MU Options History — November 2019 In November 2019, MU traded between $45.45 and $49.59. ATM implied volatility averaged 38.9%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 4.6% (HV 20d: 34.3%). Max pain ranged from $45.50 to $48.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.02.
Notable Days 2019-11-15 : Highest Volume — 166,554 contracts2019-11-18 : Largest IV spike — 14.4% change2019-11-20 : Highest IV Rank — 46.5%2019-11-29 : Largest Expected Move — 13.7%Monthly Statistics Metric Avg Min Max Open Close Price $47.24 $45.45 $49.59 $48.34 $47.53 Max Pain $47.08 $45.50 $48.00 $45.50 $47.00 ATM IV 38.9% 32.2% 46.9% 32.2% 42.7% Expected Move 12.4% 9.4% 13.7% 9.4% 13.7% HV 20d 34.3% 26.0% 40.5% 40.0% 31.0% HV 60d 42.5% 40.6% 44.3% 44.2% 40.6% IV Rank 21.2% 0.0% 46.5% 0.0% 33.4% IV Percentile 21.9% 0.0% 56.0% 0.0% 40.1% Term Structure 1.3% -3.0% 8.2% 0.7% -1.9% VWIV 43.4% 33.3% 47.6% 33.3% 47.6% Skew 25d 4.3% 3.7% 5.0% 3.7% 4.4% Skew 10d 8.4% 6.6% 12.7% 7.7% 10.7% Call IV 25d 37.1% 30.6% 45.0% 30.6% 41.5% Put IV 25d 41.3% 34.3% 49.1% 34.3% 46.0% Bid-Ask Spread % 3.73 1.42 13.50 1.64 2.80 Gamma HHI 0.06 0.05 0.10 0.06 0.07 Net GEX -1.1M -18.9M 20.3M 13.2M -9.4M Net DEX -377.2M -1.08B 158.4M -811.1M -432.3M Net VEX -12.8M -13.1M -12.5M -12.9M -12.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.02 0.49 1.53 0.99 1.27 Total Volume 94,859.75 45,650 166,554 102,297 45,650 Total OI 1,829,086.15 1,729,703 1,911,752 1,802,861 1,895,471
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 2019-11-01 $48.34 $45.50 32.2% 9.4% 40.0% 0.0% 33.3% 3.7% 0.7% 13.2M -811.1M -12.9M 0.99 1.64 N/A N/A 51,352 50,945 795,225 1,007,636 2019-11-04 $49.59 $46.00 34.2% 11.6% 40.5% 6.3% 40.6% 4.2% 1.5% 13.8M -1.08B -12.7M 0.49 3.28 N/A N/A 77,970 38,424 772,483 986,180 2019-11-05 $48.81 $47.00 34.5% 12.0% 38.8% 7.5% 43.1% 4.1% 0.8% 15.4M -890.2M -13.0M 1.53 2.58 N/A N/A 27,197 41,566 804,306 995,504 2019-11-06 $47.75 $47.00 35.0% 12.1% 40.1% 9.0% 43.2% 4.2% 0.8% 6.2M -566.3M -13.0M 1.45 1.82 N/A N/A 44,520 64,691 810,167 1,016,199 2019-11-07 $48.35 $47.00 35.0% 12.1% 40.2% 9.0% 43.2% 4.2% 0.6% 10.9M -739.5M -13.1M 1.44 6.15 N/A N/A 47,438 68,418 817,048 1,017,439 2019-11-08 $47.00 $47.00 34.8% 12.1% 38.6% 8.4% 43.9% 3.9% 0.7% -18.9M -256.5M -13.0M 1.13 3.29 N/A N/A 45,324 51,227 825,026 1,044,950 2019-11-11 $46.44 $47.00 34.1% 12.1% 38.5% 6.2% 42.7% 4.0% 8.0% -9.8M -138.8M -12.8M 1.15 1.53 N/A N/A 34,963 40,313 793,806 1,029,146 2019-11-12 $46.88 $47.00 34.3% 12.1% 36.5% 6.7% 41.8% 4.1% 7.8% -6.3M -277.9M -12.9M 0.74 6.59 N/A N/A 56,023 41,371 801,844 1,040,719 2019-11-13 $46.27 $47.00 35.0% 12.4% 35.5% 8.9% 43.3% 4.3% 8.2% -12.1M -84.3M -12.8M 1.16 1.83 N/A N/A 34,972 40,525 819,513 1,057,366 2019-11-14 $46.78 $47.00 36.2% 12.2% 35.7% 12.6% 42.9% 4.3% 8.0% -6.9M -264.3M -12.9M 0.94 12.52 N/A N/A 33,121 31,034 830,521 1,068,500 2019-11-15 $47.55 $47.00 36.4% 11.8% 32.6% 13.3% 39.6% 3.7% 7.5% -4.5M -513.9M -12.8M 0.83 13.50 N/A N/A 90,811 75,743 835,790 1,075,962 2019-11-18 $47.76 $48.00 41.6% 12.5% 30.7% 29.8% 43.9% 4.5% -2.2% 3.0M -435.4M -12.8M 0.70 5.98 N/A N/A 47,899 33,680 751,544 978,159 2019-11-19 $46.61 $48.00 43.6% 12.8% 31.8% 36.1% 44.3% 4.2% -2.5% -2.5M -159.8M -12.7M 1.04 1.63 N/A N/A 48,810 50,661 767,873 985,736 2019-11-20 $45.45 $48.00 46.9% 13.4% 33.3% 46.5% 46.3% 4.1% -2.1% -12.0M 158.4M -12.7M 0.92 1.72 N/A N/A 61,160 56,087 782,695 1,008,328 2019-11-21 $45.57 $48.00 46.2% 13.4% 27.1% 44.3% 46.5% 3.9% -3.0% -13.5M 127.9M -12.6M 0.89 1.64 N/A N/A 39,409 34,989 796,911 1,024,184 2019-11-22 $45.83 $47.00 44.7% 13.1% 26.0% 39.6% 45.4% 4.5% -2.9% -15.5M 64.8M -12.7M 1.10 1.49 N/A N/A 38,018 41,686 806,675 1,031,284 2019-11-25 $47.41 $47.00 43.8% 13.2% 28.7% 36.9% 45.5% 5.0% -1.5% 4.5M -400.8M -12.5M 0.62 1.42 N/A N/A 69,007 42,585 784,157 1,014,751 2019-11-26 $46.75 $47.00 43.4% 13.3% 28.9% 35.4% 45.8% 4.6% -1.6% 2.2M -207.8M -12.6M 1.27 1.60 N/A N/A 30,897 39,164 805,938 1,036,118 2019-11-27 $48.16 $47.00 42.8% 13.2% 30.9% 33.5% 45.5% 5.0% -1.6% 20.3M -638.1M -12.8M 0.75 1.48 N/A N/A 74,115 55,430 817,551 1,049,018 2019-11-29 $47.53 $47.00 42.7% 13.7% 31.0% 33.4% 47.6% 4.4% -1.9% -9.4M -432.3M -12.6M 1.27 2.80 N/A N/A 20,068 25,582 828,079 1,067,392
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