MUB Options History — October 2011

In October 2011, MUB traded between $104.90 and $106.57. ATM implied volatility averaged 7.8%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 2.8% (HV 20d: 5.0%). 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 19 of 21 days. Put/call ratio averaged 11.71.

Notable Days

2011-10-05: Highest Volume — 368 contracts
2011-10-13: Largest IV spike — 67.1% change
2011-10-10: Highest IV Rank — 9.0%
2011-10-10: Largest Expected Move — 2.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.79	$104.90	$106.57	$106.57	$105.79
Max Pain	$106.00	$106.00	$106.00	$106.00	$106.00
ATM IV	7.8%	4.8%	9.5%	8.2%	5.9%
Expected Move	2.3%	1.7%	2.7%	2.3%	1.7%
HV 20d	5.0%	3.5%	5.8%	3.6%	5.5%
HV 60d	6.6%	6.4%	6.9%	6.5%	6.4%
IV Rank	6.7%	2.5%	9.0%	7.2%	4.0%
IV Percentile	42.5%	8.1%	60.5%	47.8%	21.4%
Term Structure	0.7%	-0.6%	1.6%	0.3%	0.8%
VWIV	8.4%	6.4%	10.2%	9.1%	7.6%
Skew 25d	2.8%	1.0%	4.8%	3.1%	3.7%
Skew 10d	5.0%	0.8%	7.8%	6.2%	4.3%
Call IV 25d	6.8%	4.7%	8.9%	6.2%	4.8%
Put IV 25d	9.6%	7.7%	10.9%	9.3%	8.6%
Bid-Ask Spread %	81.22	68.03	91.32	68.03	89.19
Gamma HHI	0.25	0.12	0.31	0.13	0.29
Net GEX	-1.6M	-2.2M	-500.4K	-500.4K	-1.8M
Net DEX	3.9M	799.3K	6.7M	799.3K	3.6M
Net VEX	-19.9K	-27.9K	-14.2K	-14.2K	-17.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	11.71	0.00	38.00	3.00	0.00
Total Volume	54.571	0	368	20	0
Total OI	2,825.19	2,269	2,991	2,280	2,872

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
2011-10-03	$106.57	$106.00	8.2%	2.3%	3.6%	7.2%	9.1%	3.1%	0.3%	-500.4K	799.3K	-14.2K	3.00	68.03	5	15	380	1,900
2011-10-04	$106.33	$106.00	9.4%	2.7%	3.5%	9.0%	9.7%	1.0%	0.0%	-549.6K	992.8K	-14.6K	0.00	69.81	0	319	384	1,885
2011-10-05	$105.60	$106.00	8.9%	2.6%	4.3%	8.2%	10.2%	1.1%	-0.2%	-1.0M	2.8M	-17.0K	35.80	75.20	10	358	384	2,154
2011-10-06	$105.27	$106.00	8.9%	2.6%	4.2%	8.2%	0.0%	2.8%	0.3%	-1.6M	5.3M	-23.3K	0.00	72.18	0	0	380	2,496
2011-10-07	$105.55	$106.00	8.0%	2.7%	4.3%	7.0%	0.0%	2.9%	-0.6%	-1.6M	4.4M	-21.0K	0.00	80.07	0	7	380	2,496
2011-10-10	$105.51	$106.00	9.5%	2.7%	4.2%	9.0%	0.0%	2.0%	0.2%	-1.6M	4.5M	-19.8K	0.00	84.63	0	0	380	2,504
2011-10-11	$104.90	$106.00	8.7%	2.6%	4.6%	7.9%	0.0%	2.4%	1.4%	-1.7M	6.7M	-27.9K	0.00	81.16	0	1	380	2,504
2011-10-12	$105.38	$106.00	4.8%	2.3%	4.9%	2.5%	8.2%	2.3%	0.7%	-2.2M	5.1M	-18.9K	11.00	78.38	9	99	380	2,503
2011-10-13	$106.10	$106.00	8.1%	2.3%	5.5%	7.1%	10.0%	2.4%	0.9%	-1.6M	3.5M	-21.3K	18.00	79.73	1	18	389	2,564
2011-10-14	$105.61	$106.00	8.4%	2.4%	5.7%	7.5%	7.5%	4.8%	1.6%	-1.5M	4.8M	-22.7K	0.67	91.32	6	4	390	2,563
2011-10-17	$105.44	$106.00	9.1%	2.6%	5.7%	8.5%	9.1%	2.5%	0.4%	-1.9M	5.7M	-24.2K	33.00	78.04	1	33	396	2,563
2011-10-18	$105.78	$106.00	8.4%	2.4%	5.8%	7.6%	8.8%	4.3%	1.3%	-1.6M	4.6M	-23.7K	0.00	80.96	7	0	397	2,573
2011-10-19	$105.67	$106.00	8.5%	2.4%	5.8%	7.6%	7.8%	2.4%	1.1%	-1.8M	4.7M	-22.6K	0.00	84.02	4	0	404	2,573
2011-10-20	$105.86	$106.00	8.2%	2.3%	5.4%	7.2%	7.8%	1.9%	1.0%	-1.5M	4.2M	-22.0K	0.40	81.59	10	4	408	2,573
2011-10-21	$106.13	$106.00	7.4%	2.1%	5.5%	6.1%	8.7%	3.3%	1.4%	-1.8M	3.6M	-21.7K	38.00	82.14	1	38	418	2,573
2011-10-24	$105.96	$106.00	6.7%	1.9%	5.5%	5.2%	6.4%	4.1%	0.6%	-1.9M	3.8M	-18.3K	0.59	86.58	96	57	290	2,440
2011-10-25	$105.98	$106.00	7.0%	2.0%	5.5%	5.6%	0.0%	3.1%	0.4%	-2.2M	3.5M	-18.2K	0.00	82.33	0	2	380	2,479
2011-10-26	$106.23	$106.00	7.6%	2.2%	5.5%	6.4%	7.2%	2.2%	0.1%	-1.6M	2.8M	-18.0K	0.00	83.86	5	0	380	2,481
2011-10-27	$105.92	$106.00	6.7%	1.9%	5.5%	5.1%	7.6%	2.9%	1.2%	-1.8M	3.1M	-16.6K	0.00	88.88	0	11	380	2,481
2011-10-28	$105.91	$106.00	5.9%	1.7%	5.5%	3.9%	0.0%	2.9%	0.8%	-1.8M	3.3M	-15.5K	0.00	87.60	0	25	380	2,492
2011-10-31	$105.79	$106.00	5.9%	1.7%	5.5%	4.0%	0.0%	3.7%	0.8%	-1.8M	3.6M	-17.4K	0.00	89.19	0	0	380	2,492