MUB Options History — May 2012

In May 2012, MUB traded between $109.80 and $111.20. ATM implied volatility averaged 4.9%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded below realized volatility by 0.4% (HV 20d: 5.3%). Max pain ranged from $111.00 to $111.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 8.57.

Notable Days

2012-05-18: Highest Volume — 161 contracts
2012-05-14: Largest IV spike — 64.2% change
2012-05-14: Highest IV Rank — 25.1%
2012-05-14: Largest Expected Move — 2.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.76	$109.80	$111.20	$109.80	$111.13
Max Pain	$111.00	$111.00	$111.00	$111.00	$111.00
ATM IV	4.9%	3.5%	9.0%	3.5%	4.7%
Expected Move	1.5%	1.0%	2.6%	1.0%	1.3%
HV 20d	5.3%	4.2%	6.1%	5.3%	5.6%
HV 60d	6.8%	5.9%	7.7%	7.7%	5.9%
IV Rank	6.6%	0.0%	25.1%	1.7%	5.7%
IV Percentile	13.5%	0.0%	83.3%	0.4%	7.5%
Term Structure	1.0%	-2.0%	2.2%	2.1%	1.3%
VWIV	5.1%	2.8%	7.3%	3.7%	2.8%
Skew 25d	2.3%	0.9%	4.3%	0.9%	4.3%
Skew 10d	3.2%	0.0%	9.0%	7.7%	8.3%
Call IV 25d	4.1%	3.5%	5.8%	3.9%	4.1%
Put IV 25d	6.5%	4.8%	8.5%	4.8%	8.5%
Bid-Ask Spread %	105.76	94.42	155.12	99.96	107.35
Gamma HHI	0.25	0.14	0.36	0.27	0.23
Net GEX	-719.9K	-1.2M	-252.4K	-1.1M	-252.4K
Net DEX	2.9M	1.6M	4.9M	4.6M	2.1M
Net VEX	-11.4K	-17.8K	-7.0K	-16.3K	-9.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.57	0.00	27.00	3.33	0.00
Total Volume	28.273	0	161	13	46
Total OI	2,253.636	1,259	2,913	2,691	1,319

Daily Data (22 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
2012-05-01	$109.80	$111.00	3.5%	1.0%	5.3%	1.7%	3.7%	0.9%	2.1%	-1.1M	4.6M	-16.3K	3.33	99.96	3	10	384	2,307
2012-05-02	$110.04	$111.00	3.5%	1.0%	4.6%	0.0%	4.2%	2.1%	1.5%	-1.1M	3.2M	-8.8K	6.40	106.52	5	32	385	2,312
2012-05-03	$110.36	$111.00	4.0%	1.1%	4.6%	2.3%	3.5%	2.3%	2.1%	-984.8K	2.8M	-9.2K	0.00	105.78	12	0	387	2,334
2012-05-04	$111.20	$111.00	3.8%	1.6%	4.9%	1.4%	0.0%	1.8%	0.8%	-918.9K	2.7M	-17.8K	27.00	103.88	1	27	399	2,334
2012-05-07	$111.06	$111.00	4.6%	1.6%	4.6%	5.3%	6.1%	2.8%	0.5%	-610.6K	1.7M	-8.3K	5.21	98.64	14	73	382	2,361
2012-05-08	$111.15	$111.00	3.7%	1.6%	4.5%	1.0%	0.0%	1.7%	0.4%	-545.6K	1.6M	-7.0K	0.00	100.48	0	0	382	2,381
2012-05-09	$110.90	$111.00	4.8%	1.7%	4.7%	5.9%	0.0%	1.6%	0.6%	-754.9K	2.2M	-10.1K	0.00	101.46	0	0	382	2,381
2012-05-10	$110.72	$111.00	5.1%	1.5%	4.3%	7.4%	6.2%	1.9%	2.0%	-719.4K	2.7M	-12.6K	0.00	109.83	0	39	382	2,381
2012-05-11	$110.90	$111.00	5.5%	1.6%	4.2%	9.2%	0.0%	2.6%	1.3%	-789.3K	2.4M	-10.5K	0.00	102.45	0	71	382	2,414
2012-05-14	$109.92	$111.00	9.0%	2.6%	5.5%	25.1%	5.2%	2.5%	-2.0%	-1.2M	4.9M	-15.3K	0.00	155.12	0	42	382	2,485
2012-05-15	$110.86	$111.00	5.8%	1.7%	6.1%	10.8%	5.4%	3.2%	0.1%	-862.7K	2.8M	-10.7K	0.80	97.59	10	8	382	2,527
2012-05-16	$110.80	$111.00	5.6%	1.6%	6.1%	9.6%	0.0%	2.9%	1.6%	-1.0M	2.8M	-10.2K	0.00	100.98	0	0	392	2,521
2012-05-17	$110.93	$111.00	5.2%	1.5%	5.9%	8.1%	0.0%	2.8%	0.8%	-857.9K	3.3M	-13.7K	0.00	102.53	0	0	392	2,521
2012-05-18	$110.97	$111.00	5.1%	1.5%	5.9%	7.6%	7.3%	2.1%	1.3%	-811.3K	2.9M	-11.7K	25.83	94.42	6	155	392	2,521
2012-05-21	$110.89	$111.00	5.6%	1.6%	5.8%	9.6%	6.4%	2.1%	0.5%	-454.7K	2.9M	-12.8K	0.00	98.10	0	23	100	1,159
2012-05-22	$110.82	$111.00	5.0%	1.4%	5.7%	6.9%	0.0%	2.9%	2.1%	-524.7K	3.0M	-13.0K	0.00	106.59	0	15	100	1,182
2012-05-23	$110.87	$111.00	5.4%	1.5%	5.7%	8.7%	0.0%	2.4%	1.0%	-518.1K	2.8M	-11.3K	0.00	98.27	0	15	100	1,189
2012-05-24	$110.76	$111.00	4.5%	1.3%	5.7%	4.7%	0.0%	2.8%	0.3%	-493.4K	3.0M	-11.2K	0.00	117.96	0	0	100	1,204
2012-05-25	$110.84	$111.00	4.3%	1.2%	5.7%	3.9%	2.8%	1.6%	2.2%	-528.8K	3.0M	-10.6K	0.00	107.60	15	0	100	1,204
2012-05-29	$110.85	$111.00	4.3%	1.2%	5.7%	3.9%	0.0%	1.9%	1.7%	-450.3K	2.8M	-10.1K	0.00	107.56	0	0	115	1,204
2012-05-30	$110.94	$111.00	5.1%	1.5%	5.6%	7.4%	0.0%	2.1%	0.6%	-419.9K	2.8M	-10.2K	0.00	103.64	0	0	115	1,204
2012-05-31	$111.13	$111.00	4.7%	1.3%	5.6%	5.7%	0.0%	4.3%	1.3%	-252.4K	2.1M	-9.1K	0.00	107.35	0	46	115	1,204