MU Options History — January 2017

In January 2017, MU traded between $21.69 and $24.20. ATM implied volatility averaged 36.7%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 8.3% (HV 20d: 45.1%). Max pain ranged from $16.00 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2017-01-19: Highest Volume — 121,850 contracts
  • 2017-01-30: Largest IV spike — 8.1% change
  • 2017-01-05: Highest IV Rank — 11.0%
  • 2017-01-05: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.64$21.69$24.20$22.54$24.11
Max Pain$20.05$16.00$21.00$16.00$21.00
ATM IV36.7%33.3%40.4%40.4%36.7%
Expected Move10.7%9.7%11.8%11.2%11.0%
HV 20d45.1%28.3%55.2%55.2%28.3%
HV 60d41.4%40.7%42.2%41.6%41.5%
IV Rank4.7%0.0%11.0%11.0%6.9%
IV Percentile4.5%0.0%14.3%13.5%5.2%
Term Structure0.3%-0.4%1.1%0.2%0.6%
VWIV37.7%34.1%41.9%39.5%38.7%
Skew 25d2.0%0.5%3.1%2.5%2.5%
Skew 10d2.7%-2.6%11.2%-0.6%2.6%
Call IV 25d36.6%33.4%40.0%39.8%36.4%
Put IV 25d38.6%34.5%42.3%42.3%38.9%
Bid-Ask Spread %9.175.1914.4910.097.58
Gamma HHI0.140.100.440.110.14
Net GEX15.8M6.3M27.5M21.7M13.5M
Net DEX-1.02B-1.35B-452.5M-1.27B-775.7M
Net VEX-3.0M-3.1M-2.9M-3.0M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.411.100.420.49
Total Volume74,569.3549,402121,85084,83361,414
Total OI1,450,186.9870,0141,828,3841,646,620974,318

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$22.54$16.0040.4%11.2%55.2%11.0%39.5%2.5%0.2%21.7M-1.27B-3.0M0.4210.09N/AN/A59,91224,921984,197662,423
2017-01-04$22.33$16.0039.7%10.8%55.0%9.6%38.5%2.7%0.2%21.9M-1.22B-3.0M0.599.52N/AN/A39,69423,224997,908672,062
2017-01-05$22.15$21.0040.4%11.8%55.1%11.0%41.9%2.0%0.5%20.1M-1.16B-3.1M0.828.21N/AN/A46,45538,1981,009,696685,583
2017-01-06$22.07$20.0038.5%11.4%50.3%7.2%40.7%2.3%0.4%7.0M-1.16B-3.0M0.5611.62N/AN/A41,52423,3701,025,015703,604
2017-01-09$22.38$20.0038.6%11.4%50.3%7.3%39.6%1.8%1.0%18.3M-1.24B-3.0M0.415.19N/AN/A36,42115,0491,001,616680,655
2017-01-10$22.40$20.0036.7%10.8%50.1%3.5%38.3%2.2%0.9%19.4M-1.25B-3.0M0.957.05N/AN/A29,84128,4711,017,041685,859
2017-01-11$22.77$20.0036.3%10.5%48.9%2.7%37.7%2.0%0.1%19.9M-1.35B-3.0M0.445.69N/AN/A44,15519,2131,024,408699,476
2017-01-12$22.27$20.0039.0%11.3%49.9%8.1%40.0%3.0%0.2%18.2M-1.21B-3.0M0.629.14N/AN/A44,49027,8021,030,135708,103
2017-01-13$22.16$20.0036.9%10.6%50.0%3.9%36.9%3.1%-0.2%14.6M-1.19B-3.0M0.697.07N/AN/A29,20420,1981,027,578718,862
2017-01-17$21.75$20.0037.4%10.7%50.6%4.9%38.0%2.7%0.1%14.7M-1.07B-2.9M0.825.33N/AN/A44,96336,7461,009,534712,753
2017-01-18$22.24$20.0035.5%10.2%50.9%1.0%36.1%1.9%0.3%14.6M-1.22B-2.9M0.4610.09N/AN/A45,75820,8751,027,583731,880
2017-01-19$21.69$20.0035.7%10.2%52.0%1.4%36.5%1.9%0.0%13.1M-1.07B-2.9M0.629.91N/AN/A75,11546,7351,032,870735,598
2017-01-20$21.93$21.0033.7%9.7%51.9%0.0%34.1%1.8%-0.4%27.5M-1.12B-3.0M1.107.20N/AN/A48,23553,2331,062,524765,860
2017-01-23$21.92$21.0034.1%9.9%51.8%0.8%34.7%2.5%0.6%6.3M-452.5M-3.0M0.788.14N/AN/A29,04122,647496,328373,686
2017-01-24$22.87$21.0036.0%10.6%29.4%4.6%37.7%1.8%0.3%9.8M-612.2M-3.1M0.5114.36N/AN/A73,34337,193513,650384,320
2017-01-25$23.54$21.0035.2%10.4%31.2%3.0%36.8%0.7%-0.0%12.8M-739.1M-3.1M0.519.39N/AN/A55,04928,202545,390406,181
2017-01-26$23.54$21.0034.7%10.1%31.2%2.1%36.3%0.5%-0.0%13.5M-745.7M-3.1M0.6811.59N/AN/A40,64227,558553,862417,837
2017-01-27$23.92$21.0033.3%9.7%30.5%0.0%34.3%0.7%0.5%18.2M-807.5M-3.1M0.9311.64N/AN/A41,58638,858558,526429,717
2017-01-30$24.20$21.0035.9%10.7%29.0%5.4%37.9%2.3%1.1%10.6M-767.1M-3.1M0.4214.49N/AN/A50,73521,317529,688407,412
2017-01-31$24.11$21.0036.7%11.0%28.3%6.9%38.7%2.5%0.6%13.5M-775.7M-3.1M0.497.58N/AN/A41,29520,119557,060417,258