MU Options History — November 2016

In November 2016, MU traded between $16.60 and $20.13. ATM implied volatility averaged 41.0%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 13.1% (HV 20d: 27.9%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.54.

Notable Days

2016-11-17: Highest Volume — 176,973 contracts
2016-11-07: Largest IV drop — 9.5% change
2016-11-29: Highest IV Rank — 13.9%
2016-11-01: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.30	$16.60	$20.13	$17.00	$19.59
Max Pain	$16.36	$16.00	$17.00	$16.00	$17.00
ATM IV	41.0%	38.4%	43.5%	41.0%	42.5%
Expected Move	11.3%	9.7%	12.4%	12.4%	10.3%
HV 20d	27.9%	23.8%	32.0%	23.8%	30.7%
HV 60d	31.9%	30.8%	32.9%	32.6%	31.3%
IV Rank	8.7%	3.1%	13.9%	8.7%	11.9%
IV Percentile	16.2%	4.4%	30.2%	13.5%	27.8%
Term Structure	1.4%	-1.3%	6.3%	0.5%	-0.8%
VWIV	39.5%	34.5%	43.3%	43.1%	38.3%
Skew 25d	3.3%	1.0%	5.0%	3.4%	3.1%
Skew 10d	6.4%	-2.8%	14.3%	6.2%	8.3%
Call IV 25d	40.0%	36.8%	43.3%	39.8%	42.0%
Put IV 25d	43.3%	38.9%	45.8%	43.2%	45.1%
Bid-Ask Spread %	14.43	5.69	26.18	21.40	22.50
Gamma HHI	0.24	0.13	0.37	0.16	0.31
Net GEX	16.1M	5.2M	24.3M	8.8M	21.0M
Net DEX	-644.4M	-1.02B	-262.3M	-369.9M	-808.7M
Net VEX	-3.4M	-3.5M	-3.2M	-3.5M	-3.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.16	0.99	0.79	0.43
Total Volume	71,837.952	30,551	176,973	51,347	55,407
Total OI	1,623,685.095	1,492,380	1,718,921	1,624,968	1,633,933

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
2016-11-01	$17.00	$16.00	41.0%	12.4%	23.8%	8.7%	43.1%	3.4%	0.5%	8.8M	-369.9M	-3.5M	0.79	21.40	N/A	N/A	28,727	22,620	981,492	643,476
2016-11-02	$16.70	$16.50	41.1%	12.4%	24.4%	8.9%	42.4%	4.3%	1.1%	5.9M	-290.9M	-3.4M	0.44	26.05	N/A	N/A	21,217	9,334	985,184	655,546
2016-11-03	$16.60	$16.00	42.2%	12.3%	24.4%	11.2%	43.3%	3.7%	0.2%	5.2M	-262.3M	-3.5M	0.38	7.58	N/A	N/A	32,477	12,234	991,457	658,084
2016-11-04	$16.67	$16.00	42.5%	12.4%	24.5%	11.7%	43.1%	4.1%	0.2%	6.2M	-289.6M	-3.4M	0.43	9.78	N/A	N/A	38,831	16,637	1,001,850	659,215
2016-11-07	$17.34	$16.00	38.4%	11.8%	28.7%	3.1%	40.5%	3.6%	2.3%	11.7M	-448.9M	-3.5M	0.58	13.38	N/A	N/A	29,389	17,064	983,820	652,097
2016-11-08	$17.43	$16.00	38.5%	11.8%	24.5%	3.4%	39.9%	4.3%	2.6%	13.3M	-482.4M	-3.4M	0.85	12.21	N/A	N/A	20,839	17,662	991,090	656,827
2016-11-09	$17.18	$16.00	41.0%	11.8%	25.1%	8.6%	40.4%	4.5%	0.0%	11.6M	-405.0M	-3.4M	0.65	11.89	N/A	N/A	40,707	26,414	995,522	661,286
2016-11-10	$17.04	$16.00	42.3%	12.3%	25.2%	11.3%	42.0%	4.5%	0.9%	11.6M	-390.7M	-3.3M	0.51	15.87	N/A	N/A	51,125	25,922	1,009,553	661,383
2016-11-11	$17.64	$16.00	41.0%	11.8%	27.7%	8.6%	41.6%	3.4%	-0.2%	14.5M	-560.2M	-3.4M	0.39	17.00	N/A	N/A	55,721	21,903	1,018,458	664,245
2016-11-14	$17.70	$16.00	42.1%	12.1%	27.5%	11.0%	41.8%	3.5%	4.4%	17.0M	-545.5M	-3.4M	0.47	6.93	N/A	N/A	35,890	16,912	991,002	646,595
2016-11-15	$18.17	$16.00	38.8%	11.1%	27.8%	3.9%	40.3%	3.8%	6.3%	21.9M	-660.4M	-3.3M	0.16	5.69	N/A	N/A	70,534	11,040	996,892	653,104
2016-11-16	$18.25	$16.00	40.4%	11.6%	27.4%	7.4%	39.5%	5.0%	4.9%	24.1M	-703.6M	-3.3M	0.18	12.44	N/A	N/A	73,944	13,372	1,006,723	655,493
2016-11-17	$19.18	$16.00	40.1%	11.2%	32.0%	6.7%	39.4%	2.6%	5.2%	24.3M	-967.3M	-3.4M	0.25	13.83	N/A	N/A	142,136	34,837	1,041,134	656,652
2016-11-18	$19.24	$16.00	39.6%	10.8%	31.0%	5.6%	38.6%	1.0%	5.2%	18.5M	-978.6M	-3.4M	0.50	11.98	N/A	N/A	56,629	28,471	1,046,299	672,622
2016-11-21	$19.46	$17.00	39.9%	10.1%	31.1%	6.2%	36.3%	2.2%	-0.4%	20.2M	-836.2M	-3.3M	0.42	11.70	N/A	N/A	38,805	16,356	927,384	564,996
2016-11-22	$19.68	$17.00	40.6%	10.1%	30.2%	7.7%	35.6%	2.2%	-0.5%	21.0M	-888.8M	-3.2M	0.57	17.84	N/A	N/A	42,903	24,513	936,710	572,477
2016-11-23	$19.90	$17.00	40.9%	9.7%	30.2%	8.4%	34.5%	2.7%	-0.4%	22.3M	-945.1M	-3.3M	0.94	15.40	N/A	N/A	43,836	41,221	951,072	586,265
2016-11-25	$20.13	$17.00	42.5%	10.0%	29.9%	11.8%	35.5%	2.2%	-1.3%	19.0M	-1.02B	-3.3M	0.99	13.74	N/A	N/A	36,067	35,751	963,584	608,507
2016-11-28	$19.96	$17.00	42.8%	10.3%	29.0%	12.4%	36.6%	2.1%	-0.8%	20.3M	-922.1M	-3.2M	0.90	9.67	N/A	N/A	32,174	29,039	945,238	602,789
2016-11-29	$19.40	$17.00	43.5%	10.8%	31.6%	13.9%	37.5%	2.5%	-0.8%	19.0M	-760.2M	-3.2M	0.46	26.18	N/A	N/A	95,672	44,265	953,176	614,155
2016-11-30	$19.59	$17.00	42.5%	10.3%	30.7%	11.9%	38.3%	3.1%	-0.8%	21.0M	-808.7M	-3.3M	0.43	22.50	N/A	N/A	38,812	16,595	995,941	637,992