MUB Options History — March 2012

In March 2012, MUB traded between $107.50 and $110.20. ATM implied volatility averaged 7.8%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded below realized volatility by 1.0% (HV 20d: 8.8%). Max pain ranged from $110.00 to $113.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 8.24.

Notable Days

  • 2012-03-16: Highest Volume — 248 contracts
  • 2012-03-14: Largest IV spike — 43.3% change
  • 2012-03-14: Highest IV Rank — 30.4%
  • 2012-03-07: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.08$107.50$110.20$110.20$109.40
Max Pain$110.73$110.00$113.00$113.00$110.00
ATM IV7.8%5.8%9.9%8.7%5.8%
Expected Move2.3%1.7%2.8%2.5%1.7%
HV 20d8.8%6.6%10.8%10.8%6.7%
HV 60d8.7%8.3%9.1%8.4%8.7%
IV Rank21.2%12.2%30.4%25.3%12.2%
IV Percentile64.3%27.4%87.3%76.6%27.4%
Term Structure0.1%-0.7%2.1%0.5%2.1%
VWIV8.2%6.2%12.2%8.1%6.6%
Skew 25d3.3%1.5%6.4%1.8%2.9%
Skew 10d5.3%1.9%7.7%3.8%5.6%
Call IV 25d6.3%4.2%8.0%7.9%4.9%
Put IV 25d9.6%7.8%11.9%9.7%7.8%
Bid-Ask Spread %89.2872.60105.1294.45105.12
Gamma HHI0.200.140.260.180.20
Net GEX-2.1M-2.9M-1.3M-2.4M-1.6M
Net DEX11.9M5.5M20.7M12.6M6.9M
Net VEX-30.0K-44.9K-19.2K-39.5K-33.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.240.0044.002.9210.20
Total Volume60.95532485130
Total OI3,540.8642,7714,1404,0072,952

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$110.20$113.008.7%2.5%10.8%25.3%0.0%1.8%0.5%-2.4M12.6M-39.5K2.9294.4513387283,279
2012-03-02$110.10$113.008.2%2.3%10.6%22.7%8.1%2.3%0.7%-2.5M13.0M-36.8K0.0099.710587353,287
2012-03-05$110.20$111.008.6%2.5%10.4%24.8%8.2%3.8%-0.1%-2.9M13.1M-33.4K39.0075.852787353,315
2012-03-06$110.06$111.008.9%2.5%10.0%25.9%0.0%3.8%0.4%-2.7M13.5M-35.1K0.9274.5713127373,323
2012-03-07$109.27$111.008.5%2.8%10.2%24.4%0.0%3.9%-0.5%-2.8M15.6M-44.9K0.0075.550157493,325
2012-03-08$109.62$111.008.2%2.4%10.1%22.8%10.6%3.0%-0.1%-2.8M13.3M-21.2K5.6076.3610567493,335
2012-03-09$109.48$111.008.0%2.5%10.1%21.8%0.0%3.0%-0.1%-2.8M13.9M-22.1K0.0072.600267393,387
2012-03-12$109.65$111.007.2%2.3%9.8%18.5%7.5%3.2%0.5%-2.8M14.4M-27.3K0.1485.421427393,393
2012-03-13$109.37$111.006.9%2.3%8.5%17.1%8.6%1.8%0.1%-2.5M14.7M-19.9K1.3584.8120277493,391
2012-03-14$108.65$111.009.9%2.2%8.7%30.4%8.6%1.5%0.4%-2.5M17.6M-31.7K14.3388.103437293,390
2012-03-15$107.50$111.009.1%2.6%9.2%26.8%12.2%6.4%-0.2%-2.1M20.7M-34.6K2.1693.24501087323,392
2012-03-16$107.92$111.008.1%2.3%9.4%22.3%8.8%2.7%-0.6%-2.2M19.6M-31.2K8.5490.89262226823,403
2012-03-19$107.61$110.008.2%2.3%9.4%22.7%7.6%2.3%-0.4%-1.8M10.6M-34.4K7.8989.059714562,315
2012-03-20$107.50$110.008.2%2.3%9.3%22.7%6.2%4.8%0.2%-1.8M11.0M-35.4K0.0091.16304602,386
2012-03-21$108.17$110.007.6%2.2%9.6%20.1%6.6%2.8%-0.2%-1.9M9.9M-34.5K0.0089.55804632,386
2012-03-22$108.75$110.007.1%2.0%7.3%18.1%0.0%4.1%0.2%-1.7M8.2M-27.3K0.3892.182184692,386
2012-03-23$108.80$110.007.4%2.1%6.6%19.2%0.0%4.9%-0.7%-1.7M8.6M-35.3K1.3694.4055754902,386
2012-03-26$109.16$110.007.3%2.1%6.8%19.0%0.0%4.2%0.3%-1.5M6.3M-19.8K1.2997.3214185322,376
2012-03-27$109.44$110.007.0%2.0%6.8%17.4%6.9%2.5%-0.2%-1.4M5.9M-19.2K0.00100.650365462,384
2012-03-28$109.55$110.006.4%1.8%6.8%14.7%0.0%2.3%0.5%-1.3M5.5M-20.7K44.0093.801445462,393
2012-03-29$109.46$110.007.1%2.0%6.7%18.0%0.0%3.6%0.3%-1.4M6.4M-22.2K10.2099.44101025472,403
2012-03-30$109.40$110.005.8%1.7%6.7%12.2%6.6%2.9%2.1%-1.6M6.9M-33.2K0.00105.120305572,395