MUB Options History — October 2008

In October 2008, MUB traded between $88.76 and $98.75. ATM implied volatility averaged 31.4%. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.4% (HV 20d: 31.0%). Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2008-10-20: Highest Volume — 4 contracts
  • 2008-10-07: Largest IV spike — 108.5% change
  • 2008-10-03: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.08$88.76$98.75$97.10$96.07
ATM IV31.4%17.5%73.8%28.5%25.6%
Expected Move6.5%5.0%8.5%8.2%7.3%
HV 20d31.0%29.0%33.4%33.4%29.0%
Term Structure-5.3%-15.6%0.5%-6.1%-5.5%
Bid-Ask Spread %156.26144.44176.09169.44152.96
Gamma HHI1.001.001.001.001.00
Net GEX73076500
Net DEX-10.3K-38.5K00-38.4K
Net VEX-5-52000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.190400
Total OI1.1430404

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-10-01$97.10$0.0028.5%8.2%0.0%0.0%0.0%0.0%-6.1%0000.00169.440000
2008-10-02$98.75$0.0028.7%8.2%0.0%0.0%0.0%0.0%-13.9%0000.00165.080000
2008-10-03$98.16$0.0029.6%8.5%0.0%0.0%0.0%0.0%-15.6%0000.00167.860000
2008-10-06$97.58$0.0017.5%5.0%0.0%0.0%0.0%0.0%-0.1%0000.00146.630000
2008-10-07$95.04$0.0036.5%5.1%0.0%0.0%0.0%0.0%-3.0%0000.00161.940000
2008-10-08$92.25$0.0039.1%5.4%0.0%0.0%0.0%0.0%-1.5%0000.00157.050000
2008-10-09$90.92$0.0042.2%5.5%0.0%0.0%0.0%0.0%-3.5%0000.00155.840000
2008-10-10$89.00$0.0045.2%5.9%0.0%0.0%0.0%0.0%-7.0%0000.00144.440000
2008-10-14$91.49$0.0062.8%5.8%0.0%0.0%0.0%0.0%-3.8%0000.00153.750000
2008-10-15$88.76$0.0073.8%6.1%0.0%0.0%0.0%0.0%-8.3%0000.00152.070000
2008-10-16$89.05$0.0021.0%6.0%0.0%0.0%0.0%0.0%0.0%0000.00176.090000
2008-10-17$89.99$0.0021.3%6.1%0.0%0.0%0.0%0.0%-7.6%0000.00153.500000
2008-10-20$92.98$0.0024.1%6.9%0.0%0.0%0.0%0.0%-8.7%0000.00148.824000
2008-10-21$92.99$0.0023.5%6.7%0.0%0.0%0.0%0.0%0.0%0000.00154.340000
2008-10-22$95.36$0.0021.7%6.2%0.0%0.0%0.0%0.0%-2.4%0-38.1K00.00152.590040
2008-10-23$96.27$0.0022.3%6.4%33.4%0.0%0.0%0.0%-3.0%0-38.5K00.00150.220040
2008-10-24$96.51$0.0022.7%6.5%32.3%0.0%0.0%0.0%-2.6%761-31.1K-520.00150.300040
2008-10-27$96.52$0.0023.4%6.7%31.3%0.0%0.0%0.0%-2.7%765-31.2K-480.00152.680040
2008-10-29$95.50$0.0024.6%7.1%30.6%0.0%0.0%0.0%0.5%0000.00162.960000
2008-10-30$95.45$0.0025.2%7.2%29.7%0.0%0.0%0.0%-5.8%0-38.2K00.00152.910040
2008-10-31$96.07$0.0025.6%7.3%29.0%0.0%0.0%0.0%-5.5%0-38.4K00.00152.960040