MUB Options History — August 2011

In August 2011, MUB traded between $103.46 and $106.99. ATM implied volatility averaged 12.1%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 4.0% (HV 20d: 8.1%). Max pain ranged from $104.00 to $106.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 9.32.

Notable Days

  • 2011-08-08: Highest Volume — 876 contracts
  • 2011-08-08: Largest IV spike — 253.0% change
  • 2011-08-08: Highest IV Rank — 31.7%
  • 2011-08-08: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.19$103.46$106.99$103.46$106.99
Max Pain$104.87$104.00$106.00$104.00$106.00
ATM IV12.1%7.0%25.5%7.7%8.2%
Expected Move3.3%2.0%4.9%2.2%2.4%
HV 20d8.1%5.2%9.3%5.2%8.2%
HV 60d5.8%4.4%6.2%4.4%6.2%
IV Rank12.7%5.5%31.7%6.5%7.3%
IV Percentile72.4%41.2%94.2%47.3%48.5%
Term Structure-0.8%-8.4%1.6%-0.5%0.4%
VWIV12.6%8.1%17.7%8.1%8.5%
Skew 25d2.7%-7.9%5.4%1.6%3.1%
Skew 10d5.1%-10.8%10.0%1.4%4.9%
Call IV 25d10.9%5.7%24.6%6.5%6.6%
Put IV 25d13.5%8.1%18.3%8.1%9.7%
Bid-Ask Spread %64.3139.53100.7881.9474.20
Gamma HHI0.250.150.380.360.27
Net GEX-1.5M-3.1M-595.4K-3.1M-838.3K
Net DEX5.0M-771.0K10.9M8.3M-771.0K
Net VEX-31.1K-45.4K-9.0K-33.9K-9.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.320.0040.0040.000.23
Total Volume138.13287641142
Total OI4,132.6962,7785,3654,3022,954

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$103.46$104.007.7%2.2%5.2%6.5%0.0%1.6%-0.5%-3.1M8.3M-33.9K40.0081.941402754,027
2011-08-02$103.69$105.007.4%2.1%5.2%6.1%8.1%2.8%-0.4%-2.8M7.1M-32.6K2.6194.7623602554,030
2011-08-03$104.64$105.007.7%2.2%6.1%6.6%0.0%2.2%-0.5%-2.0M6.1M-32.7K40.0078.402802684,017
2011-08-04$104.92$105.007.0%2.0%6.0%5.5%0.0%2.3%0.6%-1.6M2.9M-23.0K4.7086.7210472704,067
2011-08-05$104.97$104.007.2%2.1%6.0%5.9%0.0%3.1%1.6%-1.0M3.2M-26.3K0.0071.70022804,089
2011-08-08$103.50$104.0025.5%4.9%7.6%31.7%14.8%-7.9%-8.4%-2.0M10.3M-38.5K15.53100.78538232804,091
2011-08-09$103.74$104.0017.9%4.4%7.7%20.9%16.5%5.4%-2.4%-2.4M10.9M-45.4K22.1055.21204423334,676
2011-08-10$104.80$104.0015.0%4.1%8.4%16.8%17.7%4.4%-1.8%-1.7M7.0M-40.1K0.9039.5320183534,384
2011-08-11$103.99$104.0015.1%4.3%8.9%17.0%15.7%-7.0%-1.7%-1.9M8.5M-40.3K0.0094.5703603584,387
2011-08-12$104.65$104.0013.1%3.8%9.2%14.2%14.7%5.2%-0.7%-2.1M7.5M-38.8K17.6939.63162833584,597
2011-08-15$105.03$105.0013.6%3.9%9.2%14.9%13.8%5.1%-1.5%-2.1M6.6M-37.5K4.1866.5022923504,877
2011-08-16$105.33$105.0012.5%3.6%9.2%13.3%12.5%3.9%-0.6%-1.6M5.2M-34.4K0.0054.281003704,969
2011-08-17$105.58$105.0010.8%3.1%9.2%10.9%10.4%4.6%1.1%-1.1M4.0M-32.1K0.2045.7550103804,969
2011-08-18$106.01$105.0013.3%3.8%9.3%14.4%12.8%4.0%-0.5%-595.4K3.2M-30.4K0.0443.262513884,977
2011-08-19$105.77$105.0013.1%3.8%9.3%14.2%10.7%4.4%-0.7%-628.9K4.2M-34.3K0.2455.6967163574,978
2011-08-22$105.92$105.0012.3%3.5%9.1%13.1%12.2%3.5%-0.1%-1.2M4.2M-33.8K1.4546.4320292782,500
2011-08-23$105.82$105.0012.4%3.6%9.1%13.2%0.0%3.0%-0.8%-1.0M3.2M-26.8K0.0047.020412982,517
2011-08-24$105.76$105.0012.5%3.6%8.5%13.4%0.0%4.0%-0.9%-1.0M3.3M-27.0K0.0050.900202982,536
2011-08-25$106.08$105.0012.0%3.4%8.5%12.6%12.2%3.2%-0.6%-857.5K3.5M-31.4K18.2950.9571282982,546
2011-08-26$106.28$106.0011.9%3.4%8.5%12.5%12.4%2.8%-0.1%-1.2M3.8M-32.8K1.0054.03113052,637
2011-08-29$106.20$106.0010.7%3.1%8.4%10.8%11.3%4.3%0.1%-871.7K2.0M-19.8K7.8674.05141103062,638
2011-08-30$106.22$106.0010.4%3.0%8.4%10.4%10.3%3.0%0.3%-1.1M1.1M-15.0K0.0872.976652972,634
2011-08-31$106.99$106.008.2%2.4%8.2%7.3%8.5%3.1%0.4%-838.3K-771.0K-9.0K0.2374.20115273152,639