MUB Options History — April 2012

In April 2012, MUB traded between $107.96 and $110.20. ATM implied volatility averaged 6.1%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded below realized volatility by 0.0% (HV 20d: 6.1%). Max pain ranged from $109.00 to $111.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 3.49.

Notable Days

2012-04-03: Highest Volume — 70 contracts
2012-04-30: Largest IV drop — 25.6% change
2012-04-09: Highest IV Rank — 18.9%
2012-04-09: Largest Expected Move — 2.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$109.23	$107.96	$110.20	$109.06	$110.08
Max Pain	$110.70	$109.00	$111.00	$110.00	$111.00
ATM IV	6.1%	3.5%	7.3%	6.6%	3.5%
Expected Move	1.7%	1.0%	2.1%	1.9%	1.0%
HV 20d	6.1%	5.2%	7.2%	6.8%	5.3%
HV 60d	8.2%	7.8%	8.7%	8.7%	7.8%
IV Rank	13.4%	2.0%	18.9%	15.7%	2.0%
IV Percentile	32.8%	0.4%	60.3%	40.1%	0.4%
Term Structure	0.8%	-0.2%	2.3%	0.2%	1.4%
VWIV	6.6%	4.8%	10.7%	4.9%	4.8%
Skew 25d	2.6%	-0.1%	5.3%	1.8%	2.2%
Skew 10d	3.9%	-0.0%	10.1%	2.3%	8.2%
Call IV 25d	4.8%	2.8%	7.2%	5.9%	4.0%
Put IV 25d	7.4%	5.4%	9.0%	7.7%	6.1%
Bid-Ask Spread %	101.14	89.16	135.94	97.13	102.39
Gamma HHI	0.30	0.20	0.56	0.22	0.56
Net GEX	-1.3M	-2.1M	-483.1K	-1.8M	-1.1M
Net DEX	5.4M	3.2M	7.9M	6.1M	3.2M
Net VEX	-16.4K	-24.1K	-8.9K	-22.5K	-10.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.49	0.00	17.33	1.50	2.00
Total Volume	22.8	0	70	15	3
Total OI	2,943.3	2,663	3,114	2,926	2,727

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
2012-04-02	$109.06	$110.00	6.6%	1.9%	6.8%	15.7%	4.9%	1.8%	0.2%	-1.8M	6.1M	-22.5K	1.50	97.13	6	9	541	2,385
2012-04-03	$108.30	$110.00	7.0%	2.0%	7.2%	17.4%	5.5%	1.6%	0.3%	-2.0M	7.5M	-19.8K	0.37	93.58	51	19	544	2,385
2012-04-04	$108.35	$109.00	6.9%	2.0%	6.8%	17.2%	0.0%	1.2%	0.4%	-2.1M	6.8M	-17.7K	6.00	92.46	10	60	595	2,389
2012-04-05	$107.96	$109.00	7.0%	2.0%	6.7%	17.5%	6.7%	-0.1%	0.5%	-1.9M	7.9M	-20.3K	0.00	101.55	2	0	595	2,449
2012-04-09	$108.68	$111.00	7.3%	2.1%	7.2%	18.9%	5.6%	1.8%	0.2%	-1.6M	5.9M	-17.4K	1.20	93.77	10	12	597	2,449
2012-04-10	$108.91	$111.00	7.1%	2.1%	7.2%	17.9%	8.0%	2.6%	0.2%	-1.5M	6.9M	-24.1K	0.00	89.16	0	13	607	2,449
2012-04-11	$109.10	$111.00	6.2%	1.8%	7.2%	13.7%	10.7%	4.8%	0.7%	-1.3M	5.2M	-17.0K	0.00	94.48	0	10	607	2,448
2012-04-12	$108.58	$111.00	6.6%	1.9%	7.0%	15.7%	8.3%	4.2%	0.5%	-1.6M	6.8M	-20.2K	0.00	97.28	0	32	607	2,445
2012-04-13	$108.90	$111.00	5.9%	1.7%	5.8%	12.5%	0.0%	2.6%	0.8%	-1.8M	6.8M	-17.8K	0.00	104.11	0	11	607	2,472
2012-04-16	$108.85	$111.00	7.0%	2.0%	5.7%	17.5%	0.0%	4.4%	0.1%	-1.4M	6.8M	-22.0K	0.00	107.14	0	0	607	2,483
2012-04-17	$109.24	$111.00	6.4%	1.8%	5.7%	14.8%	0.0%	4.1%	-0.1%	-1.3M	4.9M	-14.5K	0.00	100.47	0	13	607	2,483
2012-04-18	$109.34	$111.00	6.3%	1.8%	5.7%	14.2%	0.0%	5.3%	0.9%	-1.3M	5.2M	-15.6K	3.00	98.38	1	3	607	2,493
2012-04-19	$109.85	$111.00	6.6%	1.9%	5.5%	15.7%	7.3%	3.0%	-0.2%	-483.1K	4.0M	-16.5K	17.33	99.39	3	52	608	2,496
2012-04-20	$109.84	$111.00	6.0%	1.7%	5.2%	13.1%	5.9%	2.6%	0.7%	-670.8K	4.0M	-16.2K	0.14	102.44	14	2	611	2,503
2012-04-23	$109.51	$111.00	5.3%	1.5%	5.4%	9.8%	6.8%	2.7%	2.3%	-1.0M	4.6M	-12.6K	7.14	135.94	7	50	408	2,255
2012-04-24	$109.90	$111.00	5.4%	1.5%	5.4%	10.3%	0.0%	2.7%	2.3%	-995.2K	4.2M	-11.0K	0.00	102.91	0	1	410	2,283
2012-04-25	$109.99	$111.00	5.3%	1.5%	5.3%	9.8%	0.0%	1.1%	1.3%	-1.3M	4.3M	-13.9K	0.00	104.39	0	19	410	2,284
2012-04-26	$110.00	$111.00	4.7%	1.4%	5.3%	7.4%	5.1%	1.3%	1.8%	-1.2M	3.8M	-10.1K	1.15	102.29	13	15	410	2,293
2012-04-27	$110.20	$111.00	4.7%	1.4%	5.3%	7.4%	0.0%	2.1%	1.2%	-592.1K	3.2M	-8.9K	2.00	103.61	5	10	420	2,297
2012-04-30	$110.08	$111.00	3.5%	1.0%	5.3%	2.0%	4.8%	2.2%	1.4%	-1.1M	3.2M	-10.9K	2.00	102.39	1	2	420	2,307