MU Options History — March 2016

In March 2016, MU traded between $10.36 and $11.87. ATM implied volatility averaged 60.5%, placing in the 58.5% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 5.5% (HV 20d: 55.1%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.90.

Notable Days

2016-03-31: Highest Volume — 105,193 contracts
2016-03-31: Largest IV drop — 24.2% change
2016-03-08: Highest IV Rank — 68.7%
2016-03-30: Largest Expected Move — 22.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.01	$10.36	$11.87	$11.05	$10.43
Max Pain	$12.61	$12.00	$13.00	$12.00	$12.00
ATM IV	60.5%	49.1%	66.2%	60.8%	49.1%
Expected Move	17.7%	13.8%	22.4%	16.6%	13.8%
HV 20d	55.1%	48.4%	59.6%	57.4%	49.7%
HV 60d	59.5%	56.6%	61.2%	56.6%	61.1%
IV Rank	58.5%	38.1%	68.7%	59.0%	38.1%
IV Percentile	75.5%	42.1%	92.1%	77.0%	42.1%
Term Structure	-1.1%	-2.6%	0.5%	-0.5%	-0.1%
VWIV	62.3%	49.1%	78.3%	58.3%	49.1%
Skew 25d	6.5%	5.0%	9.2%	5.2%	5.0%
Skew 10d	14.1%	2.8%	25.8%	16.3%	11.9%
Call IV 25d	58.1%	47.7%	63.1%	59.4%	47.7%
Put IV 25d	64.6%	52.7%	70.8%	64.5%	52.7%
Bid-Ask Spread %	10.43	3.74	20.00	11.10	16.70
Gamma HHI	0.15	0.09	0.26	0.17	0.11
Net GEX	2.0M	-185.4K	4.8M	2.7M	-185.4K
Net DEX	137.0M	44.7M	192.8M	124.4M	192.8M
Net VEX	-2.1M	-2.4M	-1.8M	-2.1M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.35	2.99	0.45	1.15
Total Volume	55,711.727	24,163	105,193	42,960	105,193
Total OI	1,219,889.864	1,075,239	1,352,145	1,179,200	1,352,145

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
2016-03-01	$11.05	$12.00	60.8%	16.6%	57.4%	59.0%	58.3%	5.2%	-0.5%	2.7M	124.4M	-2.1M	0.45	11.10	N/A	N/A	29,598	13,362	726,647	452,553
2016-03-02	$11.65	$12.00	60.3%	16.1%	58.6%	58.2%	55.4%	6.0%	-0.6%	4.3M	68.3M	-2.3M	0.45	12.50	N/A	N/A	41,410	18,712	737,739	452,808
2016-03-03	$11.79	$13.00	60.7%	17.2%	58.6%	58.9%	59.3%	7.4%	-1.3%	4.8M	52.0M	-2.3M	0.50	9.89	N/A	N/A	22,938	11,571	750,144	457,490
2016-03-04	$11.87	$13.00	58.9%	16.8%	56.9%	55.6%	58.7%	6.8%	-0.7%	4.4M	44.7M	-2.4M	0.37	9.74	N/A	N/A	47,707	17,553	753,769	459,924
2016-03-07	$11.59	$13.00	64.6%	17.7%	57.1%	65.9%	62.1%	7.2%	-2.6%	4.0M	89.5M	-2.3M	0.35	12.53	N/A	N/A	40,290	14,205	744,686	458,327
2016-03-08	$10.67	$13.00	66.2%	18.6%	59.2%	68.7%	63.6%	9.2%	0.3%	2.3M	158.7M	-1.9M	0.78	9.94	N/A	N/A	24,266	18,845	766,908	462,371
2016-03-09	$10.78	$13.00	65.2%	18.6%	58.5%	66.8%	63.8%	7.2%	-0.5%	2.2M	157.5M	-1.9M	1.38	6.78	N/A	N/A	10,167	13,996	768,506	466,158
2016-03-10	$10.86	$13.00	64.8%	18.4%	58.3%	66.1%	63.8%	6.3%	-1.5%	2.4M	151.8M	-2.0M	1.06	6.88	N/A	N/A	11,768	12,422	773,056	471,527
2016-03-11	$11.37	$13.00	62.2%	17.6%	59.4%	61.5%	59.6%	6.1%	-1.4%	3.7M	109.9M	-2.1M	0.92	5.94	N/A	N/A	22,040	20,235	777,580	472,773
2016-03-14	$11.13	$13.00	62.5%	17.9%	59.6%	62.1%	67.4%	7.1%	-2.3%	2.8M	141.6M	-2.0M	0.87	3.74	N/A	N/A	13,532	11,796	746,133	464,418
2016-03-15	$10.84	$13.00	61.4%	17.6%	54.4%	60.0%	63.0%	5.4%	-2.2%	1.8M	163.6M	-1.9M	1.08	4.78	N/A	N/A	17,582	19,011	750,032	467,141
2016-03-16	$10.70	$13.00	59.1%	17.0%	50.0%	56.0%	61.2%	5.9%	0.5%	793.7K	178.1M	-1.8M	1.21	20.00	N/A	N/A	23,148	28,058	748,710	468,905
2016-03-17	$10.85	$13.00	58.2%	16.8%	50.3%	54.4%	59.7%	5.4%	-0.8%	1.0M	174.9M	-1.9M	0.76	11.53	N/A	N/A	32,684	24,833	760,536	488,239
2016-03-18	$11.12	$12.00	56.3%	16.3%	50.4%	51.0%	57.8%	5.3%	-0.7%	1.2M	140.0M	-2.0M	1.01	10.69	N/A	N/A	48,652	49,214	773,372	492,709
2016-03-21	$11.58	$13.00	54.7%	15.9%	52.1%	48.1%	56.1%	6.9%	0.0%	1.9M	96.8M	-2.1M	0.67	11.07	N/A	N/A	31,702	21,139	655,136	420,103
2016-03-22	$11.43	$13.00	53.9%	16.1%	48.4%	46.6%	58.6%	6.8%	-0.8%	2.1M	101.4M	-2.2M	0.57	8.99	N/A	N/A	23,697	13,521	676,376	434,406
2016-03-23	$10.68	$12.50	60.6%	18.3%	54.5%	58.7%	64.2%	7.5%	-1.8%	692.7K	159.5M	-2.0M	0.96	13.90	N/A	N/A	45,056	43,329	704,790	462,886
2016-03-24	$10.50	$12.00	61.4%	18.6%	54.8%	60.0%	66.7%	5.9%	-1.7%	337.5K	174.5M	-2.1M	2.99	7.74	N/A	N/A	19,054	56,915	722,340	493,393
2016-03-28	$10.36	$12.00	61.8%	19.3%	55.0%	60.8%	68.0%	7.3%	-1.3%	4.9K	183.8M	-2.0M	0.93	10.76	N/A	N/A	20,219	18,714	715,384	517,604
2016-03-29	$10.40	$12.00	64.3%	21.1%	55.0%	65.2%	75.1%	6.7%	-2.3%	-103.5K	185.6M	-2.0M	0.54	14.32	N/A	N/A	48,704	26,532	723,450	541,030
2016-03-30	$10.55	$12.00	64.8%	22.4%	53.7%	66.2%	78.3%	7.5%	-2.4%	509.4K	164.0M	-2.1M	0.80	9.91	N/A	N/A	51,385	40,903	752,132	553,241
2016-03-31	$10.43	$12.00	49.1%	13.8%	49.7%	38.1%	49.1%	5.0%	-0.1%	-185.4K	192.8M	-2.0M	1.15	16.70	N/A	N/A	48,871	56,322	774,055	578,090