MUB Options History — June 2011

In June 2011, MUB traded between $103.08 and $103.94. ATM implied volatility averaged 6.0%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 2.1% (HV 20d: 3.9%). Max pain ranged from $103.00 to $105.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 6.05.

Notable Days

2011-06-28: Highest Volume — 200 contracts
2011-06-09: Largest IV spike — 32.1% change
2011-06-14: Highest IV Rank — 6.9%
2011-06-14: Largest Expected Move — 2.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$103.58	$103.08	$103.94	$103.57	$103.51
Max Pain	$104.18	$103.00	$105.00	$105.00	$105.00
ATM IV	6.0%	3.6%	8.0%	4.7%	6.7%
Expected Move	1.8%	1.4%	2.3%	1.4%	1.9%
HV 20d	3.9%	3.0%	4.5%	4.5%	3.0%
HV 60d	3.7%	3.6%	3.7%	3.7%	3.7%
IV Rank	4.1%	0.7%	6.9%	2.3%	5.1%
IV Percentile	24.3%	0.7%	40.6%	8.5%	33.7%
Term Structure	0.7%	-2.0%	2.5%	0.4%	0.7%
VWIV	7.0%	4.3%	8.7%	4.3%	7.6%
Skew 25d	2.8%	-0.5%	5.1%	-0.5%	3.2%
Skew 10d	3.1%	-0.8%	11.6%	-0.8%	0.7%
Call IV 25d	4.5%	3.2%	6.9%	5.0%	3.9%
Put IV 25d	7.3%	4.2%	10.1%	4.5%	7.0%
Bid-Ask Spread %	87.59	71.50	152.70	96.27	82.57
Gamma HHI	0.22	0.15	0.57	0.29	0.19
Net GEX	-1.2M	-1.7M	-819.7K	-1.3M	-1.5M
Net DEX	4.0M	1.6M	5.9M	2.3M	4.7M
Net VEX	-23.4K	-34.2K	-8.7K	-18.3K	-20.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.05	0.00	24.00	4.14	5.00
Total Volume	50.045	2	200	36	39
Total OI	2,950.818	2,437	3,111	2,973	3,109

Daily Data (22 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
2011-06-01	$103.57	$105.00	4.7%	1.4%	4.5%	2.3%	4.3%	-0.5%	0.4%	-1.3M	2.3M	-18.3K	4.14	96.27	7	29	243	2,730
2011-06-02	$103.76	$105.00	4.9%	1.4%	4.4%	2.6%	0.0%	1.4%	2.5%	-1.3M	5.1M	-34.2K	0.00	94.21	0	56	184	2,766
2011-06-03	$103.80	$104.00	4.4%	1.7%	4.4%	1.9%	0.0%	3.0%	1.2%	-1.2M	3.7M	-27.3K	0.00	71.50	32	0	184	2,806
2011-06-06	$103.61	$104.00	3.6%	1.4%	4.5%	0.7%	6.6%	3.6%	1.9%	-875.4K	2.9M	-20.1K	4.00	86.01	5	20	206	2,806
2011-06-07	$103.61	$104.00	4.6%	1.8%	4.5%	2.1%	0.0%	2.6%	0.0%	-1.3M	4.3M	-29.3K	0.00	73.45	0	5	211	2,826
2011-06-08	$103.75	$104.00	3.9%	1.6%	4.5%	1.2%	0.0%	2.5%	0.8%	-1.1M	2.3M	-15.5K	2.33	75.71	3	7	211	2,825
2011-06-09	$103.62	$104.00	5.2%	1.5%	4.5%	3.0%	0.0%	2.8%	2.1%	-1.3M	2.7M	-16.1K	0.00	87.38	0	42	208	2,827
2011-06-10	$103.27	$104.00	6.2%	1.8%	4.3%	4.4%	6.9%	2.2%	0.2%	-1.2M	3.0M	-17.7K	0.00	72.55	0	11	198	2,720
2011-06-13	$103.08	$104.00	6.7%	1.9%	4.3%	5.2%	7.1%	4.0%	0.4%	-1.5M	5.4M	-30.3K	0.00	77.65	0	75	208	2,856
2011-06-14	$103.20	$104.00	8.0%	2.3%	4.3%	6.9%	0.0%	5.1%	2.3%	-1.4M	4.7M	-23.6K	0.00	82.92	0	9	208	2,893
2011-06-15	$103.14	$104.00	6.9%	2.0%	3.8%	5.4%	7.5%	3.4%	0.7%	-1.1M	5.3M	-28.9K	0.00	88.42	0	39	208	2,897
2011-06-16	$103.56	$104.00	7.9%	2.3%	4.0%	6.8%	7.9%	3.2%	1.4%	-1.2M	5.1M	-28.5K	24.00	99.61	1	24	208	2,903
2011-06-17	$103.55	$104.00	5.9%	1.7%	3.8%	4.0%	6.3%	2.1%	-0.7%	-1.2M	5.3M	-29.9K	2.87	78.26	31	89	209	2,898
2011-06-20	$103.58	$104.00	6.5%	1.9%	3.8%	4.8%	8.2%	3.4%	2.2%	-931.3K	5.0M	-26.1K	0.00	84.44	0	26	173	2,599
2011-06-21	$103.86	$104.00	6.6%	1.9%	3.8%	5.0%	7.6%	2.8%	-0.7%	-819.7K	3.8M	-19.7K	5.00	75.93	10	50	173	2,619
2011-06-22	$103.76	$104.00	6.7%	1.9%	3.7%	5.2%	0.0%	2.4%	-0.0%	-990.2K	4.8M	-27.3K	0.00	76.01	0	10	173	2,647
2011-06-23	$103.69	$104.00	6.2%	1.8%	3.4%	4.4%	7.2%	3.2%	0.0%	-1.0M	2.8M	-13.8K	0.00	85.65	0	10	173	2,577
2011-06-24	$103.88	$103.00	6.7%	1.9%	3.4%	5.1%	4.9%	3.7%	0.8%	-1.3M	1.6M	-8.7K	0.00	152.70	0	2	128	2,309
2011-06-27	$103.94	$104.00	7.8%	2.2%	3.3%	6.6%	8.7%	5.0%	-2.0%	-1.0M	4.5M	-25.8K	0.00	84.92	0	103	173	2,640
2011-06-28	$103.74	$105.00	6.2%	1.8%	3.1%	4.5%	7.6%	3.3%	1.2%	-1.1M	4.0M	-27.2K	0.00	93.65	0	200	173	2,707
2011-06-29	$103.38	$105.00	5.9%	1.7%	3.1%	4.0%	0.0%	-0.5%	0.2%	-1.7M	5.9M	-26.5K	0.00	107.27	0	166	171	2,935
2011-06-30	$103.51	$105.00	6.7%	1.9%	3.0%	5.1%	0.0%	3.2%	0.7%	-1.5M	4.7M	-20.5K	0.00	82.57	0	39	171	2,938