MU Options History — January 2020 In January 2020, MU traded between $53.00 and $59.25. ATM implied volatility averaged 36.1%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 3.3% (HV 20d: 39.4%). Max pain ranged from $48.00 to $57.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.48.
Notable Days 2020-01-07 : Highest Volume — 401,443 contracts2020-01-27 : Largest IV spike — 8.7% change2020-01-31 : Highest IV Rank — 37.6%2020-01-31 : Largest Expected Move — 12.1%Monthly Statistics Metric Avg Min Max Open Close Price $56.65 $53.00 $59.25 $55.22 $53.00 Max Pain $55.52 $48.00 $57.50 $48.00 $57.50 ATM IV 36.1% 32.6% 41.6% 34.1% 41.6% Expected Move 10.3% 9.1% 12.1% 9.6% 12.1% HV 20d 39.4% 30.6% 44.3% 30.8% 44.3% HV 60d 36.2% 34.5% 38.6% 35.2% 36.8% IV Rank 18.1% 6.0% 37.6% 11.1% 37.6% IV Percentile 16.3% 2.4% 46.4% 4.0% 46.4% Term Structure 0.1% -1.1% 1.4% -0.2% 0.3% VWIV 36.0% 32.6% 41.8% 34.1% 41.8% Skew 25d 2.5% 1.2% 4.3% 2.2% 4.3% Skew 10d 5.1% 2.4% 9.4% 4.7% 9.4% Call IV 25d 35.2% 32.5% 39.5% 33.4% 39.5% Put IV 25d 37.7% 34.1% 43.8% 35.6% 43.8% Bid-Ask Spread % 2.04 1.35 2.56 1.80 2.14 Gamma HHI 0.11 0.07 0.40 0.10 0.07 Net GEX 43.4M 9.4M 125.2M 31.4M 9.4M Net DEX -1.84B -2.75B -405.9M -1.88B -405.9M Net VEX -12.0M -12.7M -11.0M -11.0M -12.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.48 0.23 0.80 0.32 0.56 Total Volume 147,615.857 67,112 401,443 150,427 160,757 Total OI 1,833,519.667 1,397,151 2,259,025 1,949,556 1,573,324
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 2020-01-02 $55.22 $48.00 34.1% 9.6% 30.8% 11.1% 34.1% 2.2% -0.2% 31.4M -1.88B -11.0M 0.32 1.80 N/A N/A 113,899 36,528 815,487 1,134,069 2020-01-03 $54.66 $48.00 35.5% 9.7% 30.6% 16.3% 34.7% 2.3% -0.3% 36.6M -1.77B -11.5M 0.80 1.66 N/A N/A 54,051 43,260 876,879 1,142,072 2020-01-06 $53.50 $55.00 36.1% 10.3% 32.3% 18.1% 35.9% 2.9% 0.4% 16.3M -1.41B -11.5M 0.76 1.93 N/A N/A 40,628 30,998 860,473 1,115,361 2020-01-07 $58.20 $55.00 37.0% 10.5% 41.7% 21.3% 36.8% 2.1% 0.1% 44.7M -2.73B -11.1M 0.31 1.85 N/A N/A 305,672 95,771 871,205 1,128,291 2020-01-08 $57.82 $55.00 35.2% 10.1% 39.2% 14.9% 35.4% 2.2% 0.3% 51.9M -2.72B -11.4M 0.63 2.21 N/A N/A 94,804 60,076 932,550 1,156,415 2020-01-09 $57.23 $55.00 35.4% 10.0% 39.8% 15.8% 34.9% 2.2% 0.3% 52.5M -2.53B -11.7M 0.39 1.73 N/A N/A 86,616 34,176 950,803 1,172,615 2020-01-10 $56.66 $55.00 34.2% 9.8% 39.0% 11.5% 34.3% 2.5% 0.4% 37.1M -2.35B -11.7M 0.55 2.56 N/A N/A 95,425 52,354 973,462 1,178,749 2020-01-13 $57.31 $55.00 34.8% 9.8% 38.0% 13.6% 34.6% 2.5% -0.7% 54.1M -2.49B -11.5M 0.37 2.26 N/A N/A 77,641 29,060 948,854 1,147,288 2020-01-14 $57.59 $55.00 35.5% 9.9% 37.9% 16.0% 34.9% 2.2% -0.8% 59.7M -2.57B -11.7M 0.33 2.08 N/A N/A 131,088 42,611 963,350 1,157,045 2020-01-15 $55.92 $55.00 35.8% 10.1% 38.6% 17.0% 34.9% 1.7% -0.4% 39.9M -2.08B -12.2M 0.52 1.83 N/A N/A 84,611 44,168 1,020,761 1,175,275 2020-01-16 $57.75 $55.00 33.4% 9.3% 40.0% 8.7% 32.6% 2.1% -1.0% 76.2M -2.75B -12.1M 0.41 1.46 N/A N/A 141,162 58,341 1,038,948 1,191,830 2020-01-17 $57.49 $57.50 32.6% 9.1% 40.1% 6.0% 32.6% 1.7% -1.1% 125.2M -2.62B -12.2M 0.46 1.35 N/A N/A 91,851 42,276 1,051,916 1,207,109 2020-01-21 $58.92 $57.50 34.5% 9.9% 39.7% 12.6% 34.9% 1.9% 0.2% 46.5M -1.71B -12.0M 0.52 2.31 N/A N/A 85,472 44,236 675,739 721,412 2020-01-22 $59.19 $57.50 35.2% 10.1% 39.7% 15.2% 35.4% 1.3% -0.1% 50.2M -1.78B -12.2M 0.28 2.55 N/A N/A 128,563 35,888 690,134 735,992 2020-01-23 $59.25 $57.50 35.8% 10.3% 39.7% 17.1% 35.7% 1.8% -0.1% 58.3M -1.81B -12.3M 0.50 2.56 N/A N/A 83,486 41,344 720,013 745,888 2020-01-24 $57.64 $57.50 36.6% 10.5% 41.1% 20.2% 37.1% 1.2% -0.3% 36.1M -1.35B -12.5M 0.51 2.30 N/A N/A 105,529 53,676 736,017 760,233 2020-01-27 $55.52 $57.50 39.8% 11.5% 43.4% 31.4% 40.2% 4.1% 1.1% 20.1M -899.1M -12.6M 0.72 2.44 N/A N/A 71,023 50,894 713,646 731,537 2020-01-28 $56.66 $57.50 37.5% 10.9% 43.3% 23.2% 38.5% 3.5% 1.2% 31.6M -1.14B -12.5M 0.32 2.10 N/A N/A 50,693 16,419 732,046 747,417 2020-01-29 $55.42 $57.50 38.5% 11.2% 43.7% 26.5% 38.7% 3.8% 0.7% 20.8M -863.6M -12.5M 0.51 1.92 N/A N/A 45,175 22,874 744,655 753,094 2020-01-30 $54.75 $57.50 38.6% 11.0% 43.9% 27.2% 38.6% 3.8% 1.4% 12.7M -697.8M -12.4M 0.23 1.85 N/A N/A 176,856 39,981 751,924 760,035 2020-01-31 $53.00 $57.50 41.6% 12.1% 44.3% 37.6% 41.8% 4.3% 0.3% 9.4M -405.9M -12.7M 0.56 2.14 N/A N/A 103,119 57,638 799,409 773,915
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