MUB Options History — February 2012

In February 2012, MUB traded between $110.25 and $113.94. ATM implied volatility averaged 8.6%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded below realized volatility by 0.3% (HV 20d: 8.9%). Max pain ranged from $112.00 to $113.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 11.86.

Notable Days

2012-02-23: Highest Volume — 1,197 contracts
2012-02-23: Largest IV spike — 42.9% change
2012-02-23: Highest IV Rank — 36.2%
2012-02-23: Largest Expected Move — 3.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$112.33	$110.25	$113.94	$112.61	$110.59
Max Pain	$112.50	$112.00	$113.00	$112.00	$113.00
ATM IV	8.6%	6.8%	11.2%	7.0%	8.7%
Expected Move	2.5%	1.9%	3.2%	2.0%	2.5%
HV 20d	8.9%	7.2%	11.2%	7.8%	11.0%
HV 60d	6.9%	5.7%	8.4%	5.7%	8.3%
IV Rank	24.5%	16.6%	36.2%	17.6%	25.2%
IV Percentile	70.8%	44.8%	92.5%	49.2%	76.2%
Term Structure	-0.3%	-1.5%	0.7%	0.2%	-0.6%
VWIV	9.4%	6.4%	16.6%	6.4%	8.4%
Skew 25d	3.8%	1.4%	6.6%	3.3%	2.0%
Skew 10d	8.3%	5.6%	12.3%	10.5%	6.6%
Call IV 25d	7.0%	4.9%	9.6%	5.7%	8.6%
Put IV 25d	10.7%	8.0%	14.6%	8.9%	10.6%
Bid-Ask Spread %	78.08	44.01	96.81	96.15	84.50
Gamma HHI	0.32	0.14	0.71	0.71	0.19
Net GEX	-1.4M	-3.0M	1.0M	-2.1M	-2.6M
Net DEX	4.8M	-3.5M	18.1M	2.7M	9.9M
Net VEX	-26.2K	-48.0K	-8.8K	-21.6K	-25.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	11.86	0.01	46.88	0.01	46.88
Total Volume	282.2	34	1,197	88	42
Total OI	3,589.85	2,846	4,672	2,846	3,981

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
2012-02-01	$112.61	$112.00	7.0%	2.0%	7.8%	17.6%	6.4%	3.3%	0.2%	-2.1M	2.7M	-21.6K	0.01	96.15	87	1	316	2,530
2012-02-02	$113.19	$112.00	7.2%	2.1%	7.9%	18.6%	7.6%	1.4%	-0.3%	64.7K	-822.7K	-8.8K	1.22	44.01	73	89	403	2,530
2012-02-03	$112.42	$112.00	7.8%	2.3%	8.4%	21.0%	6.5%	4.0%	-0.0%	-1.4M	2.9M	-18.9K	3.00	78.56	19	57	469	2,584
2012-02-06	$111.49	$112.00	8.3%	2.3%	7.8%	23.2%	9.0%	2.6%	-0.3%	-3.0M	4.2M	-19.5K	31.00	78.59	3	93	488	2,620
2012-02-07	$111.82	$112.00	7.6%	2.2%	7.8%	20.1%	7.3%	2.6%	-0.4%	-2.1M	4.1M	-19.9K	0.11	84.06	91	10	491	2,666
2012-02-08	$112.36	$112.00	7.2%	2.2%	7.2%	18.6%	6.8%	3.0%	0.1%	-693.9K	662.6K	-18.6K	0.62	80.09	21	13	555	2,666
2012-02-09	$112.00	$112.00	8.0%	2.3%	7.4%	21.8%	0.0%	2.5%	-0.3%	-1.6M	3.0M	-24.6K	15.25	81.51	40	610	573	2,669
2012-02-10	$112.59	$112.00	7.5%	2.1%	7.5%	19.6%	7.5%	3.5%	0.0%	-2.0M	1.1M	-21.1K	2.91	81.78	22	64	613	3,279
2012-02-13	$113.94	$112.00	6.8%	1.9%	8.5%	16.6%	7.6%	3.2%	0.5%	1.0M	-3.5M	-10.4K	3.85	96.81	33	127	628	3,296
2012-02-14	$113.67	$112.00	7.4%	2.1%	8.6%	19.2%	8.1%	3.4%	0.1%	-405.5K	-512.6K	-17.9K	32.58	89.51	12	391	540	3,329
2012-02-15	$113.49	$113.00	9.5%	2.7%	8.6%	28.7%	10.1%	4.5%	-0.5%	-1.5M	2.6M	-25.2K	18.86	74.25	22	415	540	3,720
2012-02-16	$113.33	$113.00	9.2%	2.6%	8.7%	27.4%	10.9%	6.6%	-0.3%	-1.4M	4.0M	-26.8K	2.44	67.91	79	193	562	4,089
2012-02-17	$113.26	$113.00	9.8%	2.8%	8.5%	30.1%	9.9%	5.3%	-1.0%	-1.0M	4.7M	-35.1K	0.53	71.53	222	118	593	4,079
2012-02-21	$113.50	$113.00	9.3%	2.7%	8.5%	27.7%	10.7%	4.5%	-0.2%	-945.9K	3.7M	-35.6K	7.42	87.84	24	178	559	2,319
2012-02-22	$113.77	$113.00	7.8%	2.2%	8.5%	21.3%	9.0%	3.8%	0.7%	-704.8K	861.4K	-20.9K	19.80	78.78	5	99	566	2,467
2012-02-23	$111.45	$113.00	11.2%	3.2%	11.2%	36.2%	10.6%	5.1%	-1.5%	-1.3M	9.0M	-33.6K	7.20	62.90	146	1,051	571	2,505
2012-02-24	$110.40	$113.00	10.8%	3.1%	11.1%	34.3%	15.8%	5.5%	-1.0%	-2.4M	18.1M	-45.6K	19.72	67.65	25	493	707	3,446
2012-02-27	$110.25	$113.00	10.9%	3.1%	11.1%	35.1%	16.6%	5.1%	-1.0%	-2.0M	15.0M	-46.5K	46.88	69.35	8	375	730	3,143
2012-02-28	$110.45	$113.00	9.5%	2.7%	11.1%	28.5%	8.4%	3.2%	-0.2%	-2.3M	13.9M	-48.0K	0.00	85.79	0	293	730	3,245
2012-02-29	$110.59	$113.00	8.7%	2.5%	11.0%	25.2%	0.0%	2.0%	-0.6%	-2.6M	9.9M	-25.8K	0.00	84.50	0	42	730	3,251