MU Options History — July 2016

In July 2016, MU traded between $11.75 and $14.64. ATM implied volatility averaged 42.7%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 28.6% (HV 20d: 71.3%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.43.

Notable Days

2016-07-01: Highest Volume — 146,737 contracts
2016-07-08: Largest IV drop — 5.2% change
2016-07-06: Highest IV Rank — 27.5%
2016-07-07: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.17	$11.75	$14.64	$12.46	$13.74
Max Pain	$12.00	$12.00	$12.00	$12.00	$12.00
ATM IV	42.7%	38.0%	49.8%	47.7%	42.3%
Expected Move	12.1%	10.9%	13.9%	13.1%	11.9%
HV 20d	71.3%	58.7%	76.8%	72.4%	58.7%
HV 60d	57.1%	54.7%	59.1%	58.4%	54.7%
IV Rank	10.7%	0.0%	27.5%	26.9%	9.5%
IV Percentile	7.0%	0.0%	26.6%	15.5%	6.0%
Term Structure	0.4%	-1.1%	1.8%	0.8%	0.3%
VWIV	42.5%	38.1%	49.3%	45.5%	41.8%
Skew 25d	3.9%	1.5%	6.0%	4.7%	3.1%
Skew 10d	7.6%	-1.9%	20.3%	8.1%	6.6%
Call IV 25d	41.5%	36.5%	47.9%	45.8%	41.0%
Put IV 25d	45.4%	40.0%	53.8%	50.5%	44.1%
Bid-Ask Spread %	13.13	7.31	23.62	15.44	16.40
Gamma HHI	0.14	0.10	0.17	0.12	0.10
Net GEX	9.2M	5.1M	13.8M	7.3M	9.4M
Net DEX	-234.7M	-446.5M	-30.0M	-113.2M	-291.9M
Net VEX	-3.1M	-3.6M	-2.8M	-3.1M	-3.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.19	0.83	0.82	0.55
Total Volume	74,725.7	33,538	146,737	146,737	33,538
Total OI	1,561,345.25	1,293,655	1,780,942	1,780,942	1,530,618

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
2016-07-01	$12.46	$12.00	47.7%	13.1%	72.4%	26.9%	45.5%	4.7%	0.8%	7.3M	-113.2M	-3.1M	0.82	15.44	N/A	N/A	80,531	66,206	1,107,221	673,721
2016-07-05	$11.91	$12.00	48.8%	13.8%	74.0%	25.4%	47.2%	6.0%	1.1%	5.1M	-51.6M	-2.9M	0.31	22.24	N/A	N/A	63,431	19,803	1,060,092	625,102
2016-07-06	$11.75	$12.00	49.8%	13.8%	73.7%	27.5%	49.3%	6.0%	0.5%	5.3M	-30.0M	-2.8M	0.52	9.00	N/A	N/A	30,651	15,874	1,077,786	627,008
2016-07-07	$12.19	$12.00	48.5%	13.9%	74.4%	24.7%	48.0%	4.8%	0.1%	7.0M	-115.2M	-2.9M	0.37	23.62	N/A	N/A	49,161	18,253	1,074,890	630,289
2016-07-08	$12.63	$12.00	46.0%	12.6%	75.5%	19.3%	44.5%	5.2%	-0.3%	8.5M	-207.2M	-3.0M	0.29	9.92	N/A	N/A	47,724	13,798	1,090,025	632,482
2016-07-11	$12.63	$12.00	43.6%	12.2%	74.4%	14.2%	42.9%	5.0%	-1.1%	9.0M	-201.9M	-2.9M	0.34	10.23	N/A	N/A	33,061	11,212	1,085,670	623,236
2016-07-12	$13.25	$12.00	41.4%	11.7%	76.1%	9.6%	40.9%	3.3%	-0.6%	11.5M	-343.1M	-3.0M	0.27	12.35	N/A	N/A	77,375	21,007	1,087,254	624,618
2016-07-13	$13.31	$12.00	40.5%	12.0%	75.9%	2.2%	41.8%	4.4%	1.4%	11.6M	-355.2M	-3.0M	0.46	8.03	N/A	N/A	25,873	11,918	1,075,195	629,970
2016-07-14	$13.31	$12.00	39.4%	11.5%	75.9%	0.0%	40.1%	3.6%	1.5%	10.5M	-356.2M	-3.0M	0.37	9.06	N/A	N/A	30,052	11,035	1,079,339	631,382
2016-07-15	$13.14	$12.00	39.2%	11.1%	76.1%	0.0%	38.6%	4.8%	-0.8%	6.6M	-342.4M	-2.9M	0.83	8.34	N/A	N/A	79,690	66,010	1,084,058	637,274
2016-07-18	$13.35	$12.00	38.0%	10.9%	76.0%	0.0%	38.2%	3.9%	0.4%	7.7M	-165.4M	-3.0M	0.38	7.34	N/A	N/A	29,603	11,278	827,542	466,113
2016-07-19	$13.22	$12.00	38.6%	11.0%	76.1%	1.3%	38.1%	3.6%	1.8%	8.2M	-151.0M	-3.0M	0.69	7.31	N/A	N/A	39,242	27,137	841,901	470,259
2016-07-20	$13.61	$12.00	38.9%	11.2%	75.8%	2.0%	38.6%	3.0%	0.6%	9.4M	-227.7M	-3.2M	0.39	13.92	N/A	N/A	97,565	37,642	869,006	477,248
2016-07-21	$13.19	$12.00	39.6%	11.3%	76.8%	3.6%	38.8%	3.5%	0.7%	8.7M	-156.9M	-3.1M	0.28	12.12	N/A	N/A	34,438	9,709	911,658	485,652
2016-07-22	$13.12	$12.00	39.5%	11.3%	67.0%	3.3%	39.5%	2.7%	0.7%	8.0M	-152.2M	-3.1M	0.36	13.21	N/A	N/A	29,846	10,646	917,426	490,226
2016-07-25	$13.90	$12.00	41.6%	12.0%	68.0%	7.8%	42.5%	1.5%	0.1%	11.0M	-298.5M	-3.2M	0.19	17.04	N/A	N/A	86,671	16,757	902,339	475,981
2016-07-26	$14.64	$12.00	42.7%	12.6%	60.7%	10.3%	44.2%	3.3%	0.5%	11.6M	-446.5M	-3.5M	0.37	18.46	N/A	N/A	101,547	37,708	925,905	479,733
2016-07-27	$14.18	$12.00	44.3%	12.8%	59.3%	13.8%	44.8%	1.5%	-0.6%	13.5M	-382.0M	-3.6M	0.29	11.58	N/A	N/A	46,421	13,302	983,495	506,023
2016-07-28	$13.82	$12.00	43.6%	12.4%	60.1%	12.3%	44.0%	3.6%	0.5%	13.8M	-307.0M	-3.5M	0.49	17.05	N/A	N/A	39,565	19,234	999,670	509,498
2016-07-29	$13.74	$12.00	42.3%	11.9%	58.7%	9.5%	41.8%	3.1%	0.3%	9.4M	-291.9M	-3.5M	0.55	16.40	N/A	N/A	21,599	11,939	1,014,951	515,667