MUB Options History — January 2011 In January 2011, MUB traded between $96.26 and $99.86. ATM implied volatility averaged 9.8%. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 0.3% (HV 20d: 10.1%). Max pain ranged from $97.00 to $100.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 10.49.
Notable Days 2011-01-20 : Highest Volume — 3,383 contracts2011-01-13 : Largest IV spike — 60.5% change2011-01-20 : Largest Expected Move — 4.0%Monthly Statistics Metric Avg Min Max Open Close Price $98.64 $96.26 $99.86 $99.57 $99.00 Max Pain $99.00 $97.00 $100.00 $99.00 $100.00 ATM IV 9.8% 6.7% 13.9% 7.5% 10.1% Expected Move 2.9% 1.9% 4.0% 2.2% 2.9% HV 20d 10.1% 8.4% 12.2% 12.2% 9.4% HV 60d 20.0% 19.0% 20.8% 20.8% 19.0% Term Structure 1.8% 0.8% 3.2% 1.0% 1.6% VWIV 10.6% 6.2% 13.5% 8.3% 9.2% Skew 25d 3.2% 1.3% 5.7% 2.6% 1.3% Skew 10d 6.3% 0.8% 10.1% 2.0% 5.8% Call IV 25d 8.3% 5.4% 10.7% 6.4% 9.8% Put IV 25d 11.5% 8.3% 15.4% 8.9% 11.1% Bid-Ask Spread % 75.82 61.56 131.89 90.19 67.31 Gamma HHI 0.37 0.23 0.57 0.25 0.26 Net GEX -3.6M -10.4M 106.1K -47.7K -9.2M Net DEX 10.1M -242.6K 26.8M -6.7K 20.1M Net VEX -39.4K -84.2K -3.2K -3.2K -64.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 10.49 0.80 55.00 0.80 2.12 Total Volume 693.5 5 3,383 36 153 Total OI 4,393.85 321 9,339 321 9,190
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 Vol Put Vol Call OI Put OI 2011-01-03 $99.57 $99.00 7.5% 2.2% 12.2% 0.0% 8.3% 2.6% 1.0% -47.7K -6.7K -3.2K 0.80 90.19 20 16 116 205 2011-01-04 $99.86 $99.00 6.7% 1.9% 12.1% 0.0% 6.8% 2.9% 1.6% 106.1K -242.6K -3.2K 10.25 88.26 8 82 131 202 2011-01-05 $99.41 $99.00 7.7% 2.2% 12.0% 0.0% 6.2% 1.6% 2.2% -101.5K 263.4K -4.1K 2.07 78.62 29 60 134 274 2011-01-06 $99.13 $99.00 8.0% 2.3% 11.5% 0.0% 9.7% 1.8% 1.3% -97.6K 614.4K -5.1K 0.00 88.38 0 281 163 322 2011-01-07 $99.22 $99.00 8.3% 2.7% 10.6% 0.0% 9.3% 5.3% 2.1% -409.9K 1.5M -8.4K 55.00 75.31 1 55 163 597 2011-01-10 $99.06 $99.00 9.3% 2.9% 10.5% 0.0% 10.4% 3.8% 2.0% -538.5K 1.9M -8.5K 0.00 71.95 0 16 164 641 2011-01-11 $99.05 $99.00 8.4% 2.8% 10.5% 0.0% 12.7% 2.9% 1.9% -598.5K 1.9M -8.1K 0.00 72.63 0 5 164 646 2011-01-12 $98.44 $99.00 7.2% 2.6% 10.7% 0.0% 9.5% 3.1% 2.4% -698.9K 2.5M -7.9K 3.48 82.67 160 557 164 649 2011-01-13 $97.31 $99.00 11.6% 3.3% 9.6% 0.0% 12.1% 0.0% 3.2% -868.1K 5.0M -13.9K 29.35 131.89 46 1,350 173 1,112 2011-01-14 $96.26 $98.00 13.8% 3.9% 10.2% 0.0% 13.2% 4.7% 0.8% -2.1M 11.5M -29.3K 2.19 71.25 1,022 2,243 200 2,363 2011-01-18 $97.37 $97.00 13.1% 3.8% 10.5% 0.0% 12.9% 5.7% 1.3% -2.9M 13.1M -64.9K 3.71 71.22 86 319 1,207 4,341 2011-01-19 $97.53 $97.00 11.9% 3.4% 9.2% 0.0% 13.5% 4.1% 2.6% -2.9M 13.2M -67.0K 4.84 63.13 82 397 1,171 4,547 2011-01-20 $97.49 $97.00 13.9% 4.0% 8.4% 0.0% 12.8% 4.1% 1.0% -3.6M 15.1M -67.8K 34.61 68.20 95 3,288 1,211 4,840 2011-01-21 $98.34 $100.00 11.9% 3.4% 9.0% 0.0% 9.5% 1.8% 2.5% -7.6M 26.8M -84.2K 1.44 66.82 180 260 1,193 8,087 2011-01-24 $98.83 $100.00 10.3% 2.9% 9.2% 0.0% 13.0% 4.8% 1.7% -5.3M 19.6M -72.5K 12.48 62.28 94 1,173 1,155 6,329 2011-01-25 $98.72 $100.00 10.1% 2.9% 9.2% 0.0% 12.2% 2.9% 1.5% -7.5M 20.3M -75.5K 2.89 62.78 73 211 1,198 7,383 2011-01-26 $99.45 $100.00 9.5% 2.7% 9.5% 0.0% 11.3% 3.5% 1.6% -8.1M 16.6M -70.0K 10.36 72.08 88 912 1,262 7,561 2011-01-27 $99.33 $100.00 9.2% 2.6% 9.3% 0.0% 8.7% 1.9% 2.3% -9.1M 17.7M -70.8K 1.11 61.56 73 81 1,253 8,027 2011-01-28 $99.53 $100.00 7.9% 2.3% 9.3% 0.0% 11.0% 2.7% 2.5% -10.4M 13.6M -58.9K 1.68 69.81 132 222 1,253 8,086 2011-01-31 $99.00 $100.00 10.1% 2.9% 9.4% 0.0% 9.2% 1.3% 1.6% -9.2M 20.1M -64.5K 2.12 67.31 49 104 1,255 7,935
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