MUB Options History — July 2011

In July 2011, MUB traded between $102.85 and $104.72. ATM implied volatility averaged 6.6%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 2.2% (HV 20d: 4.4%). Max pain ranged from $104.00 to $105.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 75.66.

Notable Days

2011-07-27: Highest Volume — 721 contracts
2011-07-05: Largest IV spike — 324.2% change
2011-07-05: Highest IV Rank — 23.9%
2011-07-05: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$103.70	$102.85	$104.72	$102.89	$103.77
Max Pain	$104.25	$104.00	$105.00	$105.00	$105.00
ATM IV	6.6%	4.7%	20.0%	4.7%	6.2%
Expected Move	2.0%	1.4%	4.3%	1.4%	1.8%
HV 20d	4.4%	3.7%	5.5%	3.7%	5.5%
HV 60d	4.0%	3.7%	4.5%	3.8%	4.4%
IV Rank	5.0%	2.3%	23.9%	2.3%	4.4%
IV Percentile	30.6%	9.8%	86.7%	9.8%	33.3%
Term Structure	0.9%	-11.0%	2.9%	1.6%	-0.4%
VWIV	7.4%	3.6%	14.0%	4.6%	7.4%
Skew 25d	3.7%	1.4%	13.6%	1.4%	2.3%
Skew 10d	4.2%	0.9%	8.3%	1.1%	7.4%
Call IV 25d	4.3%	2.5%	5.8%	4.4%	5.8%
Put IV 25d	8.0%	5.8%	16.7%	5.8%	8.1%
Bid-Ask Spread %	76.64	57.23	128.97	69.79	80.08
Gamma HHI	0.28	0.17	0.49	0.26	0.33
Net GEX	-1.7M	-2.7M	-757.1K	-2.3M	-2.7M
Net DEX	5.2M	627.4K	8.1M	6.9M	6.8M
Net VEX	-24.6K	-33.2K	-7.5K	-27.7K	-26.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	75.66	0.00	720.00	10.83	9.10
Total Volume	142.05	5	721	71	303
Total OI	3,295.25	2,991	4,148	3,131	4,148

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
2011-07-01	$102.89	$105.00	4.7%	1.4%	3.7%	2.3%	4.6%	1.4%	1.6%	-2.3M	6.9M	-27.7K	10.83	69.79	6	65	163	2,968
2011-07-05	$102.98	$104.00	20.0%	4.3%	3.7%	23.9%	0.0%	13.6%	-11.0%	-2.0M	6.2M	-28.0K	0.00	128.97	0	10	157	2,983
2011-07-06	$103.07	$104.00	5.1%	2.2%	3.7%	2.8%	5.8%	5.3%	2.2%	-2.4M	6.9M	-29.8K	5.88	88.73	17	100	157	2,987
2011-07-07	$102.85	$104.00	5.1%	1.9%	3.7%	2.8%	7.8%	4.0%	2.5%	-2.4M	7.2M	-27.8K	0.00	69.36	0	26	174	2,983
2011-07-08	$102.87	$104.00	5.1%	1.9%	3.7%	2.9%	9.1%	4.2%	2.4%	-2.3M	7.2M	-27.7K	120.00	60.27	1	120	174	3,005
2011-07-11	$103.61	$104.00	5.2%	1.7%	4.4%	3.0%	7.0%	3.5%	2.5%	-1.9M	6.0M	-27.1K	12.85	72.22	13	167	175	3,003
2011-07-12	$103.65	$104.00	4.9%	1.9%	4.3%	2.6%	8.2%	3.1%	2.4%	-1.8M	5.8M	-26.9K	7.45	70.08	20	149	178	3,079
2011-07-13	$103.90	$104.00	5.6%	1.9%	4.4%	3.5%	14.0%	2.9%	2.3%	-2.0M	5.3M	-26.2K	1.50	69.59	2	3	178	3,108
2011-07-14	$103.77	$104.00	6.5%	1.9%	4.4%	4.9%	0.0%	3.6%	2.0%	-2.2M	5.4M	-25.8K	10.83	71.92	6	65	180	3,108
2011-07-15	$103.84	$104.00	5.9%	1.7%	4.2%	3.9%	6.7%	3.4%	2.5%	-2.2M	5.4M	-26.6K	0.00	76.41	0	45	186	3,158
2011-07-18	$103.70	$104.00	6.7%	1.9%	4.2%	5.1%	3.6%	2.6%	0.3%	-941.2K	4.2M	-23.4K	0.00	69.82	230	0	186	2,805
2011-07-19	$104.05	$104.00	6.1%	1.7%	4.4%	4.2%	7.2%	3.1%	1.3%	-757.1K	2.9M	-15.7K	0.00	75.55	0	56	236	2,805
2011-07-20	$104.41	$104.00	6.8%	2.0%	4.4%	5.3%	7.3%	4.0%	1.4%	-767.0K	627.4K	-7.5K	1.29	72.57	24	31	236	2,837
2011-07-21	$104.48	$104.00	6.8%	2.0%	4.4%	5.3%	6.5%	1.7%	0.9%	-778.9K	3.2M	-22.9K	5.30	66.98	63	334	219	2,837
2011-07-22	$104.72	$104.00	6.0%	1.7%	4.4%	4.1%	0.0%	2.3%	0.2%	-901.3K	2.8M	-20.6K	0.00	67.20	0	40	244	3,051
2011-07-25	$104.25	$104.00	7.3%	2.1%	4.7%	5.9%	7.2%	3.5%	0.1%	-942.9K	3.7M	-20.3K	78.50	98.50	2	157	244	3,034
2011-07-26	$104.17	$105.00	6.2%	1.8%	4.8%	4.4%	7.0%	3.2%	1.2%	-1.2M	4.0M	-21.3K	0.00	57.23	0	44	246	3,143
2011-07-27	$103.33	$105.00	7.2%	2.1%	5.5%	5.8%	8.0%	2.9%	0.3%	-1.5M	5.6M	-27.1K	720.00	76.53	1	720	246	3,167
2011-07-28	$103.63	$105.00	5.5%	1.6%	5.5%	3.4%	8.1%	3.4%	2.9%	-2.7M	8.1M	-33.2K	0.00	91.04	0	21	245	3,872
2011-07-29	$103.77	$105.00	6.2%	1.8%	5.5%	4.4%	7.4%	2.3%	-0.4%	-2.7M	6.8M	-26.4K	9.10	80.08	30	273	245	3,903