MU Options History — December 2016

In December 2016, MU traded between $18.39 and $23.34. ATM implied volatility averaged 42.6%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 4.0% (HV 20d: 46.6%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.51.

Notable Days

2016-12-22: Highest Volume — 327,310 contracts
2016-12-22: Largest IV drop — 10.0% change
2016-12-01: Highest IV Rank — 24.4%
2016-12-07: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.74	$18.39	$23.34	$18.39	$21.96
Max Pain	$15.33	$15.00	$17.00	$17.00	$16.00
ATM IV	42.6%	35.0%	48.4%	48.4%	39.0%
Expected Move	11.8%	9.9%	13.4%	12.5%	10.9%
HV 20d	46.6%	38.2%	60.2%	38.8%	55.0%
HV 60d	36.1%	32.9%	41.4%	34.0%	41.4%
IV Rank	13.0%	0.0%	24.4%	24.4%	8.1%
IV Percentile	26.0%	0.0%	47.6%	47.6%	9.1%
Term Structure	-0.5%	-2.3%	0.9%	-1.3%	0.6%
VWIV	41.6%	35.0%	47.1%	44.1%	38.1%
Skew 25d	1.7%	0.2%	2.4%	2.4%	2.4%
Skew 10d	2.9%	-1.0%	12.6%	1.0%	-0.6%
Call IV 25d	42.6%	34.6%	48.7%	48.4%	38.5%
Put IV 25d	44.3%	35.7%	50.9%	50.9%	40.9%
Bid-Ask Spread %	9.51	5.38	21.11	21.11	7.59
Gamma HHI	0.25	0.10	0.49	0.28	0.12
Net GEX	21.7M	14.4M	30.6M	14.4M	18.0M
Net DEX	-1.04B	-1.61B	-502.7M	-502.7M	-1.08B
Net VEX	-3.3M	-3.6M	-3.0M	-3.4M	-3.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.24	1.14	0.62	0.39
Total Volume	101,484.952	40,272	327,310	87,830	99,146
Total OI	1,676,152.095	1,538,629	1,764,452	1,655,257	1,702,528

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
2016-12-01	$18.39	$17.00	48.4%	12.5%	38.8%	24.4%	44.1%	2.4%	-1.3%	14.4M	-502.7M	-3.4M	0.62	21.11	N/A	N/A	54,255	33,575	1,013,844	641,413
2016-12-02	$18.82	$17.00	46.9%	11.5%	39.1%	21.2%	40.8%	1.9%	-1.6%	17.6M	-623.4M	-3.5M	0.38	19.68	N/A	N/A	65,067	24,546	1,035,408	650,218
2016-12-05	$18.60	$15.00	46.0%	12.7%	39.6%	19.3%	44.3%	1.9%	-0.1%	17.4M	-606.1M	-3.4M	0.31	7.74	N/A	N/A	61,481	19,214	1,020,090	627,225
2016-12-06	$19.06	$15.00	45.6%	12.7%	38.2%	18.5%	44.7%	1.7%	-0.1%	21.8M	-737.1M	-3.5M	0.43	7.23	N/A	N/A	28,096	12,176	1,041,593	633,820
2016-12-07	$20.40	$15.00	47.3%	13.4%	44.3%	22.1%	47.1%	0.2%	-0.6%	26.9M	-1.11B	-3.6M	0.27	6.86	N/A	N/A	151,756	40,620	1,046,194	637,275
2016-12-08	$20.67	$15.00	47.8%	13.3%	43.5%	23.3%	47.0%	1.6%	-0.5%	27.4M	-1.19B	-3.5M	0.40	8.91	N/A	N/A	52,836	21,317	1,053,467	648,228
2016-12-09	$20.50	$15.00	45.3%	12.7%	43.5%	17.8%	44.5%	2.0%	-0.4%	29.3M	-1.12B	-3.5M	0.67	6.61	N/A	N/A	44,570	30,050	1,048,469	657,332
2016-12-12	$19.97	$15.00	45.5%	12.4%	44.2%	18.3%	43.6%	1.8%	-2.3%	28.2M	-945.1M	-3.5M	0.50	10.94	N/A	N/A	57,648	29,033	1,032,548	648,208
2016-12-13	$20.19	$15.00	44.5%	12.3%	44.2%	16.1%	43.1%	2.1%	-1.7%	30.5M	-1.01B	-3.4M	1.14	6.99	N/A	N/A	32,007	36,476	1,034,822	658,329
2016-12-14	$20.11	$15.00	43.8%	12.0%	43.7%	14.7%	43.0%	2.1%	-2.0%	30.6M	-971.6M	-3.4M	0.71	11.33	N/A	N/A	26,934	19,055	1,043,121	681,356
2016-12-15	$20.34	$15.00	43.0%	12.0%	43.8%	12.8%	41.9%	1.7%	-1.9%	30.6M	-1.05B	-3.3M	0.66	7.53	N/A	N/A	43,730	28,898	1,049,174	686,302
2016-12-16	$20.25	$15.00	44.9%	12.5%	40.6%	16.9%	43.9%	2.1%	-1.7%	15.3M	-1.02B	-3.3M	0.24	7.51	N/A	N/A	78,636	19,214	1,060,135	704,317
2016-12-19	$20.31	$15.00	42.7%	12.1%	40.6%	12.2%	42.6%	1.3%	-0.3%	17.3M	-866.7M	-3.2M	0.52	5.95	N/A	N/A	39,720	20,476	918,237	620,392
2016-12-20	$20.61	$15.00	42.6%	12.1%	40.7%	12.1%	42.9%	1.1%	-0.2%	18.1M	-931.7M	-3.2M	0.47	7.47	N/A	N/A	83,883	39,094	924,886	628,508
2016-12-21	$20.49	$15.00	41.3%	11.8%	40.7%	9.2%	41.6%	1.0%	0.3%	19.7M	-930.0M	-3.4M	0.47	9.23	N/A	N/A	101,031	47,859	975,105	650,134
2016-12-22	$23.23	$15.00	37.2%	10.6%	59.9%	0.4%	38.1%	1.3%	0.9%	20.8M	-1.61B	-3.0M	0.40	11.16	N/A	N/A	233,872	93,438	1,008,813	679,479
2016-12-23	$23.21	$15.00	35.0%	9.9%	59.9%	0.0%	35.0%	1.1%	0.9%	19.3M	-1.55B	-3.0M	0.53	8.37	N/A	N/A	90,425	48,316	1,019,341	712,262
2016-12-27	$23.34	$16.00	36.2%	10.3%	59.6%	2.4%	35.7%	1.8%	0.8%	17.4M	-1.47B	-3.0M	0.52	5.38	N/A	N/A	46,840	24,256	985,702	670,786
2016-12-28	$22.84	$15.00	35.2%	9.9%	59.1%	0.3%	35.5%	2.4%	0.6%	16.8M	-1.33B	-3.1M	0.49	10.82	N/A	N/A	49,906	24,588	988,746	679,591
2016-12-29	$22.30	$16.00	36.9%	10.3%	60.2%	3.7%	36.4%	1.8%	0.8%	18.9M	-1.17B	-3.1M	0.53	11.34	N/A	N/A	50,299	26,845	991,274	690,522
2016-12-30	$21.96	$16.00	39.0%	10.9%	55.0%	8.1%	38.1%	2.4%	0.6%	18.0M	-1.08B	-3.3M	0.39	7.59	N/A	N/A	71,455	27,691	1,004,031	698,497