MU Options History — March 2017 In March 2017, MU traded between $24.54 and $28.97. ATM implied volatility averaged 40.8%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 9.8% (HV 20d: 31.0%). Max pain ranged from $20.00 to $23.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.36.
Notable Days 2017-03-24 : Highest Volume — 524,092 contracts2017-03-24 : Largest IV drop — 23.8% change2017-03-22 : Highest IV Rank — 40.5%2017-03-23 : Largest Expected Move — 13.3%Monthly Statistics Metric Avg Min Max Open Close Price $26.41 $24.54 $28.97 $24.54 $28.97 Max Pain $21.02 $20.00 $23.50 $23.50 $22.00 ATM IV 40.8% 32.1% 46.3% 44.1% 32.7% Expected Move 10.9% 8.5% 13.3% 10.0% 8.7% HV 20d 31.0% 26.3% 38.2% 30.0% 34.0% HV 60d 35.1% 27.8% 39.5% 39.4% 30.7% IV Rank 25.8% 2.5% 40.5% 34.7% 4.2% IV Percentile 34.9% 0.8% 64.3% 48.8% 2.8% Term Structure -1.3% -3.9% 1.4% -1.3% 0.7% VWIV 38.5% 29.7% 47.0% 35.5% 31.1% Skew 25d 1.0% -0.3% 2.1% 0.3% 1.7% Skew 10d 2.3% -1.4% 9.9% 9.9% 1.7% Call IV 25d 41.4% 32.3% 47.7% 45.5% 32.4% Put IV 25d 42.4% 33.0% 48.4% 45.8% 34.1% Bid-Ask Spread % 8.16 3.71 20.41 13.02 7.11 Gamma HHI 0.15 0.10 0.45 0.15 0.45 Net GEX 34.4M 23.1M 65.6M 26.1M 65.6M Net DEX -1.38B -2.20B -907.8M -907.8M -2.06B Net VEX -3.9M -4.4M -3.6M -3.6M -4.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.36 0.17 0.64 0.34 0.19 Total Volume 134,278.435 59,703 524,092 100,518 145,505 Total OI 1,384,418 1,185,032 1,600,682 1,185,032 1,592,389
Daily Data (23 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 2017-03-01 $24.54 $23.50 44.1% 10.0% 30.0% 34.7% 35.5% 0.3% -1.3% 26.1M -907.8M -3.6M 0.34 13.02 N/A N/A 74,767 25,751 715,381 469,651 2017-03-02 $24.71 $23.50 45.2% 9.8% 28.8% 37.5% 34.6% 0.8% -1.9% 29.8M -956.3M -3.7M 0.25 20.41 N/A N/A 131,038 32,166 731,138 482,528 2017-03-03 $25.54 $23.50 43.1% 8.8% 31.1% 32.0% 31.2% 0.8% -1.6% 35.7M -1.20B -3.7M 0.41 15.03 N/A N/A 86,408 35,155 775,109 498,361 2017-03-06 $25.76 $20.00 41.5% 11.3% 30.8% 27.6% 40.1% 0.1% -1.2% 25.9M -1.12B -3.6M 0.53 4.94 N/A N/A 56,563 29,854 728,460 477,894 2017-03-07 $25.50 $20.00 41.1% 11.3% 30.8% 26.7% 39.8% 0.4% -1.2% 25.9M -1.07B -3.7M 0.50 3.81 N/A N/A 39,761 19,942 749,264 489,802 2017-03-08 $25.32 $20.00 42.3% 11.5% 30.9% 29.9% 40.4% 0.4% -1.3% 24.2M -1.02B -3.7M 0.55 4.27 N/A N/A 39,162 21,630 758,937 494,215 