MUB Options History — March 2011

In March 2011, MUB traded between $99.34 and $100.46. ATM implied volatility averaged 9.4%. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 3.0% (HV 20d: 6.3%). Max pain ranged from $100.00 to $102.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 19.72.

Notable Days

  • 2011-03-04: Highest Volume — 882 contracts
  • 2011-03-29: Largest IV drop — 14.5% change
  • 2011-03-07: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.96$99.34$100.46$100.46$99.45
Max Pain$100.87$100.00$102.00$102.00$100.00
ATM IV9.4%6.4%10.8%10.4%7.0%
Expected Move2.7%1.8%3.2%3.0%2.0%
HV 20d6.3%3.9%8.8%8.4%3.9%
HV 60d8.6%7.5%10.1%10.0%7.5%
Term Structure0.5%-0.8%2.5%0.4%1.2%
VWIV9.7%6.1%11.5%10.7%6.1%
Skew 25d2.5%1.0%4.6%3.9%2.9%
Skew 10d4.2%1.7%8.1%7.5%2.8%
Call IV 25d7.9%4.5%10.1%7.0%4.5%
Put IV 25d10.4%7.3%11.9%10.9%7.3%
Bid-Ask Spread %47.5831.2874.7458.1874.74
Gamma HHI0.200.130.310.140.30
Net GEX-1.6M-3.5M-842.7K-1.1M-3.5M
Net DEX7.3M2.7M10.2M2.7M8.3M
Net VEX-42.8K-58.8K-21.9K-21.9K-40.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio19.720.24109.252.4311.20
Total Volume225.957268829661
Total OI4,215.6522,8055,1342,8475,019

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$100.46$102.0010.4%3.0%8.4%0.0%10.7%3.9%0.4%-1.1M2.7M-21.9K2.4358.1828685372,310
2011-03-02$100.20$102.009.6%2.7%8.5%0.0%11.5%2.7%1.3%-1.0M4.9M-35.5K0.0059.280265612,244
2011-03-03$100.31$102.009.0%2.6%8.4%0.0%9.1%1.7%1.3%-1.1M3.9M-28.6K22.7862.88184105612,307
2011-03-04$99.98$101.009.6%3.0%8.4%0.0%10.6%1.5%0.2%-1.1M5.4M-33.4K109.2546.2288745692,499
2011-03-07$99.34$101.009.9%3.2%8.8%0.0%10.8%1.0%-0.4%-1.8M9.0M-47.6K4.5843.35743395733,239
2011-03-08$99.72$101.009.4%3.0%8.8%0.0%11.1%1.2%0.5%-1.9M8.1M-44.5K13.1039.09101316273,428
2011-03-09$99.94$101.009.5%3.0%8.8%0.0%11.0%1.9%-0.5%-1.8M8.4M-48.1K0.0036.000276273,527
2011-03-10$100.03$101.0010.8%3.1%8.8%0.0%9.1%2.4%-0.8%-1.7M6.4M-37.5K1.0435.8678816273,522
2011-03-11$99.90$101.0010.6%3.0%8.7%0.0%8.5%2.0%-0.5%-1.8M6.1M-33.9K0.2438.3855136673,503
2011-03-14$99.80$101.0010.4%3.0%6.5%0.0%11.1%2.1%-0.4%-1.9M8.7M-49.1K0.0044.570887223,499
2011-03-15$100.03$101.0010.6%3.0%5.4%0.0%11.5%1.7%0.1%-1.8M8.3M-49.2K14.0036.59294067223,556
2011-03-16$100.39$101.0010.8%3.1%5.5%0.0%10.7%2.6%-0.1%-1.6M8.6M-55.6K6.7740.42926237253,847
2011-03-17$100.26$101.0010.3%3.0%5.5%0.0%0.0%2.5%0.5%-2.2M10.2M-58.8K0.0031.2801026824,370
2011-03-18$100.24$101.009.9%2.8%5.1%0.0%10.3%1.7%0.6%-1.4M6.3M-37.9K92.0039.891926824,452
2011-03-21$100.24$101.0010.0%2.9%5.1%0.0%10.2%2.4%0.4%-1.7M8.9M-56.8K23.2043.2551164853,937
2011-03-22$99.86$101.009.5%2.7%5.0%0.0%9.4%1.5%-0.1%-1.0M6.9M-43.5K6.0035.1415904903,999
2011-03-23$100.00$101.008.8%2.5%4.9%0.0%9.2%4.6%0.3%-1.1M7.0M-44.2K2.9045.81631835054,033
2011-03-24$99.86$100.009.1%2.6%4.5%0.0%8.5%4.5%1.3%-1.7M9.4M-55.3K2.8346.6712345554,027
2011-03-25$99.82$100.008.1%2.3%4.5%0.0%8.9%4.2%1.0%-842.7K6.3M-37.4K5.3546.51311665624,016
2011-03-28$99.86$100.008.6%2.5%4.3%0.0%10.2%4.4%0.8%-947.0K6.9M-40.6K0.0065.3601115864,085
2011-03-29$99.69$100.007.4%2.1%4.0%0.0%8.0%2.8%2.5%-2.0M10.1M-54.1K3.9869.10522075864,127
2011-03-30$99.60$100.006.4%1.8%3.9%0.0%7.3%2.0%1.6%-1.8M6.4M-31.2K33.3655.72113675984,165
2011-03-31$99.45$100.007.0%2.0%3.9%0.0%6.1%2.9%1.2%-3.5M8.3M-40.2K11.2074.745566034,416