MUB Options History — December 2011

In December 2011, MUB traded between $105.86 and $109.24. ATM implied volatility averaged 5.6%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 2.3% (HV 20d: 3.2%). Max pain ranged from $106.00 to $108.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.09.

Notable Days

2011-12-16: Highest Volume — 346 contracts
2011-12-30: Largest IV spike — 49.9% change
2011-12-12: Highest IV Rank — 18.7%
2011-12-08: Largest Expected Move — 2.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$107.49	$105.86	$109.24	$105.86	$108.25
Max Pain	$106.90	$106.00	$108.00	$106.00	$108.00
ATM IV	5.6%	3.9%	7.3%	6.4%	5.8%
Expected Move	1.7%	1.1%	2.0%	1.8%	1.7%
HV 20d	3.2%	2.4%	5.3%	2.4%	5.3%
HV 60d	4.1%	4.0%	4.4%	4.0%	4.4%
IV Rank	10.8%	3.5%	18.7%	12.5%	12.1%
IV Percentile	19.4%	1.2%	44.0%	27.4%	24.6%
Term Structure	1.1%	0.0%	2.4%	0.5%	0.9%
VWIV	5.5%	3.1%	7.6%	4.0%	3.7%
Skew 25d	2.3%	-0.4%	4.1%	2.0%	2.6%
Skew 10d	4.3%	2.1%	9.5%	2.1%	9.5%
Call IV 25d	4.4%	3.2%	5.8%	5.1%	3.5%
Put IV 25d	6.7%	3.9%	8.0%	7.1%	6.1%
Bid-Ask Spread %	83.55	71.10	106.12	75.62	71.10
Gamma HHI	0.61	0.45	0.83	0.67	0.48
Net GEX	-314.4K	-3.1M	929.9K	-1.7M	373.6K
Net DEX	-656.0K	-2.5M	3.2M	3.2M	-295.1K
Net VEX	-8.6K	-13.9K	-4.1K	-10.7K	-9.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.09	0.05	15.00	0.56	1.72
Total Volume	61.143	1	346	24	35
Total OI	1,390.381	998	1,719	1,380	1,278

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
2011-12-01	$105.86	$106.00	6.4%	1.8%	2.4%	12.5%	0.0%	2.0%	0.5%	-1.7M	3.2M	-10.7K	0.00	75.62	0	24	222	1,158
2011-12-02	$106.23	$106.00	4.7%	1.3%	2.7%	5.9%	4.0%	-0.4%	2.4%	-3.1M	2.7M	-12.2K	0.56	106.12	32	18	222	1,182
2011-12-05	$106.17	$106.00	5.9%	1.8%	2.7%	10.7%	7.4%	3.7%	0.9%	-2.0M	2.6M	-13.9K	0.50	92.25	40	20	254	1,200
2011-12-06	$106.75	$106.00	4.2%	1.9%	3.2%	4.1%	7.6%	2.9%	0.9%	-2.3M	215.1K	-8.7K	0.74	82.32	54	40	294	1,220
2011-12-07	$107.10	$106.00	6.2%	1.9%	3.2%	11.7%	0.0%	1.7%	0.9%	-1.6M	-837.9K	-8.7K	0.07	82.72	150	10	348	1,216
2011-12-08	$107.02	$106.00	6.8%	2.0%	3.2%	16.4%	0.0%	1.9%	0.0%	-418.6K	-752.1K	-11.1K	0.00	85.36	0	1	482	1,213
2011-12-09	$107.18	$106.00	5.8%	1.9%	3.2%	12.0%	0.0%	1.6%	0.2%	-478.4K	-2.1M	-7.8K	0.00	82.36	0	13	482	1,214
2011-12-12	$107.22	$106.00	7.3%	2.0%	3.2%	18.7%	7.2%	2.3%	0.1%	-378.6K	-2.1M	-8.3K	1.11	85.11	9	10	482	1,227
2011-12-13	$107.11	$107.00	6.6%	2.0%	3.2%	15.7%	5.6%	2.4%	0.2%	-96.0K	-1.9M	-8.2K	0.40	82.80	25	10	482	1,237
2011-12-14	$107.30	$107.00	5.9%	1.9%	3.1%	12.6%	0.0%	4.1%	0.4%	-4.8K	-1.6M	-8.6K	0.00	88.61	0	2	469	1,237
2011-12-15	$107.41	$107.00	6.3%	1.8%	3.1%	14.4%	0.0%	2.4%	0.7%	357.9K	-2.2M	-7.4K	15.00	84.15	1	15	469	1,235
2011-12-16	$107.61	$107.00	5.3%	1.5%	3.1%	9.9%	4.7%	1.8%	1.3%	503.7K	-2.5M	-6.4K	0.05	85.06	331	15	440	1,236
2011-12-19	$107.70	$107.00	5.3%	1.5%	3.1%	10.1%	6.3%	2.2%	1.6%	429.5K	-835.2K	-8.0K	0.00	72.88	0	18	360	690
2011-12-20	$107.77	$107.00	5.3%	1.5%	3.1%	9.9%	4.9%	2.0%	0.5%	372.4K	-780.5K	-8.2K	1.71	79.39	7	12	360	708
2011-12-21	$107.92	$107.00	5.4%	1.6%	3.1%	10.5%	6.7%	3.2%	2.1%	405.3K	-801.9K	-9.4K	0.60	81.30	5	3	367	720
2011-12-22	$108.38	$108.00	5.3%	1.5%	3.3%	9.8%	6.0%	3.0%	1.8%	552.5K	-2.2M	-4.1K	0.32	78.02	41	13	367	723
2011-12-23	$108.25	$108.00	5.2%	1.5%	3.4%	9.5%	0.0%	3.0%	1.5%	515.7K	-1.2M	-8.3K	6.00	86.18	1	6	364	736
2011-12-27	$108.40	$108.00	4.6%	1.3%	3.2%	6.8%	4.5%	2.2%	1.7%	929.9K	-896.0K	-5.6K	0.00	84.46	0	135	257	741
2011-12-28	$108.39	$108.00	5.1%	1.5%	3.2%	9.1%	4.9%	2.3%	1.6%	688.6K	-174.4K	-7.9K	0.42	79.78	50	21	257	863
2011-12-29	$109.24	$108.00	3.9%	1.1%	4.0%	3.5%	3.1%	2.3%	2.3%	399.5K	-1.1M	-7.1K	1.72	89.05	43	74	302	884
2011-12-30	$108.25	$108.00	5.8%	1.7%	5.3%	12.1%	3.7%	2.6%	0.9%	373.6K	-295.1K	-9.3K	0.00	71.10	0	35	343	935