MU Options History — September 2020 In September 2020, MU traded between $45.03 and $50.88. ATM implied volatility averaged 53.9%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 13.1% (HV 20d: 40.8%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.58.
Notable Days 2020-09-30 : Highest Volume — 331,122 contracts2020-09-30 : Largest IV drop — 18.6% change2020-09-03 : Highest IV Rank — 34.7%2020-09-24 : Largest Expected Move — 17.0%Monthly Statistics Metric Avg Min Max Open Close Price $48.24 $45.03 $50.88 $45.66 $46.93 Max Pain $45.24 $45.00 $47.50 $47.50 $45.00 ATM IV 53.9% 42.0% 61.2% 53.0% 42.0% Expected Move 15.4% 12.1% 17.0% 13.2% 12.1% HV 20d 40.8% 32.5% 52.1% 32.5% 52.1% HV 60d 37.1% 34.9% 39.5% 36.2% 39.5% IV Rank 26.3% 12.7% 34.7% 25.2% 12.7% IV Percentile 71.0% 36.9% 88.1% 73.4% 36.9% Term Structure -1.2% -7.0% 6.0% -1.0% 6.0% VWIV 53.6% 42.6% 59.0% 46.1% 42.6% Skew 25d 3.0% -5.6% 6.6% -0.6% 1.3% Skew 10d 5.9% -6.9% 10.4% -6.9% 0.1% Call IV 25d 52.7% 41.9% 62.8% 53.8% 41.9% Put IV 25d 55.8% 43.3% 63.8% 53.2% 43.3% Bid-Ask Spread % 3.56 2.07 9.41 2.15 3.67 Gamma HHI 0.07 0.05 0.10 0.06 0.06 Net GEX 10.0M -31.8M 28.8M 5.0M -31.8M Net DEX -344.1M -993.3M 316.1M 107.3M 249.8M Net VEX -10.4M -10.8M -9.7M -10.2M -10.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.22 1.12 0.40 0.90 Total Volume 144,871.286 59,970 331,122 84,661 331,122 Total OI 1,418,005.476 1,346,106 1,608,745 1,354,054 1,608,745
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 2020-09-01 $45.66 $47.50 53.0% 13.2% 32.5% 25.2% 46.1% -0.6% -1.0% 5.0M 107.3M -10.2M 0.40 2.15 N/A N/A 60,426 24,235 642,954 711,100 2020-09-02 $48.03 $47.50 57.9% 13.8% 38.2% 30.9% 48.5% -5.6% -1.3% 16.6M -388.9M -10.7M 0.22 2.48 N/A N/A 170,877 37,333 653,058 718,088 2020-09-03 $46.16 $45.00 61.2% 16.9% 37.8% 34.7% 58.3% 1.1% -7.0% 8.3M 14.3M -10.5M 0.66 8.16 N/A N/A 74,198 49,081 652,921 720,689 2020-09-04 $46.70 $45.00 60.2% 16.3% 38.1% 33.5% 56.5% 5.6% -6.7% 11.6M -82.4M -10.4M 0.61 9.41 N/A N/A 66,085 40,465 662,163 732,887 2020-09-08 $45.15 $45.00 57.8% 16.3% 39.4% 30.7% 56.2% 4.9% 0.0% -3.6M 255.2M -10.0M 0.57 6.56 N/A N/A 38,109 21,861 627,265 721,482 2020-09-09 $45.05 $45.00 54.9% 15.1% 38.8% 27.4% 52.2% 5.5% -2.2% -4.8M 309.4M -9.7M 0.41 2.70 N/A N/A 58,638 23,954 634,421 725,784 2020-09-10 $45.03 $45.00 54.1% 15.0% 38.5% 26.5% 52.3% 3.7% -1.4% -4.0M 316.1M -9.7M 0.78 4.20 N/A N/A 38,089 29,843 652,017 737,613 2020-09-11 $46.16 $45.00 54.0% 14.8% 36.1% 26.4% 51.2% 1.8% -3.4% 3.2M 73.0M -9.9M 0.94 2.98 N/A N/A 76,944 71,977 661,204 745,776 2020-09-14 $49.26 $45.00 50.9% 14.4% 42.4% 22.9% 50.2% 3.7% -2.2% 15.1M -565.5M -10.1M 0.27 2.10 N/A N/A 168,056 45,262 652,012 752,080 2020-09-15 $48.94 $45.00 51.1% 14.5% 42.2% 23.1% 50.9% 3.4% 2.0% 17.0M -489.5M -10.2M 0.34 3.15 N/A N/A 88,614 30,402 672,169 760,795 2020-09-16 $50.49 $45.00 51.9% 14.9% 42.5% 24.0% 51.7% 4.7% 0.4% 26.2M -871.2M -10.4M 0.46 2.69 N/A N/A 120,460 55,144 689,755 767,117 2020-09-17 $50.82 $45.00 54.6% 15.7% 42.1% 27.1% 54.2% 4.6% 0.4% 26.7M -967.2M -10.7M 0.45 4.83 N/A N/A 100,547 45,603 706,953 780,533 2020-09-18 $50.84 $45.00 54.7% 15.9% 40.9% 27.2% 55.6% 4.5% -2.4% 28.8M -993.3M -10.7M 0.37 2.18 N/A N/A 116,095 43,343 725,809 791,907 2020-09-21 $49.00 $45.00 53.1% 16.2% 43.3% 25.4% 55.9% 5.5% 1.6% 12.8M -475.5M -10.6M 0.49 2.45 N/A N/A 67,375 33,154 653,257 692,849 2020-09-22 $49.66 $45.00 53.2% 15.7% 42.8% 25.5% 55.1% 6.6% 0.3% 17.1M -617.6M -10.5M 0.54 2.37 N/A N/A 43,454 23,260 660,762 703,937 2020-09-23 $50.15 $45.00 55.0% 16.6% 41.5% 27.6% 58.0% 3.5% -0.6% 19.2M -724.5M -10.6M 0.60 2.85 N/A N/A 85,367 51,441 667,260 715,457 2020-09-24 $49.49 $45.00 55.1% 17.0% 41.9% 27.7% 59.0% 2.4% -5.8% 15.5M -586.0M -10.8M 0.70 3.28 N/A N/A 53,524 37,444 691,449 737,933 2020-09-25 $49.11 $45.00 51.9% 16.4% 41.9% 24.0% 57.0% 2.6% -1.6% 6.7M -483.5M -10.6M 0.56 2.20 N/A N/A 97,948 54,403 697,286 757,535 2020-09-28 $49.55 $45.00 53.0% 16.2% 41.4% 25.2% 57.2% 4.2% -0.5% 9.9M -522.4M -10.5M 1.12 2.07 N/A N/A 74,819 84,146 668,090 753,330 2020-09-29 $50.88 $45.00 51.6% 16.2% 42.1% 23.7% 56.2% 0.4% 0.9% 14.2M -783.1M -10.6M 0.68 2.27 N/A N/A 184,235 124,964 680,656 791,017 2020-09-30 $46.93 $45.00 42.0% 12.1% 52.1% 12.7% 42.6% 1.3% 6.0% -31.8M 249.8M -10.2M 0.90 3.67 N/A N/A 173,857 157,265 743,672 865,073
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