MU Options History — October 2016

In October 2016, MU traded between $16.79 and $17.84. ATM implied volatility averaged 39.5%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 8.6% (HV 20d: 31.0%). Max pain ranged from $13.00 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.57.

Notable Days

2016-10-05: Highest Volume — 285,789 contracts
2016-10-05: Largest IV drop — 19.1% change
2016-10-03: Highest IV Rank — 21.0%
2016-10-04: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.32	$16.79	$17.84	$17.70	$17.25
Max Pain	$15.57	$13.00	$16.00	$13.00	$16.00
ATM IV	39.5%	37.0%	47.6%	47.6%	38.6%
Expected Move	11.5%	10.4%	15.3%	15.0%	11.4%
HV 20d	31.0%	23.4%	38.2%	38.2%	23.6%
HV 60d	36.0%	32.5%	38.5%	38.5%	32.5%
IV Rank	4.9%	0.0%	21.0%	21.0%	3.4%
IV Percentile	6.0%	0.0%	30.6%	30.6%	4.4%
Term Structure	0.3%	-1.1%	2.5%	-0.8%	0.4%
VWIV	40.4%	36.8%	53.4%	52.3%	39.2%
Skew 25d	3.0%	0.7%	4.3%	3.1%	4.3%
Skew 10d	6.1%	-0.4%	16.8%	6.9%	0.2%
Call IV 25d	38.6%	35.2%	46.8%	46.0%	37.5%
Put IV 25d	41.6%	38.6%	49.1%	49.1%	41.8%
Bid-Ask Spread %	10.95	4.88	21.17	5.52	14.69
Gamma HHI	0.17	0.15	0.22	0.19	0.18
Net GEX	12.8M	7.3M	16.8M	13.5M	10.4M
Net DEX	-612.0M	-812.4M	-392.6M	-769.8M	-424.7M
Net VEX	-3.7M	-4.0M	-3.5M	-3.8M	-3.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.35	0.99	0.57	0.49
Total Volume	82,444.714	40,426	285,789	101,912	47,921
Total OI	1,808,026.905	1,590,014	1,952,070	1,724,385	1,611,816

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
2016-10-03	$17.70	$13.00	47.6%	15.0%	38.2%	21.0%	52.3%	3.1%	-0.8%	13.5M	-769.8M	-3.8M	0.57	5.52	N/A	N/A	64,872	37,040	1,083,551	640,834
2016-10-04	$17.84	$13.00	46.5%	15.3%	37.6%	18.7%	53.4%	2.0%	0.6%	14.1M	-812.4M	-3.9M	0.59	10.89	N/A	N/A	155,067	91,658	1,110,002	663,494
2016-10-05	$17.72	$13.00	37.6%	10.4%	37.6%	0.0%	36.8%	0.7%	1.1%	16.8M	-769.5M	-3.9M	0.35	8.72	N/A	N/A	211,887	73,902	1,181,546	729,672
2016-10-06	$17.72	$16.00	37.8%	11.0%	36.9%	0.4%	38.8%	2.6%	1.5%	15.6M	-773.2M	-4.0M	0.54	5.88	N/A	N/A	28,759	15,483	1,202,333	741,796
2016-10-07	$17.63	$16.00	37.9%	10.9%	33.8%	0.7%	38.9%	3.9%	2.5%	13.4M	-752.5M	-3.9M	0.45	6.63	N/A	N/A	38,646	17,457	1,208,124	741,522
2016-10-10	$17.54	$16.00	37.2%	10.8%	33.2%	0.0%	39.3%	2.4%	0.7%	13.2M	-715.7M	-3.8M	0.93	5.13	N/A	N/A	21,166	19,734	1,137,901	688,572
2016-10-11	$16.84	$16.00	40.4%	11.6%	34.8%	6.8%	40.7%	4.2%	-0.3%	9.5M	-530.1M	-3.7M	0.41	10.02	N/A	N/A	82,539	34,099	1,141,369	694,053
2016-10-12	$16.79	$16.00	41.3%	11.7%	34.4%	8.8%	41.2%	3.0%	-0.6%	10.3M	-531.8M	-3.7M	0.76	9.38	N/A	N/A	27,264	20,710	1,170,736	704,824
2016-10-13	$16.90	$16.00	42.2%	12.1%	32.8%	10.6%	42.9%	4.2%	0.2%	11.1M	-561.8M	-3.8M	0.51	10.38	N/A	N/A	58,534	29,749	1,180,569	711,266
2016-10-14	$17.13	$16.00	40.6%	11.7%	33.1%	7.3%	40.9%	3.6%	0.2%	12.3M	-639.6M	-3.9M	0.57	7.87	N/A	N/A	39,414	22,517	1,206,402	722,033
2016-10-17	$17.01	$16.00	40.7%	11.6%	31.3%	7.4%	40.4%	3.6%	-0.4%	12.3M	-605.6M	-3.8M	0.66	4.88	N/A	N/A	24,367	16,059	1,172,088	714,656
2016-10-18	$17.41	$16.00	40.5%	11.6%	32.3%	7.0%	40.1%	2.9%	-1.1%	15.0M	-721.7M	-3.8M	0.51	9.45	N/A	N/A	47,240	24,028	1,183,042	721,019
2016-10-19	$17.23	$16.00	39.2%	11.2%	28.1%	4.1%	38.7%	2.3%	-0.1%	14.5M	-670.1M	-3.7M	0.49	15.82	N/A	N/A	39,142	19,243	1,193,602	727,667
2016-10-20	$17.20	$16.00	38.0%	10.9%	28.0%	1.5%	38.5%	1.3%	-0.0%	15.3M	-666.6M	-3.7M	0.68	12.75	N/A	N/A	39,058	26,752	1,200,017	731,202
2016-10-21	$16.93	$16.00	37.2%	10.7%	28.4%	0.0%	37.7%	2.3%	-0.4%	7.3M	-537.9M	-3.6M	0.45	6.34	N/A	N/A	58,533	26,250	1,207,619	744,451
2016-10-24	$17.05	$16.00	37.2%	10.7%	28.5%	0.1%	37.4%	4.3%	1.1%	9.5M	-392.6M	-3.6M	0.63	11.93	N/A	N/A	31,860	20,184	963,060	626,954
2016-10-25	$17.52	$16.00	37.0%	10.6%	26.9%	0.0%	37.0%	3.4%	-0.0%	13.5M	-503.7M	-3.7M	0.51	19.65	N/A	N/A	44,162	22,398	971,754	633,501
2016-10-26	$17.65	$16.00	37.3%	10.9%	23.6%	0.6%	37.8%	2.4%	0.8%	14.8M	-541.3M	-3.7M	0.43	14.02	N/A	N/A	36,913	15,761	979,817	640,932
2016-10-27	$17.53	$16.00	37.0%	10.7%	23.4%	0.0%	37.6%	4.1%	1.2%	15.7M	-511.2M	-3.6M	0.99	18.87	N/A	N/A	24,133	23,982	989,576	644,418
2016-10-28	$17.21	$16.00	38.7%	11.4%	23.6%	3.7%	39.7%	2.7%	0.7%	9.6M	-420.6M	-3.6M	0.41	21.17	N/A	N/A	37,400	15,456	995,375	655,400
2016-10-31	$17.25	$16.00	38.6%	11.4%	23.6%	3.4%	39.2%	4.3%	0.4%	10.4M	-424.7M	-3.5M	0.49	14.69	N/A	N/A	32,102	15,819	971,970	639,846