MUB Options History — May 2011

In May 2011, MUB traded between $101.67 and $103.95. ATM implied volatility averaged 4.8%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 1.6% (HV 20d: 3.2%). Max pain ranged from $101.00 to $103.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 12.47.

Notable Days

2011-05-05: Highest Volume — 340 contracts
2011-05-03: Largest IV spike — 47.1% change
2011-05-31: Highest IV Rank — 3.6%
2011-05-06: Largest Expected Move — 1.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$102.92	$101.67	$103.95	$101.71	$103.95
Max Pain	$101.38	$101.00	$103.00	$101.00	$103.00
ATM IV	4.8%	3.1%	5.6%	3.1%	5.6%
Expected Move	1.5%	0.9%	1.7%	0.9%	1.6%
HV 20d	3.2%	2.2%	4.2%	3.3%	4.2%
HV 60d	4.5%	3.9%	5.7%	5.7%	3.9%
IV Rank	2.7%	1.1%	3.6%	2.0%	3.6%
IV Percentile	11.1%	0.8%	22.0%	0.8%	22.0%
Term Structure	1.1%	-0.4%	2.3%	0.9%	1.4%
VWIV	5.8%	3.3%	9.4%	3.3%	8.3%
Skew 25d	1.9%	0.0%	3.5%	1.2%	1.6%
Skew 10d	1.8%	-0.3%	5.1%	0.4%	4.1%
Call IV 25d	3.6%	2.9%	4.7%	3.3%	3.1%
Put IV 25d	5.5%	4.0%	6.6%	4.5%	4.7%
Bid-Ask Spread %	86.50	65.53	121.34	71.59	98.68
Gamma HHI	0.18	0.14	0.34	0.23	0.17
Net GEX	-849.0K	-1.3M	-518.1K	-949.6K	-1.3M
Net DEX	1.2M	-3.3M	3.2M	3.0M	1.7M
Net VEX	-26.2K	-38.8K	-9.4K	-33.9K	-21.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	12.47	0.41	90.00	4.00	0.57
Total Volume	97.095	5	340	130	55
Total OI	4,278.952	2,522	5,061	4,498	2,900

Daily Data (21 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
2011-05-02	$101.71	$101.00	3.1%	0.9%	3.3%	0.0%	3.3%	1.2%	0.9%	-949.6K	3.0M	-33.9K	4.00	71.59	26	104	534	3,964
2011-05-03	$101.67	$101.00	4.5%	1.3%	3.3%	0.0%	3.5%	0.1%	-0.4%	-1.2M	3.2M	-28.9K	6.85	72.12	13	89	520	4,025
2011-05-04	$102.00	$101.00	4.6%	1.3%	3.4%	0.0%	4.6%	0.1%	0.7%	-680.3K	1.3M	-21.2K	0.41	73.51	22	9	513	4,065
2011-05-05	$102.25	$101.00	4.8%	1.4%	2.8%	0.0%	4.1%	0.4%	0.3%	-714.5K	1.7M	-25.7K	1.11	65.53	161	179	500	4,073
2011-05-06	$102.24	$101.00	4.6%	1.7%	2.4%	0.0%	6.5%	3.1%	1.5%	-817.2K	1.2M	-29.9K	0.00	71.64	0	14	641	4,240
2011-05-09	$102.34	$101.00	4.5%	1.7%	2.2%	2.0%	0.0%	3.5%	1.2%	-781.5K	1.8M	-35.6K	0.00	68.31	0	5	641	4,252
2011-05-10	$102.35	$101.00	3.9%	1.5%	2.2%	1.2%	5.1%	3.4%	1.6%	-791.1K	1.8M	-35.2K	2.68	73.15	22	59	626	4,252
2011-05-11	$102.58	$101.00	3.9%	1.4%	2.2%	1.1%	6.1%	1.9%	2.3%	-898.8K	1.6M	-36.6K	0.50	93.17	4	2	648	4,309
2011-05-12	$103.15	$101.00	5.1%	1.5%	2.6%	2.9%	6.1%	2.2%	0.5%	-961.9K	1.4M	-38.8K	0.44	87.55	71	31	647	4,309
2011-05-13	$103.29	$101.00	5.1%	1.5%	2.6%	2.8%	0.0%	1.5%	1.5%	-1.0M	291.4K	-25.4K	0.00	90.94	0	9	588	4,329
2011-05-16	$103.22	$101.00	4.9%	1.4%	2.5%	2.6%	5.9%	2.7%	0.5%	-700.6K	-774.0K	-23.7K	23.33	87.45	3	70	588	4,325
2011-05-17	$103.80	$101.00	4.5%	1.3%	2.9%	1.9%	0.0%	3.3%	2.2%	-518.1K	-3.3M	-9.4K	90.00	83.50	2	180	588	4,326
2011-05-18	$103.60	$101.00	5.3%	1.5%	3.2%	3.1%	5.9%	1.2%	1.3%	-701.2K	-628.1K	-24.9K	4.40	88.37	15	66	586	4,426
2011-05-19	$103.25	$101.00	5.4%	1.6%	3.6%	3.3%	9.4%	1.9%	0.8%	-1.1M	1.1M	-26.4K	1.29	92.45	101	130	571	4,490
2011-05-20	$103.04	$102.00	5.2%	1.5%	3.8%	3.0%	6.2%	0.0%	2.1%	-953.2K	697.5K	-22.5K	10.81	84.49	16	173	527	4,461
2011-05-23	$103.32	$102.00	5.5%	1.6%	3.8%	3.4%	6.2%	2.9%	0.9%	-753.8K	2.0M	-22.9K	0.00	95.67	0	43	426	2,490
2011-05-24	$103.54	$102.00	4.7%	1.3%	3.8%	2.2%	6.6%	3.4%	0.3%	-652.6K	835.1K	-18.3K	18.75	99.87	4	75	426	2,512
2011-05-25	$103.13	$102.00	5.2%	1.5%	4.2%	3.0%	6.2%	1.5%	1.2%	-718.2K	2.4M	-21.1K	27.50	99.07	2	55	348	2,174
2011-05-26	$103.30	$102.00	5.3%	1.5%	4.2%	3.1%	4.8%	1.3%	1.1%	-836.9K	2.8M	-25.4K	0.00	98.17	0	110	405	2,549
2011-05-27	$103.55	$102.00	5.5%	1.6%	4.2%	3.5%	8.3%	3.0%	0.9%	-918.1K	1.6M	-22.2K	6.93	121.34	15	104	405	2,659
2011-05-31	$103.95	$103.00	5.6%	1.6%	4.2%	3.6%	0.0%	1.6%	1.4%	-1.3M	1.7M	-21.8K	0.57	98.68	35	20	370	2,530