MU Options History — September 2016

In September 2016, MU traded between $16.61 and $17.99. ATM implied volatility averaged 47.1%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 10.7% (HV 20d: 36.4%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.47.

Notable Days

2016-09-08: Highest Volume — 191,647 contracts
2016-09-09: Largest IV spike — 6.6% change
2016-09-29: Highest IV Rank — 27.5%
2016-09-29: Largest Expected Move — 15.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.24	$16.61	$17.99	$16.61	$17.79
Max Pain	$12.48	$12.00	$14.00	$14.00	$13.00
ATM IV	47.1%	44.9%	50.6%	48.8%	47.7%
Expected Move	13.2%	11.1%	15.0%	12.2%	14.3%
HV 20d	36.4%	32.8%	40.9%	35.4%	38.0%
HV 60d	48.9%	38.9%	54.2%	53.5%	38.9%
IV Rank	19.9%	15.1%	27.5%	23.6%	21.1%
IV Percentile	26.5%	18.7%	47.6%	29.0%	31.0%
Term Structure	-1.0%	-3.2%	-0.1%	-0.8%	-0.4%
VWIV	46.2%	39.5%	52.5%	42.8%	50.4%
Skew 25d	3.1%	1.8%	5.2%	4.3%	1.8%
Skew 10d	6.3%	-12.6%	29.8%	14.3%	3.8%
Call IV 25d	46.2%	44.3%	50.1%	46.6%	47.6%
Put IV 25d	49.2%	46.8%	52.8%	50.9%	49.4%
Bid-Ask Spread %	7.51	4.14	11.93	11.93	8.00
Gamma HHI	0.16	0.12	0.38	0.13	0.19
Net GEX	16.6M	11.9M	31.7M	18.4M	13.4M
Net DEX	-813.4M	-999.1M	-625.3M	-782.2M	-826.8M
Net VEX	-3.9M	-4.0M	-3.7M	-4.0M	-3.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.24	0.70	0.34	0.63
Total Volume	81,119.095	44,588	191,647	47,034	75,546
Total OI	1,724,559.619	1,634,887	1,839,972	1,711,621	1,785,553

Daily Data (21 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
2016-09-01	$16.61	$14.00	48.8%	12.2%	35.4%	23.6%	42.8%	4.3%	-0.8%	18.4M	-782.2M	-4.0M	0.34	11.93	N/A	N/A	35,230	11,804	1,110,363	601,258
2016-09-02	$16.66	$14.00	47.3%	11.1%	34.2%	20.4%	39.8%	2.2%	-0.7%	15.3M	-798.0M	-4.0M	0.64	4.14	N/A	N/A	27,109	17,479	1,113,733	604,262
2016-09-06	$17.03	$12.00	47.4%	13.1%	34.3%	20.5%	45.8%	3.5%	-0.6%	15.8M	-862.8M	-3.9M	0.57	4.86	N/A	N/A	29,604	16,824	1,086,789	600,541
2016-09-07	$17.16	$12.00	47.3%	13.1%	34.2%	20.4%	46.7%	3.6%	-0.5%	16.4M	-895.1M	-3.9M	0.28	6.90	N/A	N/A	62,884	17,900	1,095,154	603,005
2016-09-08	$17.52	$12.00	45.5%	12.4%	32.8%	16.4%	43.8%	3.2%	-1.4%	18.1M	-999.1M	-3.9M	0.24	7.20	N/A	N/A	154,728	36,919	1,114,201	606,952
2016-09-09	$16.83	$12.00	48.5%	13.3%	37.2%	23.0%	46.2%	2.8%	-1.8%	15.8M	-804.6M	-3.9M	0.40	8.55	N/A	N/A	75,299	30,084	1,140,083	624,793
2016-09-12	$17.16	$12.00	47.2%	13.1%	36.5%	20.2%	47.0%	3.9%	-1.1%	16.6M	-893.3M	-3.9M	0.48	11.33	N/A	N/A	48,240	23,046	1,133,673	622,993
2016-09-13	$16.66	$12.00	49.3%	13.7%	36.2%	24.7%	48.2%	2.7%	-1.2%	16.1M	-750.5M	-4.0M	0.34	6.02	N/A	N/A	47,618	16,362	1,142,753	632,276
2016-09-14	$16.91	$12.00	48.5%	13.5%	36.3%	23.1%	39.5%	3.8%	-1.2%	18.2M	-844.1M	-4.0M	0.54	5.48	N/A	N/A	40,500	21,739	1,166,233	635,762
2016-09-15	$17.40	$12.00	46.5%	13.3%	37.3%	18.6%	47.0%	4.3%	-0.3%	19.9M	-975.0M	-3.9M	0.29	7.67	N/A	N/A	64,432	18,957	1,176,737	648,014
2016-09-16	$17.51	$12.00	46.3%	12.8%	37.1%	18.2%	44.9%	5.2%	-3.2%	31.7M	-997.5M	-3.9M	0.44	8.92	N/A	N/A	58,532	25,959	1,182,345	657,627
2016-09-19	$16.97	$12.00	46.8%	13.3%	38.0%	19.3%	46.6%	2.6%	-0.7%	12.2M	-635.7M	-3.8M	0.45	10.15	N/A	N/A	58,803	26,350	1,036,781	598,106
2016-09-20	$16.91	$12.00	45.8%	13.0%	37.9%	17.1%	45.9%	2.6%	-0.3%	12.5M	-625.3M	-3.8M	0.65	4.62	N/A	N/A	28,492	18,425	1,056,816	611,281
2016-09-21	$17.69	$12.00	45.9%	13.2%	40.9%	17.3%	46.4%	2.5%	-0.1%	15.7M	-819.8M	-3.9M	0.47	10.62	N/A	N/A	48,250	22,899	1,068,696	617,080
2016-09-22	$17.63	$12.00	45.2%	13.0%	36.9%	15.7%	45.7%	2.1%	-0.7%	16.3M	-802.6M	-3.9M	0.42	6.82	N/A	N/A	39,484	16,603	1,072,050	623,723
2016-09-23	$17.49	$13.00	44.9%	13.0%	34.5%	15.1%	46.0%	2.5%	-1.4%	22.6M	-761.0M	-3.9M	0.61	7.01	N/A	N/A	27,791	17,092	1,080,050	628,803
2016-09-26	$17.34	$13.00	45.9%	13.4%	34.3%	17.3%	47.2%	2.5%	-0.9%	12.8M	-718.0M	-3.8M	0.70	5.54	N/A	N/A	71,809	50,217	1,050,880	614,469
2016-09-27	$17.99	$13.00	45.5%	13.5%	35.7%	16.4%	47.5%	2.5%	-0.4%	13.3M	-838.1M	-3.7M	0.62	7.81	N/A	N/A	53,123	33,037	1,026,347	613,086
2016-09-28	$17.34	$13.00	48.3%	14.6%	38.1%	22.6%	51.1%	3.5%	-1.4%	11.9M	-695.4M	-3.8M	0.32	5.97	N/A	N/A	100,650	32,049	1,052,486	633,159
2016-09-29	$17.53	$13.00	50.6%	15.0%	37.8%	27.5%	52.5%	2.7%	-2.1%	14.8M	-756.9M	-3.9M	0.53	8.18	N/A	N/A	66,474	35,158	1,100,838	646,001
2016-09-30	$17.79	$13.00	47.7%	14.3%	38.0%	21.1%	50.4%	1.8%	-0.4%	13.4M	-826.8M	-3.9M	0.63	8.00	N/A	N/A	46,277	29,269	1,123,164	662,389