MU Options History — September 2017 In September 2017, MU traded between $32.08 and $39.35. ATM implied volatility averaged 44.2%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 14.1% (HV 20d: 30.1%). Max pain ranged from $28.00 to $31.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.52.
Notable Days 2017-09-27 : Highest Volume — 450,308 contracts2017-09-27 : Largest IV drop — 21.3% change2017-09-25 : Highest IV Rank — 56.6%2017-09-25 : Largest Expected Move — 14.9%Monthly Statistics Metric Avg Min Max Open Close Price $34.84 $32.08 $39.35 $32.66 $39.35 Max Pain $29.10 $28.00 $31.00 $30.00 $31.00 ATM IV 44.2% 36.8% 49.9% 45.1% 39.0% Expected Move 12.3% 9.6% 14.9% 9.6% 11.2% HV 20d 30.1% 19.9% 39.5% 35.0% 39.5% HV 60d 36.1% 33.9% 38.4% 38.4% 37.0% IV Rank 40.3% 18.6% 56.6% 42.6% 25.1% IV Percentile 72.5% 25.0% 91.3% 75.8% 45.2% Term Structure -1.5% -3.5% 0.0% -2.0% -0.0% VWIV 43.6% 34.2% 53.3% 34.2% 40.2% Skew 25d 1.5% -1.0% 3.7% 2.1% -1.0% Skew 10d 3.4% -2.4% 7.9% 4.5% -0.1% Call IV 25d 44.4% 38.5% 50.4% 45.8% 40.8% Put IV 25d 45.9% 37.5% 50.4% 47.9% 39.8% Bid-Ask Spread % 2.65 1.78 9.74 2.42 2.42 Gamma HHI 0.14 0.09 0.20 0.16 0.18 Net GEX 58.3M 38.6M 107.6M 54.1M 88.8M Net DEX -2.50B -4.51B -1.68B -2.13B -4.51B Net VEX -6.3M -7.0M -5.9M -6.6M -7.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.52 0.25 0.94 0.61 0.42 Total Volume 194,192.75 87,255 450,308 130,018 367,605 Total OI 1,992,079.75 1,782,742 2,521,539 1,912,540 2,521,539
Daily Data (20 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 2017-09-01 $32.66 $30.00 45.1% 9.6% 35.0% 42.6% 34.2% 2.1% -2.0% 54.1M -2.13B -6.6M 0.61 2.42 N/A N/A 80,659 49,359 1,162,469 750,071 2017-09-05 $32.08 $28.00 45.0% 12.3% 35.6% 42.5% 43.5% 2.2% -1.7% 48.0M -1.68B -6.4M 0.51 2.28 N/A N/A 78,014 40,075 1,099,766 742,807 2017-09-06 $32.25 $28.00 43.4% 11.9% 35.5% 37.7% 42.2% 2.4% -1.5% 56.7M -1.75B -6.5M 0.74 1.82 N/A N/A 50,020 37,235 1,121,770 755,448 2017-09-07 $32.80 $28.00 46.2% 12.1% 35.4% 45.9% 42.9% 3.7% -3.5% 66.9M -1.97B -6.4M 0.70 2.06 N/A N/A 55,764 39,285 1,128,759 763,275 2017-09-08 $32.48 $28.00 46.6% 12.3% 32.2% 47.0% 43.2% 3.4% -3.0% 78.1M -1.83B -6.4M 0.82 1.83 N/A N/A 49,770 40,701 1,137,344 771,875 2017-09-11 $33.42 $28.00 45.5% 12.4% 32.9% 43.9% 43.1% 3.3% -1.6% 66.9M -2.14B -6.0M 0.39 1.96 N/A N/A 100,982 39,798 1,097,291 748,139 2017-09-12 $34.28 $28.00 43.8% 12.3% 30.9% 39.0% 43.1% 2.8% -0.8% 59.8M -2.42B -5.9M 0.60 2.14 N/A N/A 108,603 64,854 1,108,024 764,684 2017-09-13 $34.60 $28.00 42.6% 11.8% 30.7% 35.6% 41.5% 2.6% -1.6% 61.2M -2.67B -5.9M 0.52 1.78 N/A N/A 101,145 52,265 1,174,490 784,837 2017-09-14 $34.54 $29.00 43.3% 12.1% 29.5% 37.5% 43.6% 2.1% -1.3% 52.7M -2.54B -6.1M 0.34 2.07 N/A N/A 98,891 33,181 1,174,591 810,837 2017-09-15 $34.63 $29.00 41.9% 11.7% 26.9% 33.5% 41.5% 2.0% -1.4% 38.6M -2.61B -5.9M 0.27 2.09 N/A N/A 114,275 31,349 1,210,001 822,751 2017-09-18 $35.46 $29.00 45.4% 12.9% 26.8% 43.8% 45.7% 1.8% -1.7% 42.2M -2.36B -6.0M 0.52 2.16 N/A N/A 125,366 65,625 1,062,022 720,720 2017-09-19 $35.95 $29.00 45.1% 12.9% 22.0% 42.8% 45.7% 2.7% -1.2% 45.0M -2.54B -6.1M 0.49 2.12 N/A N/A 78,419 38,590 1,101,254 751,827 2017-09-20 $35.96 $29.00 47.8% 13.7% 20.6% 50.5% 48.1% -0.1% -1.8% 45.5M -2.54B -6.3M 0.37 2.12 N/A N/A 179,289 66,961 1,122,852 768,747 2017-09-21 $35.93 $29.00 46.5% 13.4% 20.7% 46.8% 47.1% 0.1% -1.6% 51.6M -2.58B -6.4M 0.94 1.88 N/A N/A 71,050 66,922 1,181,323 793,985 2017-09-22 $36.10 $30.00 46.2% 13.4% 19.9% 45.8% 47.1% 0.7% -2.0% 44.0M -2.64B -6.5M 0.63 2.99 N/A N/A 74,537 46,831 1,197,413 829,152 2017-09-25 $34.84 $30.00 49.9% 14.9% 25.3% 56.6% 53.3% -0.1% -1.9% 39.1M -2.13B -6.4M 0.45 2.51 N/A N/A 143,617 64,734 1,163,461 797,053 2017-09-26 $34.14 $30.00 46.8% 13.9% 26.0% 47.6% 49.8% -0.1% -1.5% 39.8M -1.93B -6.6M 0.41 9.74 N/A N/A 266,550 108,049 1,233,218 822,898 2017-09-27 $37.13 $30.00 36.8% 10.2% 38.3% 18.6% 36.8% -1.0% 0.0% 79.1M -3.25B -6.5M 0.37 3.12 N/A N/A 327,924 122,384 1,383,476 882,142 2017-09-28 $38.13 $31.00 38.2% 10.8% 38.8% 22.7% 38.5% 0.3% -0.2% 107.6M -3.73B -6.8M 0.25 3.42 N/A N/A 323,496 79,681 1,469,171 910,113 2017-09-29 $39.35 $31.00 39.0% 11.2% 39.5% 25.1% 40.2% -1.0% -0.0% 88.8M -4.51B -7.0M 0.42 2.42 N/A N/A 258,802 108,803 1,577,848 943,691
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