MUB Options History — January 2012

In January 2012, MUB traded between $108.36 and $112.88. ATM implied volatility averaged 6.4%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded below realized volatility by 0.9% (HV 20d: 7.3%). Max pain ranged from $108.00 to $112.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 4.41.

Notable Days

2012-01-20: Highest Volume — 686 contracts
2012-01-09: Largest IV spike — 43.0% change
2012-01-31: Highest IV Rank — 19.4%
2012-01-31: Largest Expected Move — 2.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.80	$108.36	$112.88	$108.36	$112.07
Max Pain	$110.05	$108.00	$112.00	$108.00	$112.00
ATM IV	6.4%	4.5%	7.4%	5.4%	7.4%
Expected Move	1.9%	1.4%	2.1%	1.5%	2.1%
HV 20d	7.3%	5.1%	8.5%	5.2%	7.7%
HV 60d	5.0%	4.4%	5.6%	4.4%	5.6%
IV Rank	14.7%	6.2%	19.4%	10.3%	19.4%
IV Percentile	36.7%	3.6%	59.1%	19.4%	59.1%
Term Structure	0.3%	-0.8%	1.6%	1.2%	-0.7%
VWIV	7.3%	4.4%	15.1%	5.3%	7.0%
Skew 25d	2.9%	0.2%	5.3%	0.7%	3.6%
Skew 10d	6.1%	0.6%	11.7%	6.1%	11.7%
Call IV 25d	5.1%	4.0%	6.0%	5.2%	5.4%
Put IV 25d	8.0%	4.2%	9.3%	5.9%	9.0%
Bid-Ask Spread %	94.60	88.91	102.85	88.91	95.59
Gamma HHI	0.47	0.19	0.78	0.56	0.73
Net GEX	-995.0K	-2.7M	591.3K	591.3K	-2.4M
Net DEX	1.8M	-2.6M	6.0M	-265.5K	3.2M
Net VEX	-15.2K	-28.1K	-4.6K	-8.3K	-17.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.41	0.00	27.79	1.04	0.48
Total Volume	160.15	1	686	96	14
Total OI	2,085.1	1,310	2,834	1,310	2,834

Daily Data (20 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
2012-01-03	$108.36	$108.00	5.4%	1.5%	5.2%	10.3%	5.3%	0.7%	1.2%	591.3K	-265.5K	-8.3K	1.04	88.91	47	49	343	967
2012-01-04	$108.55	$108.00	5.0%	1.4%	5.1%	8.7%	5.3%	1.3%	0.5%	399.9K	-57.2K	-11.2K	0.00	96.67	20	0	336	990
2012-01-05	$109.05	$108.00	5.1%	1.5%	5.1%	9.2%	4.9%	0.2%	1.6%	378.0K	-1.1M	-8.7K	0.40	98.12	5	2	351	990
2012-01-06	$110.56	$108.00	4.5%	1.7%	6.8%	6.2%	6.9%	2.6%	1.4%	-148.5K	-2.6M	-4.6K	3.89	93.68	45	175	356	992
2012-01-09	$110.93	$109.00	6.4%	2.1%	6.7%	14.8%	8.1%	4.1%	-0.1%	-186.3K	-1.1M	-6.4K	2.00	90.68	216	431	256	1,157
2012-01-10	$110.03	$112.00	6.1%	2.0%	7.6%	13.6%	8.7%	4.4%	0.6%	-760.0K	2.4M	-10.6K	2.86	92.82	28	80	284	1,471
2012-01-11	$110.33	$112.00	6.4%	2.1%	7.6%	14.7%	6.8%	3.1%	0.1%	-746.3K	1.8M	-10.0K	0.13	98.32	98	13	308	1,515
2012-01-12	$110.40	$110.00	7.2%	2.1%	7.6%	18.6%	0.0%	2.5%	-0.2%	-200.8K	1.3M	-10.8K	4.50	93.88	10	45	406	1,528
2012-01-13	$110.68	$110.00	7.0%	2.0%	7.6%	17.6%	0.0%	3.4%	0.1%	-494.0K	955.0K	-12.8K	4.90	94.38	10	49	416	1,549
2012-01-17	$110.77	$110.00	7.3%	2.1%	7.6%	18.8%	0.0%	4.0%	0.6%	-817.5K	2.4M	-19.1K	4.09	94.43	11	45	389	1,563
2012-01-18	$110.83	$110.00	7.3%	2.1%	7.6%	18.8%	7.4%	3.4%	-0.8%	-673.6K	2.0M	-13.1K	1.30	91.56	40	52	362	1,578
2012-01-19	$110.97	$110.00	7.2%	2.1%	7.6%	18.5%	8.6%	2.9%	-0.3%	-765.9K	1.4M	-10.4K	27.79	93.39	19	528	387	1,617
2012-01-20	$110.53	$110.00	7.0%	2.0%	7.8%	17.3%	8.2%	3.1%	0.4%	-1.8M	5.6M	-21.4K	12.19	93.46	52	634	390	2,124
2012-01-23	$110.76	$110.00	7.1%	2.0%	7.8%	17.7%	8.0%	2.8%	0.3%	-2.7M	6.0M	-28.1K	0.00	90.49	0	1	388	2,265
2012-01-24	$111.07	$110.00	7.1%	2.0%	7.8%	18.0%	15.1%	5.3%	1.4%	-2.1M	4.8M	-27.2K	1.73	101.50	11	19	388	2,265
2012-01-25	$111.81	$110.00	5.7%	1.6%	7.9%	11.7%	4.4%	2.3%	0.3%	-2.0M	3.6M	-27.4K	1.24	91.27	55	68	398	2,284
2012-01-26	$112.88	$110.00	6.0%	1.7%	8.4%	12.9%	7.0%	2.6%	-0.1%	-1.9M	-285.0K	-10.5K	6.27	93.32	15	94	412	2,346
2012-01-27	$112.68	$112.00	5.5%	1.6%	8.5%	10.6%	7.6%	3.5%	-0.5%	-1.5M	3.8M	-25.3K	4.50	102.85	10	45	297	2,429
2012-01-30	$112.75	$112.00	6.9%	2.0%	8.2%	17.2%	5.4%	2.6%	-0.2%	-2.0M	3.0M	-21.0K	0.48	96.67	113	54	297	2,474
2012-01-31	$112.07	$112.00	7.4%	2.1%	7.7%	19.4%	7.0%	3.6%	-0.7%	-2.4M	3.2M	-17.8K	0.00	95.59	0	14	316	2,518