MUB Options History — February 2011

Name: MUB Options Analytics - February 2011
Creator: Options Analysis Suite

In February 2011, MUB traded between $98.50 and $100.96. ATM implied volatility averaged 10.4%. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 1.4% (HV 20d: 8.9%). Max pain ranged from $98.00 to $102.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 6.51.

Notable Days

2011-02-18: Highest Volume — 1,715 contracts
2011-02-10: Largest IV spike — 65.8% change
2011-02-10: Largest Expected Move — 3.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$99.58	$98.50	$100.96	$99.18	$100.96
Max Pain	$100.11	$98.00	$102.00	$100.00	$102.00
ATM IV	10.4%	8.1%	13.5%	9.4%	9.1%
Expected Move	3.1%	2.5%	3.9%	2.7%	2.6%
HV 20d	8.9%	8.4%	9.5%	9.3%	8.4%
HV 60d	14.5%	10.2%	18.8%	18.8%	10.2%
Term Structure	0.9%	-5.8%	12.4%	1.7%	1.2%
VWIV	10.8%	7.7%	14.7%	9.5%	13.0%
Skew 25d	1.9%	-15.2%	5.3%	2.2%	2.1%
Skew 10d	4.9%	-15.2%	8.4%	8.4%	6.2%
Call IV 25d	9.4%	6.2%	22.9%	8.5%	8.1%
Put IV 25d	11.3%	7.7%	13.5%	10.7%	10.2%
Bid-Ask Spread %	65.78	30.12	191.10	67.30	58.53
Gamma HHI	0.34	0.12	0.85	0.28	0.14
Net GEX	-6.5M	-12.1M	-811.4K	-8.9M	-914.0K
Net DEX	14.2M	3.1M	24.2M	17.1M	4.5M
Net VEX	-48.7K	-73.8K	-32.5K	-63.2K	-36.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.51	0.79	42.00	6.96	2.36
Total Volume	284.526	25	1,715	191	74
Total OI	7,770	2,654	10,113	9,138	2,749

Daily Data (19 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
2011-02-01	$99.18	$100.00	9.4%	2.7%	9.3%	0.0%	9.5%	2.2%	1.7%	-8.9M	17.1M	-63.2K	6.96	67.30	24	167	1,214	7,924
2011-02-02	$98.87	$100.00	8.6%	2.5%	9.3%	0.0%	8.5%	1.5%	1.8%	-9.4M	17.7M	-58.6K	6.75	74.51	8	54	1,238	8,036
2011-02-03	$98.74	$100.00	9.2%	2.6%	9.2%	0.0%	9.0%	3.3%	1.6%	-8.1M	22.0M	-68.5K	2.13	73.33	8	17	1,244	8,084
2011-02-04	$98.50	$98.00	9.5%	3.3%	9.2%	0.0%	11.4%	2.9%	0.9%	-8.4M	24.2M	-66.8K	2.00	30.12	19	38	1,249	8,086
2011-02-07	$98.56	$98.00	8.9%	3.0%	9.2%	0.0%	11.6%	2.6%	1.6%	-8.5M	21.6M	-58.5K	1.73	32.40	15	26	1,268	8,095
2011-02-08	$98.52	$98.00	8.9%	2.8%	9.2%	0.0%	11.1%	4.7%	0.8%	-8.6M	22.4M	-57.6K	42.00	44.79	2	84	1,264	8,094
2011-02-09	$98.80	$98.00	8.1%	2.9%	9.2%	0.0%	10.0%	2.4%	1.5%	-8.5M	21.1M	-52.9K	9.80	35.84	15	147	1,262	8,150
2011-02-10	$99.20	$98.00	13.5%	3.9%	9.1%	0.0%	7.7%	-15.2%	-5.8%	-5.8M	20.7M	-73.8K	1.56	191.10	99	154	1,272	8,262
2011-02-11	$100.79	$98.00	11.7%	3.4%	9.5%	0.0%	12.2%	4.4%	-0.6%	-6.2M	3.1M	-43.5K	0.79	62.09	789	626	1,311	8,291
2011-02-14	$99.75	$100.00	11.9%	3.4%	9.4%	0.0%	12.2%	2.2%	-1.1%	-8.6M	15.4M	-40.9K	1.51	45.59	171	259	1,034	8,729
2011-02-15	$99.61	$100.00	11.5%	3.3%	8.7%	0.0%	12.5%	1.8%	-0.5%	-7.9M	16.0M	-40.2K	0.00	52.39	0	153	935	8,861
2011-02-16	$99.41	$100.00	11.7%	3.4%	8.8%	0.0%	8.4%	1.9%	-0.1%	-7.0M	19.3M	-39.6K	1.26	47.76	66	83	935	8,969
2011-02-17	$100.00	$102.00	11.8%	3.4%	9.0%	0.0%	11.2%	2.5%	-2.1%	-10.9M	13.2M	-38.8K	3.06	56.83	49	150	997	9,037
2011-02-18	$100.19	$102.00	10.0%	2.9%	8.5%	0.0%	10.2%	2.5%	0.7%	-12.1M	8.2M	-32.5K	21.27	63.28	77	1,638	1,032	9,081
2011-02-22	$99.72	$102.00	10.7%	3.1%	8.6%	0.0%	11.4%	2.5%	0.5%	-933.6K	6.0M	-33.5K	0.96	53.40	96	92	428	2,226
2011-02-23	$100.00	$102.00	13.4%	3.8%	8.6%	0.0%	14.7%	5.3%	12.4%	-811.4K	6.2M	-44.1K	1.47	152.56	45	66	481	2,250
2011-02-24	$100.51	$102.00	9.3%	2.7%	8.4%	0.0%	10.7%	3.9%	1.4%	-944.9K	5.3M	-37.4K	7.00	60.68	5	35	506	2,288
2011-02-25	$100.67	$102.00	9.7%	2.8%	8.4%	0.0%	10.8%	3.2%	1.2%	-905.9K	5.2M	-38.1K	4.50	47.22	10	45	521	2,227
2011-02-28	$100.96	$102.00	9.1%	2.6%	8.4%	0.0%	13.0%	2.1%	1.2%	-914.0K	4.5M	-36.4K	2.36	58.53	22	52	531	2,218