MUB Options History — November 2011

In November 2011, MUB traded between $105.71 and $106.54. ATM implied volatility averaged 7.3%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 3.9% (HV 20d: 3.5%). 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 16 of 21 days. Put/call ratio averaged 6.58.

Notable Days

2011-11-03: Highest Volume — 270 contracts
2011-11-30: Largest IV drop — 18.4% change
2011-11-18: Highest IV Rank — 16.1%
2011-11-01: Largest Expected Move — 2.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.12	$105.71	$106.54	$106.16	$106.17
Max Pain	$106.00	$106.00	$106.00	$106.00	$106.00
ATM IV	7.3%	5.5%	9.1%	9.1%	5.5%
Expected Move	2.1%	1.6%	2.6%	2.6%	1.6%
HV 20d	3.5%	2.2%	5.6%	5.6%	2.2%
HV 60d	4.8%	4.0%	5.7%	5.7%	4.0%
IV Rank	9.3%	5.7%	16.1%	8.6%	9.3%
IV Percentile	38.4%	17.9%	58.6%	58.6%	17.9%
Term Structure	0.5%	-0.8%	1.4%	-0.8%	0.7%
VWIV	7.9%	6.7%	8.7%	8.3%	7.4%
Skew 25d	2.2%	0.3%	3.4%	2.8%	2.4%
Skew 10d	4.8%	3.5%	8.5%	7.2%	4.2%
Call IV 25d	6.4%	4.5%	7.8%	7.5%	4.7%
Put IV 25d	8.6%	7.1%	10.3%	10.3%	7.1%
Bid-Ask Spread %	80.44	70.74	90.75	83.22	76.96
Gamma HHI	0.49	0.24	0.80	0.24	0.80
Net GEX	-2.0M	-3.3M	-1.3M	-1.6M	-3.0M
Net DEX	3.2M	2.0M	4.7M	2.0M	2.7M
Net VEX	-14.8K	-19.3K	-10.7K	-14.1K	-10.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.58	0.15	26.00	26.00	1.00
Total Volume	43.762	0	270	0	22
Total OI	2,588	1,326	3,442	2,862	1,364

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
2011-11-01	$106.16	$106.00	9.1%	2.6%	5.6%	8.6%	0.0%	2.8%	-0.8%	-1.6M	2.0M	-14.1K	0.00	83.22	0	0	370	2,492
2011-11-02	$106.21	$106.00	8.4%	2.4%	5.0%	7.5%	8.3%	1.9%	-0.7%	-1.7M	2.4M	-14.7K	0.00	88.37	0	1	370	2,492
2011-11-03	$106.04	$106.00	7.5%	2.1%	4.9%	6.2%	0.0%	2.7%	-0.1%	-1.7M	2.0M	-13.3K	26.00	84.60	10	260	370	2,492
2011-11-04	$106.05	$106.00	7.4%	2.3%	4.9%	6.1%	8.7%	1.8%	1.1%	-2.1M	3.3M	-16.2K	1.11	82.08	9	10	378	2,752
2011-11-07	$105.95	$106.00	7.3%	2.3%	4.9%	6.0%	0.0%	2.4%	-0.3%	-2.2M	4.2M	-18.4K	0.15	76.89	20	3	387	2,762
2011-11-08	$105.71	$106.00	7.5%	2.2%	4.4%	6.3%	0.0%	2.3%	0.2%	-2.1M	4.2M	-16.3K	0.00	77.05	0	5	407	2,762
2011-11-09	$105.97	$106.00	7.7%	2.4%	4.2%	6.6%	8.7%	2.5%	0.6%	-2.1M	3.9M	-16.8K	0.40	82.03	50	20	407	2,757
2011-11-10	$106.12	$106.00	7.6%	2.2%	3.5%	6.4%	8.4%	2.0%	0.5%	-2.0M	2.5M	-13.3K	20.90	82.34	10	209	446	2,767
2011-11-11	$106.14	$106.00	7.7%	2.2%	3.0%	6.5%	8.0%	2.7%	-0.1%	-2.5M	3.4M	-15.5K	0.63	78.30	8	5	456	2,976
2011-11-14	$106.06	$106.00	7.2%	2.1%	3.0%	5.8%	8.6%	1.3%	1.3%	-2.6M	4.2M	-19.0K	0.00	90.75	0	12	464	2,978
2011-11-15	$105.83	$106.00	7.7%	2.2%	2.9%	6.6%	8.5%	2.7%	0.2%	-2.6M	4.5M	-14.0K	18.83	81.61	6	113	464	2,978
2011-11-16	$105.89	$106.00	7.1%	2.0%	2.9%	5.7%	0.0%	2.4%	1.1%	-3.3M	4.7M	-19.3K	0.00	83.81	0	10	470	2,949
2011-11-17	$105.99	$106.00	7.4%	2.1%	2.8%	6.1%	8.1%	2.1%	1.0%	-2.3M	4.1M	-18.7K	0.25	88.18	4	1	470	2,949
2011-11-18	$106.12	$106.00	7.3%	2.1%	2.7%	16.1%	7.5%	0.3%	1.3%	-2.1M	3.2M	-17.7K	0.00	82.81	0	30	462	2,949
2011-11-21	$106.33	$106.00	7.2%	2.1%	2.7%	15.5%	6.7%	1.9%	0.6%	-1.3M	2.8M	-14.2K	0.73	74.41	15	11	244	1,091
2011-11-22	$106.45	$106.00	7.0%	2.0%	2.7%	14.7%	6.8%	1.7%	0.9%	-1.3M	2.3M	-12.8K	2.40	74.58	5	12	255	1,102
2011-11-23	$106.54	$106.00	6.9%	2.0%	2.6%	14.4%	7.7%	1.6%	0.7%	-1.4M	2.3M	-11.1K	0.00	76.23	0	1	222	1,104
2011-11-25	$106.43	$106.00	6.3%	1.8%	2.4%	12.0%	0.0%	1.4%	1.4%	-1.4M	2.7M	-12.4K	0.00	81.82	0	10	222	1,105
2011-11-28	$106.24	$106.00	7.0%	2.0%	2.5%	15.0%	6.7%	3.2%	0.4%	-1.5M	2.8M	-10.9K	1.00	72.47	3	3	222	1,108
2011-11-29	$106.22	$106.00	6.8%	1.9%	2.5%	14.0%	7.4%	3.4%	0.7%	-1.6M	2.9M	-10.7K	0.00	70.74	0	41	222	1,111
2011-11-30	$106.17	$106.00	5.5%	1.6%	2.2%	9.3%	0.0%	2.4%	0.7%	-3.0M	2.7M	-10.9K	0.00	76.96	0	22	222	1,142