MU Options History — November 2017 In November 2017, MU traded between $42.37 and $49.68. ATM implied volatility averaged 42.3%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 9.1% (HV 20d: 33.1%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.55.
Notable Days 2017-11-21 : Highest Volume — 508,873 contracts2017-11-20 : Largest IV spike — 10.7% change2017-11-30 : Highest IV Rank — 63.2%2017-11-29 : Largest Expected Move — 13.6%Monthly Statistics Metric Avg Min Max Open Close Price $45.66 $42.37 $49.68 $44.35 $42.37 Max Pain $42.00 $38.00 $43.00 $38.00 $43.00 ATM IV 42.3% 36.8% 52.1% 41.3% 52.1% Expected Move 11.1% 9.9% 13.6% 12.4% 13.1% HV 20d 33.1% 29.1% 44.7% 34.2% 44.7% HV 60d 34.4% 32.4% 39.9% 36.0% 39.9% IV Rank 34.5% 18.6% 63.2% 31.8% 63.2% IV Percentile 58.0% 26.2% 94.0% 62.7% 94.0% Term Structure 2.0% -5.2% 13.9% -0.2% -1.6% VWIV 39.4% 35.8% 47.6% 46.3% 45.6% Skew 25d 3.0% 0.0% 5.8% 2.1% 4.7% Skew 10d 6.3% 2.3% 12.6% 5.9% 12.6% Call IV 25d 41.2% 33.9% 56.1% 41.4% 50.3% Put IV 25d 44.2% 37.2% 56.1% 43.5% 55.0% Bid-Ask Spread % 4.24 2.01 10.92 3.42 6.91 Gamma HHI 0.11 0.09 0.14 0.10 0.09 Net GEX 90.7M 60.6M 115.7M 86.7M 60.6M Net DEX -4.52B -5.70B -2.12B -4.36B -2.12B Net VEX -9.6M -10.9M -8.8M -9.1M -10.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.25 0.93 0.34 0.53 Total Volume 249,014.857 113,716 508,873 295,710 330,280 Total OI 2,542,593.619 2,229,724 2,843,493 2,418,023 2,713,644
Daily Data (21 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 2017-11-01 $44.35 $38.00 41.3% 12.4% 34.2% 31.8% 46.3% 2.1% -0.2% 86.7M -4.36B -9.1M 0.34 3.42 N/A N/A 220,042 75,668 1,454,536 963,487 2017-11-02 $44.36 $41.00 39.3% 11.5% 34.0% 25.7% 40.5% 2.2% 0.8% 87.6M -4.32B -9.1M 0.65 4.30 N/A N/A 102,994 67,011 1,495,297 980,501 2017-11-03 $43.68 $42.00 37.9% 11.3% 34.8% 21.9% 39.7% 2.7% 0.2% 75.2M -4.02B -9.3M 0.58 9.03 N/A N/A 128,057 74,382 1,513,738 1,000,758 2017-11-06 $43.29 $42.00 37.6% 11.1% 33.6% 21.0% 38.9% 2.3% 0.9% 79.7M -3.68B -9.1M 0.93 2.19 N/A N/A 108,500 101,075 1,443,409 951,702 2017-11-07 $43.93 $42.00 38.8% 11.0% 32.9% 24.3% 38.8% 2.2% -1.0% 85.9M -4.00B -9.0M 0.46 2.20 N/A N/A 90,959 42,246 1,461,650 1,021,018 2017-11-08 $44.13 $42.00 37.4% 10.9% 32.7% 20.4% 39.0% 2.0% 0.7% 94.4M -4.16B -9.0M 0.82 2.97 N/A N/A 62,632 51,084 1,489,727 1,031,235 2017-11-09 $43.52 $42.00 39.1% 10.7% 31.5% 25.3% 37.9% 5.8% -0.9% 84.5M -3.82B -9.1M 0.62 3.39 N/A N/A 93,223 57,444 1,503,166 1,033,810 2017-11-10 $44.76 $42.00 38.0% 11.0% 32.5% 22.0% 39.3% 3.8% 0.8% 86.0M -4.56B -8.8M 0.44 3.13 N/A N/A 267,515 118,872 1,520,375 1,044,626 2017-11-13 $45.54 $42.00 36.8% 10.6% 31.8% 18.6% 37.7% 3.0% 11.4% 111.3M -4.88B -9.2M 0.42 2.01 N/A N/A 242,462 102,969 1,551,184 1,037,722 2017-11-14 $45.83 $42.00 37.1% 10.6% 29.8% 19.4% 38.0% 2.9% 10.1% 108.6M -5.31B -10.0M 0.55 2.40 N/A N/A 112,520 62,359 1,659,317 1,079,848 2017-11-15 $45.25 $42.00 37.7% 10.8% 29.1% 21.3% 38.4% 3.2% 13.9% 115.7M -5.03B -10.2M 0.67 3.03 N/A N/A 93,568 62,503 1,684,428 1,097,078 2017-11-16 $46.22 $42.00 38.1% 10.1% 29.2% 22.3% 36.1% 2.9% 13.9% 114.5M -5.60B -9.8M 0.42 3.41 N/A N/A 178,032 74,541 1,701,612 1,110,303 2017-11-17 $46.15 $42.00 38.9% 10.0% 29.3% 24.6% 35.8% 3.3% 10.5% 85.6M -5.59B -10.1M 0.58 2.94 N/A N/A 122,708 70,957 1,719,532 1,123,961 2017-11-20 $47.61 $42.00 43.0% 9.9% 30.6% 36.7% 36.1% 4.0% -1.8% 86.5M -4.76B -9.6M 0.50 3.11 N/A N/A 174,524 87,570 1,398,549 831,175 2017-11-21 $49.28 $42.00 45.9% 10.5% 32.0% 45.1% 37.2% 3.8% -4.5% 77.8M -5.37B -9.2M 0.25 2.62 N/A N/A 408,200 100,673 1,430,753 863,607 2017-11-22 $49.13 $42.00 49.0% 10.7% 31.3% 54.1% 37.7% 3.3% -1.9% 98.7M -5.49B -10.1M 0.46 4.04 N/A N/A 184,354 85,124 1,559,023 889,611 2017-11-24 $49.68 $43.00 49.5% 10.9% 30.5% 55.5% 38.5% 3.0% -1.7% 107.4M -5.70B -9.6M 0.60 6.75 N/A N/A 111,288 66,249 1,577,600 920,045 2017-11-27 $48.09 $43.00 49.6% 11.4% 34.1% 56.0% 39.9% 2.9% -5.2% 88.9M -4.75B -9.9M 0.47 6.00 N/A N/A 204,245 96,527 1,512,011 901,755 2017-11-28 $47.92 $43.00 48.0% 10.6% 34.0% 51.2% 37.5% 2.4% -1.0% 100.7M -4.75B -10.2M 0.75 4.20 N/A N/A 94,080 70,742 1,584,845 955,170 2017-11-29 $43.76 $43.00 52.1% 13.6% 43.2% 63.2% 47.6% 0.0% -1.4% 67.9M -2.73B -10.8M 0.40 10.92 N/A N/A 308,440 122,693 1,605,798 976,860 2017-11-30 $42.37 $43.00 52.1% 13.1% 44.7% 63.2% 45.6% 4.7% -1.6% 60.6M -2.12B -10.9M 0.53 6.91 N/A N/A 215,982 114,298 1,693,142 1,020,502
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