MU Options History — September 2019 In September 2019, MU traded between $42.81 and $50.85. ATM implied volatility averaged 46.9%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 9.9% (HV 20d: 37.0%). Max pain ranged from $42.00 to $44.50. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.92.
Notable Days 2019-09-27 : Highest Volume — 506,007 contracts2019-09-27 : Largest IV drop — 17.0% change2019-09-03 : Highest IV Rank — 52.9%2019-09-26 : Largest Expected Move — 15.3%Monthly Statistics Metric Avg Min Max Open Close Price $48.61 $42.81 $50.85 $45.09 $42.81 Max Pain $43.00 $42.00 $44.50 $43.00 $44.50 ATM IV 46.9% 40.3% 50.3% 50.3% 40.3% Expected Move 13.1% 11.2% 15.3% 12.1% 11.2% HV 20d 37.0% 27.7% 52.9% 38.7% 52.7% HV 60d 42.2% 36.1% 46.3% 45.4% 44.5% IV Rank 40.9% 17.6% 52.9% 52.9% 17.6% IV Percentile 50.6% 21.4% 67.5% 64.3% 21.4% Term Structure -1.1% -1.8% 0.6% -1.5% -0.2% VWIV 46.0% 39.3% 54.2% 42.7% 39.3% Skew 25d 4.9% 4.2% 6.5% 6.5% 5.2% Skew 10d 9.6% 7.7% 12.8% 12.8% 9.0% Call IV 25d 44.6% 38.4% 47.6% 47.0% 38.4% Put IV 25d 49.5% 43.5% 53.7% 53.5% 43.5% Bid-Ask Spread % 1.86 1.40 2.68 2.68 2.31 Gamma HHI 0.07 0.05 0.17 0.06 0.06 Net GEX 18.5M -28.1M 48.8M 16.7M -16.8M Net DEX -1.30B -2.01B 822.3M -692.6M 518.5M Net VEX -13.5M -13.9M -12.8M -13.8M -12.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.57 1.68 1.04 0.80 Total Volume 145,634.95 57,377 506,007 79,517 129,221 Total OI 1,958,521.95 1,755,807 2,086,973 1,908,206 1,885,723
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 2019-09-03 $45.09 $43.00 50.3% 12.1% 38.7% 52.9% 42.7% 6.5% -1.5% 16.7M -692.6M -13.8M 1.04 2.68 N/A N/A 38,954 40,563 883,748 1,024,458 2019-09-04 $46.91 $43.00 50.3% 11.5% 40.6% 52.6% 40.8% 6.2% -1.7% 35.5M -1.25B -13.8M 0.93 1.89 N/A N/A 103,742 96,069 896,244 1,044,422 2019-09-05 $48.98 $42.00 49.3% 13.4% 42.0% 49.1% 47.3% 5.3% -1.5% 37.9M -1.86B -13.6M 0.67 1.40 N/A N/A 111,675 74,570 911,964 1,075,972 2019-09-06 $48.95 $42.00 46.9% 12.8% 41.9% 40.8% 44.6% 4.7% -1.4% 48.8M -1.83B -13.4M 0.83 1.91 N/A N/A 69,183 57,168 922,174 1,100,840 2019-09-09 $49.10 $42.00 47.7% 13.1% 40.7% 43.6% 46.2% 4.5% -1.8% 25.6M -1.64B -13.4M 0.83 1.70 N/A N/A 57,983 48,245 879,737 1,046,650 2019-09-10 $49.22 $42.00 47.4% 13.1% 40.7% 42.6% 46.4% 4.7% -1.4% 27.4M -1.68B -13.4M 1.68 1.97 N/A N/A 36,712 61,747 892,958 1,059,471 2019-09-11 $50.34 $42.00 46.1% 12.8% 39.3% 37.8% 44.2% 4.2% -1.3% 30.4M -1.95B -13.5M 0.61 1.66 N/A N/A 118,452 72,278 899,444 1,091,397 2019-09-12 $50.49 $42.00 45.4% 12.6% 34.4% 35.5% 44.1% 4.7% -1.6% 33.3M -2.01B -13.5M 0.64 1.42 N/A N/A 71,093 45,155 921,692 1,113,596 2019-09-13 $50.53 $43.00 45.2% 12.6% 34.5% 34.7% 44.4% 4.3% -1.6% 37.1M -2.01B -13.6M 0.60 1.70 N/A N/A 51,228 30,659 929,953 1,130,926 2019-09-16 $50.09 $43.00 47.0% 13.3% 33.7% 41.0% 46.4% 4.6% -0.8% 23.1M -1.80B -13.6M 0.77 1.75 N/A N/A 32,396 24,981 904,030 1,107,035 2019-09-17 $50.85 $43.00 46.6% 13.3% 32.7% 39.8% 46.2% 4.4% -1.0% 23.2M -2.01B -13.5M 0.57 1.64 N/A N/A 38,603 21,822 906,465 1,112,712 2019-09-18 $50.40 $43.00 46.7% 13.4% 32.2% 40.0% 46.8% 4.4% 0.1% 22.9M -1.88B -13.5M 0.85 1.80 N/A N/A 42,194 35,690 914,217 1,120,060 2019-09-19 $49.91 $43.00 46.3% 13.3% 32.4% 38.7% 46.5% 4.5% -0.5% 24.5M -1.77B -13.5M 1.08 2.21 N/A N/A 46,629 50,148 923,939 1,124,864 2019-09-20 $49.20 $43.00 45.5% 13.2% 32.9% 36.0% 45.9% 4.2% -1.4% 19.8M -1.55B -13.6M 1.34 2.30 N/A N/A 66,160 88,777 935,992 1,150,981 2019-09-23 $49.74 $43.00 47.1% 13.9% 27.7% 41.4% 48.7% 4.6% -0.7% 4.7M -1.00B -13.5M 0.77 1.75 N/A N/A 54,703 42,129 761,610 994,197 2019-09-24 $48.44 $44.00 49.2% 14.7% 30.2% 48.9% 51.3% 4.5% -1.1% 105.5K -689.6M -13.9M 0.79 1.65 N/A N/A 64,884 51,301 783,980 1,021,430 2019-09-25 $49.55 $44.00 49.3% 14.9% 29.4% 49.2% 54.2% 5.1% -1.3% 4.6M -958.0M -13.8M 1.27 1.59 N/A N/A 55,271 70,203 792,815 1,036,691 2019-09-26 $48.62 $44.00 50.2% 15.3% 30.7% 52.4% 53.7% 6.0% -1.2% -232.2K -710.6M -13.7M 1.31 1.91 N/A N/A 132,738 173,366 806,492 1,065,255 2019-09-27 $43.07 $44.50 41.7% 11.6% 52.9% 22.4% 40.1% 5.5% 0.6% -28.1M 822.3M -12.8M 1.13 1.89 N/A N/A 237,107 268,900 860,775 1,135,530 2019-09-30 $42.81 $44.50 40.3% 11.2% 52.7% 17.6% 39.3% 5.2% -0.2% -16.8M 518.5M -12.8M 0.80 2.31 N/A N/A 71,980 57,241 822,729 1,062,994
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