MU Options History — February 2017

In February 2017, MU traded between $22.94 and $24.80. ATM implied volatility averaged 35.6%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 8.1% (HV 20d: 27.5%). Max pain ranged from $21.00 to $24.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.51.

Notable Days

2017-02-14: Highest Volume — 140,388 contracts
2017-02-14: Largest IV spike — 13.3% change
2017-02-28: Highest IV Rank — 37.1%
2017-02-01: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.84	$22.94	$24.80	$24.71	$23.39
Max Pain	$23.18	$21.00	$24.00	$21.00	$23.50
ATM IV	35.6%	31.1%	45.0%	35.7%	45.0%
Expected Move	9.7%	8.9%	10.7%	10.7%	10.5%
HV 20d	27.5%	23.6%	30.8%	28.1%	24.3%
HV 60d	41.1%	40.6%	41.8%	41.6%	40.7%
IV Rank	10.4%	0.0%	37.1%	5.0%	37.1%
IV Percentile	10.6%	0.0%	50.8%	3.2%	50.8%
Term Structure	1.3%	-1.6%	3.7%	0.8%	-1.6%
VWIV	34.3%	31.3%	37.8%	37.7%	37.8%
Skew 25d	1.3%	0.3%	2.5%	2.0%	0.9%
Skew 10d	1.8%	-1.5%	4.8%	4.6%	0.5%
Call IV 25d	35.6%	31.0%	45.2%	35.4%	45.2%
Put IV 25d	36.9%	32.3%	46.2%	37.4%	46.2%
Bid-Ask Spread %	9.38	5.82	15.72	8.40	12.64
Gamma HHI	0.14	0.11	0.16	0.15	0.12
Net GEX	17.0M	13.2M	22.5M	16.0M	16.4M
Net DEX	-721.4M	-921.7M	-567.2M	-892.6M	-639.3M
Net VEX	-3.3M	-3.7M	-3.0M	-3.1M	-3.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.25	0.82	0.64	0.54
Total Volume	77,720.789	32,278	140,388	86,512	45,625
Total OI	1,100,471	988,637	1,217,930	994,917	1,166,333

Daily Data (19 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
2017-02-01	$24.71	$21.00	35.7%	10.7%	28.1%	5.0%	37.7%	2.0%	0.8%	16.0M	-892.6M	-3.1M	0.64	8.40	N/A	N/A	52,753	33,759	569,066	425,851
2017-02-02	$24.80	$23.00	34.1%	10.2%	27.6%	1.7%	36.0%	2.2%	0.7%	19.7M	-921.7M	-3.0M	0.34	6.48	N/A	N/A	94,662	32,412	582,901	434,786
2017-02-03	$24.52	$23.00	32.1%	9.6%	27.9%	0.0%	33.8%	1.4%	0.5%	17.5M	-866.1M	-3.0M	0.64	7.07	N/A	N/A	51,579	32,765	596,915	443,305
2017-02-06	$24.30	$23.00	32.4%	9.7%	28.2%	0.7%	33.6%	2.4%	1.3%	14.0M	-755.5M	-3.0M	0.58	5.82	N/A	N/A	30,383	17,538	561,812	426,825
2017-02-07	$24.56	$23.00	33.2%	9.6%	28.0%	2.3%	33.8%	2.3%	-0.1%	16.3M	-814.5M	-3.0M	0.49	14.88	N/A	N/A	39,728	19,649	577,133	431,562
2017-02-08	$24.18	$23.00	33.1%	9.6%	28.9%	2.0%	33.4%	2.5%	0.2%	16.4M	-740.3M	-3.1M	0.29	6.07	N/A	N/A	69,154	20,083	594,078	438,611
2017-02-09	$24.46	$24.00	32.2%	9.4%	28.7%	0.2%	33.1%	1.1%	1.1%	22.5M	-835.4M	-3.1M	0.45	8.40	N/A	N/A	60,250	27,043	628,679	447,493
2017-02-10	$24.05	$24.00	31.6%	9.2%	28.1%	0.0%	32.3%	1.5%	0.9%	14.5M	-735.8M	-3.2M	0.25	9.10	N/A	N/A	97,521	24,241	638,754	455,248
2017-02-13	$23.92	$24.00	31.1%	8.9%	28.1%	0.0%	31.3%	1.3%	3.7%	19.1M	-765.8M	-3.3M	0.50	7.30	N/A	N/A	39,565	19,779	668,172	438,348
2017-02-14	$23.04	$24.00	35.3%	10.1%	30.8%	11.0%	35.5%	0.8%	3.0%	13.2M	-585.0M	-3.3M	0.34	9.60	N/A	N/A	104,957	35,431	679,318	445,746
2017-02-15	$23.02	$23.00	34.0%	9.7%	30.0%	7.6%	34.9%	0.8%	2.7%	16.6M	-594.9M	-3.4M	0.53	8.88	N/A	N/A	48,028	25,652	716,910	459,626
2017-02-16	$22.94	$23.00	34.0%	9.6%	28.3%	7.8%	34.2%	1.0%	2.9%	16.2M	-567.2M	-3.4M	0.60	8.98	N/A	N/A	36,961	21,994	724,687	471,300
2017-02-17	$23.26	$23.00	34.2%	9.4%	28.5%	8.1%	33.6%	0.3%	3.7%	14.4M	-662.3M	-3.5M	0.36	7.11	N/A	N/A	88,492	32,076	737,513	480,417
2017-02-21	$23.71	$23.00	37.9%	9.7%	29.0%	18.2%	34.1%	0.9%	1.8%	19.2M	-704.6M	-3.6M	0.27	9.86	N/A	N/A	47,698	13,103	680,958	429,456
2017-02-22	$23.72	$23.00	38.4%	9.8%	25.2%	19.4%	34.4%	2.0%	2.2%	20.4M	-705.6M	-3.6M	0.64	15.72	N/A	N/A	19,670	12,608	692,653	434,990
2017-02-23	$23.39	$23.50	37.7%	9.4%	23.6%	17.6%	33.7%	0.8%	2.3%	17.3M	-632.4M	-3.6M	0.71	12.34	N/A	N/A	29,651	21,002	695,814	438,971
2017-02-24	$23.20	$23.50	42.1%	9.7%	23.8%	29.3%	34.5%	0.4%	-1.1%	14.8M	-587.6M	-3.6M	0.82	10.30	N/A	N/A	42,895	35,322	701,676	450,843
2017-02-27	$23.70	$23.00	42.1%	9.7%	24.4%	29.2%	34.3%	0.4%	-1.0%	18.5M	-700.8M	-3.6M	0.61	9.23	N/A	N/A	32,727	19,939	689,902	452,297
2017-02-28	$23.39	$23.50	45.0%	10.5%	24.3%	37.1%	37.8%	0.9%	-1.6%	16.4M	-639.3M	-3.7M	0.54	12.64	N/A	N/A	29,557	16,068	701,961	464,372