MUB Options History — December 2010

Name: MUB Options Analytics - December 2010
Creator: Options Analysis Suite

In December 2010, MUB traded between $97.30 and $99.96. ATM implied volatility averaged 9.3%. The 30-day expected move averaged 2.7%. IV traded below realized volatility by 9.3% (HV 20d: 18.6%). Max pain ranged from $98.00 to $99.00. Net GEX was positive for 4 of 16 trading days. Term structure was in contango for 12 of 16 days. Put/call ratio averaged 2.20.

Notable Days

2010-12-20: Highest Volume — 68 contracts
2010-12-17: Largest IV spike — 43.1% change
2010-12-08: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$98.95	$97.30	$99.96	$99.25	$99.13
Max Pain	$98.45	$98.00	$99.00	$98.00	$99.00
ATM IV	9.3%	7.2%	11.4%	11.4%	8.4%
Expected Move	2.7%	2.1%	3.3%	3.3%	2.4%
HV 20d	18.6%	12.2%	29.0%	29.0%	12.2%
Term Structure	1.0%	-0.9%	2.8%	-0.5%	1.1%
VWIV	9.4%	8.3%	10.8%	8.8%	8.3%
Skew 25d	3.2%	1.6%	7.1%	2.5%	3.2%
Skew 10d	4.3%	1.8%	7.4%	4.4%	2.5%
Call IV 25d	7.0%	5.4%	8.9%	8.9%	6.8%
Put IV 25d	10.3%	8.6%	12.4%	11.4%	10.0%
Bid-Ask Spread %	95.97	73.18	200.00	93.98	82.15
Gamma HHI	0.40	0.25	1.00	1.00	0.29
Net GEX	-35.1K	-130.3K	18.0K	0	-111.0K
Net DEX	97.9K	-72.6K	407.4K	0	283.1K
Net VEX	-1.2K	-2.5K	0	0	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.20	0.40	5.80	0.40	3.20
Total Volume	22.375	0	68	1	42
Total OI	108.938	0	255	0	255

Daily Data (16 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 Vol	Put Vol	Call OI	Put OI
2010-12-08	$99.25	$0.00	11.4%	3.3%	29.0%	0.0%	0.0%	2.5%	-0.5%	0	0	0	0.00	93.98	0	1	0	0
2010-12-09	$99.48	$0.00	9.9%	2.9%	27.2%	0.0%	0.0%	4.3%	-0.1%	-2.9K	3.8K	-6	0.00	97.85	0	10	0	1
2010-12-10	$99.19	$0.00	10.5%	2.9%	24.5%	0.0%	0.0%	4.5%	0.1%	-12.7K	67.2K	-166	0.00	99.09	0	0	0	11
2010-12-13	$99.02	$0.00	10.0%	2.7%	23.7%	0.0%	8.8%	3.8%	0.3%	-13.2K	69.7K	-155	0.40	104.74	30	12	0	11
2010-12-14	$97.30	$98.00	10.2%	2.9%	23.2%	0.0%	9.6%	1.7%	-0.9%	7.4K	73.2K	-524	1.67	105.03	15	25	30	21
2010-12-15	$97.74	$98.00	9.5%	2.7%	21.5%	0.0%	0.0%	1.6%	0.8%	11.8K	71.8K	-937	0.00	102.43	0	0	45	28
2010-12-16	$98.64	$0.00	7.2%	2.1%	17.5%	0.0%	0.0%	0.0%	0.0%	0	0	0	0.00	200.00	0	0	0	0
2010-12-17	$99.96	$98.00	10.3%	2.9%	17.7%	0.0%	10.8%	7.1%	0.9%	18.0K	-72.6K	-1.1K	0.60	73.53	15	9	45	34
2010-12-20	$98.88	$98.00	9.3%	2.7%	18.6%	0.0%	10.3%	3.5%	2.2%	17.6K	-13.4K	-1.3K	5.80	86.12	10	58	60	41
2010-12-21	$99.04	$98.00	8.3%	2.4%	15.3%	0.0%	0.0%	3.9%	2.4%	-75.0K	32.2K	-1.7K	0.00	74.80	0	3	70	94
2010-12-22	$99.27	$98.00	8.4%	2.4%	15.3%	0.0%	9.0%	3.0%	2.3%	-46.7K	25.8K	-1.7K	0.00	73.18	0	36	70	97
2010-12-23	$99.12	$99.00	8.7%	2.5%	13.0%	0.0%	0.0%	2.7%	1.3%	-105.3K	215.7K	-2.1K	0.00	76.38	0	15	70	129
2010-12-27	$99.42	$99.00	8.0%	2.3%	12.7%	0.0%	8.4%	1.7%	2.8%	-55.0K	144.9K	-2.0K	0.00	94.31	0	5	70	123
2010-12-28	$98.83	$99.00	9.6%	2.8%	13.0%	0.0%	10.3%	2.4%	0.8%	-64.6K	258.1K	-2.1K	0.00	87.99	0	44	70	127
2010-12-29	$98.86	$99.00	9.0%	2.6%	13.0%	0.0%	8.3%	2.7%	1.7%	-130.3K	407.4K	-2.5K	1.55	83.87	11	17	70	171
2010-12-30	$99.13	$99.00	8.4%	2.4%	12.2%	0.0%	0.0%	3.2%	1.1%	-111.0K	283.1K	-2.4K	3.20	82.15	10	32	81	174