56	$15.00	50.4%	13.7%	43.7%	49.1%	47.9%	5.7%	-1.9%	-5.0M	608.0M	-2.2M	1.92	17.93	N/A	N/A	39,980	76,872	1,368,300	772,544
2016-01-12	$12.74	$15.00	48.5%	13.5%	42.3%	45.1%	47.0%	6.0%	-1.3%	-5.8M	596.7M	-2.4M	0.95	12.46	N/A	N/A	20,490	19,545	1,384,926	790,078
2016-01-13	$12.02	$14.00	55.0%	15.4%	45.7%	59.1%	52.9%	6.9%	-0.7%	-2.7M	578.1M	-2.1M	0.89	15.01	N/A	N/A	31,802	28,350	1,390,940	761,067
2016-01-14	$11.99	$14.00	54.4%	15.2%	42.5%	58.0%	55.2%	1.7%	-2.3%	-1.5M	580.0M	-2.2M	1.47	15.20	N/A	N/A	28,773	42,283	1,409,559	768,884
2016-01-15	$11.08	$14.00	63.5%	18.4%	49.3%	77.6%	63.0%	10.7%	2.7%	286.4K	570.4M	-1.9M	1.27	11.24	N/A	N/A	96,331	121,882	1,419,648	782,756
2016-01-19	$10.81	$13.00	63.9%	18.3%	48.5%	78.6%	64.3%	8.8%	-1.1%	43.6K	211.1M	-1.9M	2.36	13.12	N/A	N/A	24,339	57,533	593,514	409,694
2016-01-20	$10.07	$13.00	83.7%	24.0%	52.0%	100.0%	83.5%	13.9%	-2.0%	-261.5K	216.1M	-1.8M	1.25	14.66	N/A	N/A	66,836	83,321	604,045	428,162
2016-01-21	$10.88	$13.00	67.9%	19.5%	60.1%	71.7%	69.3%	11.8%	-0.7%	169.0K	184.7M	-2.1M	0.92	11.47	N/A	N/A	67,683	62,298	646,209	480,492
2016-01-22	$11.07	$11.50	64.5%	18.4%	61.2%	65.7%	62.8%	10.3%	-0.6%	471.2K	159.8M	-2.2M	0.50	15.93	N/A	N/A	45,845	22,809	684,051	516,750
2016-01-25	$10.51	$11.50	67.0%	19.2%	62.6%	70.1%	65.9%	12.7%	0.0%	-200.8K	197.2M	-2.0M	0.89	10.95	N/A	N/A	19,992	17,726	677,197	501,448
2016-01-26	$10.55	$11.50	63.1%	18.2%	62.0%	63.0%	63.6%	8.4%	-0.4%	-168.3K	200.3M	-2.0M	0.82	14.18	N/A	N/A	14,132	11,549	686,313	503,684
2016-01-27	$10.38	$11.50	61.7%	18.2%	62.0%	60.7%	64.4%	10.6%	0.1%	-492.4K	201.4M	-1.9M	2.02	22.12	N/A	N/A	15,621	31,482	691,525	499,621
2016-01-28	$9.89	$11.50	66.0%	19.5%	62.2%	68.2%	65.7%	9.2%	-1.2%	-2.2M	230.3M	-1.9M	0.60	14.45	N/A	N/A	59,010	35,439	697,231	518,365
2016-01-29	$10.64	$11.50	63.8%	18.5%	70.2%	64.3%	66.8%	8.0%	0.7%	795.8K	153.7M	-2.2M	1.12	13.11	N/A	N/A	14,646	16,435	740,127	531,673