2017-03-09 $25.09 $20.00 45.9% 12.0% 30.5% 39.3% 42.3% -0.3% -3.2% 23.1M -942.9M -3.8M 0.50 10.60 N/A N/A 53,725 26,964 766,653 503,094 2017-03-10 $25.14 $20.00 43.5% 11.6% 30.3% 33.0% 41.1% 1.1% -3.7% 25.7M -980.0M -3.8M 0.46 7.08 N/A N/A 80,211 36,598 787,778 509,399 2017-03-13 $25.63 $20.00 44.8% 11.7% 30.1% 36.6% 41.5% 1.2% -3.8% 27.9M -1.15B -3.7M 0.26 4.62 N/A N/A 122,392 31,275 784,181 494,340 2017-03-14 $25.58 $20.00 44.3% 11.8% 30.0% 35.2% 41.6% 1.6% -3.9% 28.2M -1.15B -3.9M 0.27 3.71 N/A N/A 60,920 16,533 870,992 518,405 2017-03-15 $26.08 $20.00 41.4% 11.5% 26.3% 27.5% 41.4% 1.8% -2.1% 30.9M -1.32B -3.8M 0.34 6.72 N/A N/A 67,919 22,826 884,471 525,050 2017-03-16 $26.04 $20.00 40.0% 11.1% 26.3% 23.5% 40.3% 2.0% -1.7% 33.6M -1.34B -3.9M 0.29 4.19 N/A N/A 55,181 16,115 912,500 532,799 2017-03-17 $25.84 $20.00 39.4% 10.7% 26.5% 22.0% 38.6% -0.3% -3.7% 32.7M -1.29B -3.8M 0.28 5.92 N/A N/A 62,962 17,320 930,359 534,937 2017-03-20 $26.22 $20.00 40.1% 11.4% 26.6% 23.9% 41.0% 0.8% 1.4% 35.1M -1.26B -3.8M 0.17 10.86 N/A N/A 138,293 22,954 860,079 434,042 2017-03-21 $25.48 $20.00 46.3% 13.2% 28.8% 40.5% 46.7% 2.1% -1.1% 30.0M -1.09B -4.0M 0.25 12.42 N/A N/A 130,469 32,477 870,610 446,737 2017-03-22 $26.03 $20.00 46.3% 13.3% 29.4% 40.5% 44.9% 1.6% -1.2% 35.1M -1.30B -4.2M 0.51 5.94 N/A N/A 74,739 37,837 946,266 464,637 2017-03-23 $26.41 $21.00 46.1% 13.3% 28.7% 40.0% 47.0% 2.1% -1.9% 38.7M -1.44B -4.4M 0.64 7.03 N/A N/A 132,805 84,915 982,550 492,736 2017-03-24 $28.59 $22.00 35.1% 10.0% 38.2% 10.7% 35.6% 0.8% 0.7% 43.7M -2.20B -4.0M 0.31 12.57 N/A N/A 401,205 122,887 1,038,419 562,263 2017-03-27 $28.84 $22.00 36.3% 10.3% 38.0% 13.9% 36.4% 1.0% -0.3% 43.3M -2.02B -4.3M 0.37 9.19 N/A N/A 141,943 52,770 998,272 515,625 2017-03-28 $28.73 $22.00 34.4% 9.5% 37.4% 8.6% 33.6% 1.6% 0.6% 45.2M -2.00B -4.3M 0.39 6.23 N/A N/A 76,265 29,910 1,028,040 534,809 2017-03-29 $28.50 $22.00 32.1% 8.8% 35.1% 2.5% 31.0% 1.4% 1.0% 44.0M -1.91B -4.1M 0.33 4.90 N/A N/A 70,737 23,096 1,026,449 542,340 2017-03-30 $28.93 $22.00 32.4% 8.5% 35.2% 3.4% 29.7% 0.5% 0.2% 40.9M -2.06B -4.0M 0.26 7.05 N/A N/A 84,615 21,844 1,030,896 548,757 2017-03-31 $28.97 $22.00 32.7% 8.7% 34.0% 4.2% 31.1% 1.7% 0.7% 65.6M -2.06B -4.0M 0.19 7.11 N/A N/A 121,786 23,719 1,037,511 554,878
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