MU Options History — November 2020 In November 2020, MU traded between $49.50 and $64.37. ATM implied volatility averaged 39.9%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 4.9% (HV 20d: 35.0%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.52.
Notable Days 2020-11-16 : Highest Volume — 312,098 contracts2020-11-04 : Largest IV drop — 8.0% change2020-11-02 : Highest IV Rank — 15.9%2020-11-02 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $58.69 $49.50 $64.37 $49.50 $64.17 Max Pain $52.13 $50.00 $52.50 $50.00 $52.50 ATM IV 39.9% 36.8% 44.8% 44.8% 42.3% Expected Move 11.7% 10.8% 13.9% 13.9% 12.8% HV 20d 35.0% 28.1% 40.0% 28.1% 34.6% HV 60d 39.0% 37.8% 40.0% 38.2% 37.8% IV Rank 10.3% 6.7% 15.9% 15.9% 13.0% IV Percentile 20.8% 11.5% 44.0% 44.0% 32.5% Term Structure 0.2% -1.4% 5.9% -0.6% 5.9% VWIV 41.2% 37.9% 48.8% 48.8% 45.1% Skew 25d 1.6% -0.8% 5.0% 3.5% 0.8% Skew 10d 2.8% -1.3% 9.2% 7.6% 3.8% Call IV 25d 39.4% 35.0% 43.7% 43.7% 42.2% Put IV 25d 41.1% 38.1% 47.3% 47.3% 43.0% Bid-Ask Spread % 3.16 1.75 6.98 2.88 2.63 Gamma HHI 0.12 0.06 0.50 0.06 0.11 Net GEX 46.9M -525.3K 165.1M -525.3K 41.5M Net DEX -1.94B -2.80B -91.5M -91.5M -2.55B Net VEX -10.3M -10.9M -9.4M -10.8M -9.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.52 0.19 1.77 1.77 0.44 Total Volume 95,812 41,980 312,098 75,735 114,284 Total OI 1,511,252.15 1,384,108 1,668,207 1,384,108 1,482,713
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 2020-11-02 $49.50 $50.00 44.8% 13.9% 28.1% 15.9% 48.8% 3.5% -0.6% -525.3K -91.5M -10.8M 1.77 2.88 N/A N/A 27,362 48,373 613,200 770,908 2020-11-03 $51.25 $50.00 43.2% 13.7% 30.4% 14.0% 45.9% 4.5% -0.6% 6.9M -420.9M -10.9M 0.35 2.51 N/A N/A 31,090 10,890 613,200 770,908 2020-11-04 $52.09 $50.00 39.8% 11.7% 30.1% 10.1% 41.4% 5.0% 0.2% 12.9M -611.4M -10.9M 0.59 4.20 N/A N/A 30,791 18,295 634,308 809,778 2020-11-05 $54.40 $52.50 38.4% 11.3% 32.3% 8.6% 39.5% 3.5% 1.0% 25.2M -1.16B -10.8M 0.31 6.98 N/A N/A 73,378 22,940 644,080 810,834 2020-11-06 $55.25 $52.50 37.1% 11.2% 32.5% 7.1% 39.6% 3.5% 1.6% 29.9M -1.42B -10.9M 0.59 4.14 N/A N/A 42,116 24,746 670,381 816,899 2020-11-09 $56.60 $52.50 36.8% 10.8% 33.0% 6.7% 37.9% 3.2% -0.0% 33.4M -1.64B -10.4M 0.57 3.85 N/A N/A 59,858 33,977 658,632 806,539 2020-11-10 $55.51 $52.50 39.5% 11.5% 33.1% 9.8% 40.9% 2.5% 1.0% 28.8M -1.36B -10.7M 0.66 3.22 N/A N/A 33,914 22,291 669,975 818,051 2020-11-11 $56.47 $52.50 38.5% 11.2% 33.1% 8.6% 39.8% 1.7% 0.8% 33.2M -1.57B -10.6M 0.52 4.60 N/A N/A 60,965 31,991 673,000 824,417 2020-11-12 $56.34 $52.50 40.4% 11.5% 33.2% 10.8% 40.3% 2.0% -0.2% 35.6M -1.59B -10.7M 0.64 3.88 N/A N/A 29,151 18,658 696,525 834,172 2020-11-13 $58.00 $52.50 38.0% 11.1% 34.3% 8.1% 38.7% 1.2% 0.7% 50.9M -1.99B -10.4M 0.28 3.06 N/A N/A 82,558 23,179 700,901 839,735 2020-11-16 $61.78 $52.50 41.0% 11.8% 39.9% 11.6% 41.6% -0.8% -0.5% 36.1M -2.70B -9.8M 0.24 1.75 N/A N/A 251,578 60,520 700,078 826,348 2020-11-17 $61.84 $52.50 42.0% 12.1% 39.6% 12.7% 42.3% 0.6% -0.8% 58.7M -2.80B -10.3M 0.56 2.12 N/A N/A 74,740 42,163 782,112 846,262 2020-11-18 $60.95 $52.50 40.9% 11.7% 40.0% 11.4% 41.2% -0.5% -1.0% 58.3M -2.63B -10.3M 0.24 2.31 N/A N/A 94,660 22,372 792,399 857,034 2020-11-19 $61.75 $52.50 39.9% 11.5% 39.9% 10.3% 40.6% 0.6% -0.7% 67.8M -2.79B -10.1M 0.45 2.39 N/A N/A 54,811 24,764 793,331 862,821 2020-11-20 $61.75 $52.50 39.5% 11.3% 37.6% 9.8% 40.3% 0.2% 0.6% 87.2M -2.78B -10.1M 0.19 1.87 N/A N/A 111,423 21,298 800,361 867,846 2020-11-23 $64.37 $52.50 38.6% 11.2% 38.3% 8.8% 39.6% 0.3% -0.1% 53.0M -2.73B -9.4M 0.43 2.83 N/A N/A 80,212 34,799 690,778 752,519 2020-11-24 $63.86 $52.50 38.6% 11.0% 38.8% 8.8% 38.6% 0.7% -0.9% 53.9M -2.60B -9.6M 0.71 2.61 N/A N/A 48,089 34,261 700,264 768,746 2020-11-25 $63.75 $52.50 39.5% 11.4% 35.3% 9.8% 40.0% 0.1% -1.4% 60.5M -2.56B -10.0M 0.54 2.56 N/A N/A 38,187 20,605 716,974 785,718 2020-11-27 $64.08 $52.50 39.5% 11.6% 35.3% 9.9% 41.0% 0.2% -1.1% 165.1M -2.71B -9.7M 0.38 2.78 N/A N/A 44,073 16,878 726,893 795,403 2020-11-30 $64.17 $52.50 42.3% 12.8% 34.6% 13.0% 45.1% 0.8% 5.9% 41.5M -2.55B -9.7M 0.44 2.63 N/A N/A 79,504 34,780 699,378 783,335
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