MU Options History — May 2017 In May 2017, MU traded between $27.13 and $30.78. ATM implied volatility averaged 36.4%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 6.3% (HV 20d: 30.1%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.51.
Notable Days 2017-05-30 : Highest Volume — 176,186 contracts2017-05-17 : Largest IV spike — 26.3% change2017-05-31 : Highest IV Rank — 57.8%2017-05-30 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $28.62 $27.13 $30.78 $28.30 $30.78 Max Pain $27.59 $27.00 $28.00 $27.00 $28.00 ATM IV 36.4% 30.4% 52.5% 31.9% 52.5% Expected Move 9.6% 8.4% 11.1% 9.2% 10.9% HV 20d 30.1% 26.3% 36.2% 27.5% 32.0% HV 60d 31.4% 29.9% 33.0% 30.8% 31.5% IV Rank 15.1% 0.0% 57.8% 2.0% 57.8% IV Percentile 24.4% 0.0% 92.5% 1.6% 92.5% Term Structure 3.5% -3.2% 11.2% 2.3% -3.2% VWIV 34.0% 29.9% 39.6% 32.8% 38.7% Skew 25d 0.8% -1.9% 3.0% 1.0% 0.4% Skew 10d 3.0% 0.3% 7.1% 2.0% 2.0% Call IV 25d 37.0% 31.1% 53.6% 32.7% 53.6% Put IV 25d 37.7% 31.6% 54.0% 33.7% 54.0% Bid-Ask Spread % 6.02 2.73 13.60 12.70 5.89 Gamma HHI 0.17 0.13 0.28 0.13 0.13 Net GEX 33.2M 19.9M 44.1M 34.6M 39.6M Net DEX -1.34B -1.98B -868.0M -1.29B -1.98B Net VEX -5.0M -5.2M -4.8M -5.0M -5.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.51 0.26 0.91 0.35 0.32 Total Volume 101,600.182 49,844 176,186 107,524 115,879 Total OI 1,403,512.818 1,279,755 1,560,669 1,279,755 1,560,669
Daily Data (22 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 2017-05-01 $28.30 $27.00 31.9% 9.2% 27.5% 2.0% 32.8% 1.0% 2.3% 34.6M -1.29B -5.0M 0.35 12.70 N/A N/A 79,699 27,825 841,628 438,127 2017-05-02 $27.76 $27.00 33.2% 9.5% 27.9% 5.5% 34.1% 1.0% 1.1% 33.3M -1.13B -5.1M 0.56 9.80 N/A N/A 52,289 29,194 866,919 451,258 2017-05-03 $27.96 $27.00 34.8% 10.1% 28.1% 9.9% 36.7% 0.8% 0.1% 36.9M -1.20B -5.1M 0.68 12.16 N/A N/A 29,683 20,161 887,721 462,454 2017-05-04 $27.80 $27.00 34.3% 9.7% 28.0% 8.5% 35.7% 0.5% 0.4% 35.0M -1.14B -5.1M 0.59 4.93 N/A N/A 57,233 33,832 892,748 469,061 2017-05-05 $28.10 $27.00 30.9% 9.0% 28.1% 0.0% 31.9% 0.5% 0.9% 40.5M -1.22B -5.0M 0.67 3.41 N/A N/A 43,950 29,296 897,767 487,863 2017-05-08 $27.99 $27.00 32.5% 9.5% 28.1% 4.3% 33.7% 0.3% 0.7% 29.2M -1.17B -5.1M 0.42 3.42 N/A N/A 82,253 34,347 880,565 474,318 2017-05-09 $28.67 $27.00 32.5% 9.4% 27.4% 4.2% 33.1% 0.9% 0.3% 37.1M -1.41B -5.1M 0.42 3.67 N/A N/A 82,711 34,708 905,116 488,610 2017-05-10 $29.28 $27.00 31.5% 9.1% 26.8% 1.6% 32.2% 0.6% 0.1% 41.1M -1.59B -4.9M 0.65 6.08 N/A N/A 68,668 44,522 916,467 496,865 2017-05-11 $29.00 $27.00 31.5% 9.1% 26.3% 1.7% 32.4% 1.1% 0.6% 41.3M -1.48B -5.0M 0.66 3.06 N/A N/A 49,693 32,770 913,337 510,259 2017-05-12 $28.86 $28.00 31.2% 9.1% 26.4% 0.7% 32.2% 0.7% 0.8% 44.1M -1.42B -5.0M 0.36 5.23 N/A N/A 48,840 17,771 914,069 516,088 2017-05-15 $28.81 $28.00 30.7% 8.9% 26.5% 0.0% 31.6% 0.8% 10.4% 36.0M -1.39B -4.8M 0.74 2.73 N/A N/A 40,065 29,701 890,166 498,453 2017-05-16 $28.99 $28.00 30.4% 8.8% 26.5% 0.0% 31.0% 0.5% 11.2% 36.2M -1.44B -4.8M 0.47 3.95 N/A N/A 49,296 23,294 895,358 513,495 2017-05-17 $27.13 $28.00 38.4% 11.0% 36.2% 21.0% 38.4% 2.8% 8.2% 19.9M -868.0M -5.0M 0.52 7.93 N/A N/A 106,665 55,518 906,565 520,201 2017-05-18 $27.50 $28.00 38.8% 10.6% 35.0% 22.0% 36.7% 3.0% 9.7% 22.8M -975.6M -5.1M 0.47 3.10 N/A N/A 67,711 31,904 952,238 549,085 2017-05-19 $27.77 $28.00 37.1% 9.5% 34.3% 17.5% 33.6% 1.7% 10.5% 22.2M -1.05B -5.1M 0.62 2.84 N/A N/A 51,492 31,850 959,318 547,581 2017-05-22 $27.90 $28.00 42.2% 9.5% 32.6% 30.8% 34.2% 0.4% 0.1% 22.8M -1.10B -5.0M 0.60 7.90 N/A N/A 51,956 31,179 828,123 488,219 2017-05-23 $28.20 $28.00 38.5% 9.2% 32.6% 21.2% 32.4% 0.8% 5.8% 25.9M -1.19B -5.0M 0.91 3.78 N/A N/A 39,406 35,911 846,222 495,739 2017-05-24 $28.98 $28.00 37.6% 8.4% 33.6% 18.9% 29.9% -0.1% 7.5% 30.1M -1.42B -5.0M 0.44 3.49 N/A N/A 69,602 30,611 865,972 515,405 2017-05-25 $29.50 $28.00 38.5% 8.8% 32.5% 21.2% 31.5% -1.9% 9.3% 33.3M -1.58B -4.9M 0.30 5.71 N/A N/A 108,165 32,432 882,891 523,792 2017-05-26 $29.69 $28.00 42.8% 10.0% 32.5% 32.5% 36.5% 0.7% 4.0% 32.2M -1.64B -5.1M 0.26 13.60 N/A N/A 124,352 32,584 920,914 534,250 2017-05-30 $30.61 $28.00 50.0% 11.1% 33.2% 51.3% 39.6% 0.5% -2.7% 36.7M -1.86B -5.1M 0.29 7.03 N/A N/A 136,095 40,091 949,019 522,367 2017-05-31 $30.78 $28.00 52.5% 10.9% 32.0% 57.8% 38.7% 0.4% -3.2% 39.6M -1.98B -5.2M 0.32 5.89 N/A N/A 87,545 28,334 1,012,367 548,302
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