MUB Options History — September 2011

In September 2011, MUB traded between $105.58 and $107.25. ATM implied volatility averaged 9.2%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 3.3% (HV 20d: 5.9%). Max pain ranged from $106.00 to $106.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.33.

Notable Days

2011-09-22: Highest Volume — 533 contracts
2011-09-06: Largest IV spike — 21.6% change
2011-09-12: Highest IV Rank — 14.7%
2011-09-12: Largest Expected Move — 3.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.40	$105.58	$107.25	$106.25	$106.65
Max Pain	$106.00	$106.00	$106.00	$106.00	$106.00
ATM IV	9.2%	6.7%	13.5%	9.9%	6.7%
Expected Move	2.5%	1.9%	3.2%	2.8%	1.9%
HV 20d	5.9%	4.3%	9.0%	8.7%	4.3%
HV 60d	6.5%	6.4%	6.6%	6.4%	6.5%
IV Rank	8.6%	5.1%	14.7%	9.6%	5.1%
IV Percentile	55.0%	30.8%	85.0%	64.3%	30.8%
Term Structure	0.4%	-0.4%	1.4%	0.2%	0.1%
VWIV	9.6%	5.8%	14.0%	10.3%	6.7%
Skew 25d	3.6%	2.1%	8.5%	2.2%	2.1%
Skew 10d	6.5%	4.0%	8.8%	4.0%	5.8%
Call IV 25d	7.0%	4.5%	9.7%	9.0%	6.2%
Put IV 25d	10.6%	8.2%	13.8%	11.2%	8.3%
Bid-Ask Spread %	60.39	47.18	80.06	76.21	62.81
Gamma HHI	0.21	0.14	0.43	0.18	0.14
Net GEX	-905.3K	-2.5M	-177.1K	-1.0M	-471.7K
Net DEX	2.8M	376.4K	7.2M	1.6M	674.5K
Net VEX	-16.0K	-23.9K	-6.6K	-13.6K	-13.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.33	0.00	8.50	1.17	0.00
Total Volume	89.667	0	533	13	8
Total OI	2,673.667	1,808	3,564	2,910	2,272

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
2011-09-01	$106.25	$106.00	9.9%	2.8%	8.7%	9.6%	0.0%	2.2%	0.2%	-1.0M	1.6M	-13.6K	1.17	76.21	6	7	267	2,643
2011-09-02	$105.58	$106.00	9.7%	2.8%	9.0%	9.4%	10.3%	3.1%	0.8%	-1.2M	4.1M	-23.9K	2.25	80.06	12	27	263	2,649
2011-09-06	$105.98	$106.00	11.8%	3.2%	7.3%	12.4%	12.7%	3.4%	-0.4%	-839.8K	2.1M	-13.6K	3.00	48.88	1	3	275	2,667
2011-09-07	$105.90	$106.00	10.9%	2.7%	7.3%	11.1%	0.0%	8.5%	-0.2%	-986.1K	2.2M	-13.7K	0.00	56.62	0	12	276	2,669
2011-09-08	$106.26	$106.00	10.6%	2.8%	6.5%	10.6%	9.9%	4.3%	-0.2%	-1.0M	3.0M	-22.2K	0.00	54.48	12	0	276	2,681
2011-09-09	$106.13	$106.00	11.2%	3.0%	5.8%	11.5%	12.8%	3.7%	0.3%	-1.0M	3.1M	-22.4K	0.00	55.36	0	504	288	2,681
2011-09-12	$106.42	$106.00	13.5%	3.2%	5.5%	14.7%	14.0%	4.4%	-0.2%	-2.2M	5.7M	-21.0K	2.10	47.18	10	21	288	3,185
2011-09-13	$106.26	$106.00	12.0%	3.0%	5.4%	12.6%	12.6%	3.7%	0.1%	-2.3M	5.6M	-17.0K	0.00	51.95	0	41	298	3,206
2011-09-14	$106.30	$106.00	10.2%	2.9%	5.4%	10.1%	0.0%	3.5%	-0.4%	-2.5M	5.8M	-16.1K	0.00	52.16	0	25	298	3,247
2011-09-15	$106.14	$106.00	9.1%	2.6%	5.4%	8.5%	11.0%	2.8%	0.3%	-1.6M	7.2M	-18.1K	0.00	56.95	0	68	298	3,266
2011-09-16	$105.97	$106.00	8.6%	2.5%	5.2%	7.8%	9.8%	3.8%	-0.2%	-976.1K	7.2M	-14.2K	8.50	67.86	2	17	298	3,216
2011-09-19	$106.23	$106.00	8.0%	2.3%	5.2%	6.9%	8.6%	3.0%	0.8%	-226.4K	376.4K	-6.6K	0.00	62.27	0	99	119	1,689
2011-09-20	$106.34	$106.00	7.7%	2.2%	5.2%	6.5%	7.4%	3.2%	1.4%	-505.1K	1.9M	-15.1K	3.76	58.03	50	188	119	1,724
2011-09-21	$106.50	$106.00	7.6%	2.2%	5.2%	6.4%	7.2%	3.0%	0.7%	-177.1K	819.1K	-10.3K	4.57	57.17	7	32	167	1,815
2011-09-22	$107.07	$106.00	8.4%	2.4%	5.5%	7.6%	9.5%	2.9%	-0.1%	-179.0K	600.7K	-11.1K	4.13	61.98	104	429	174	1,746
2011-09-23	$107.25	$106.00	8.0%	2.3%	5.4%	6.9%	0.0%	2.3%	0.6%	-308.9K	812.3K	-15.4K	0.00	63.13	0	60	274	2,070
2011-09-26	$107.11	$106.00	7.7%	2.2%	5.4%	6.6%	0.0%	5.2%	1.2%	-348.8K	949.5K	-14.5K	0.00	66.21	0	0	272	1,870
2011-09-27	$106.91	$106.00	7.0%	2.0%	5.5%	5.6%	6.1%	4.3%	0.9%	-386.3K	1.5M	-17.3K	0.10	63.11	51	5	272	1,870
2011-09-28	$106.56	$106.00	7.2%	2.1%	5.6%	5.9%	9.1%	2.8%	0.9%	-336.2K	1.7M	-17.5K	0.77	61.96	43	33	323	1,870
2011-09-29	$106.66	$106.00	6.7%	1.9%	5.0%	5.1%	5.8%	3.3%	1.0%	-391.7K	1.6M	-18.0K	0.00	63.82	6	0	366	1,900
2011-09-30	$106.65	$106.00	6.7%	1.9%	4.3%	5.1%	6.7%	2.1%	0.1%	-471.7K	674.5K	-13.9K	0.00	62.81	8	0	372	1,900