MUB Options History — June 2012

In June 2012, MUB traded between $109.68 and $111.04. ATM implied volatility averaged 5.7%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 1.6% (HV 20d: 4.1%). Max pain ranged from $110.00 to $111.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 6.37.

Notable Days

2012-06-07: Highest Volume — 117 contracts
2012-06-11: Largest IV spike — 30.7% change
2012-06-12: Highest IV Rank — 14.6%
2012-06-05: Largest Expected Move — 1.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.17	$109.68	$111.04	$111.04	$110.07
Max Pain	$110.95	$110.00	$111.00	$111.00	$110.00
ATM IV	5.7%	4.6%	6.7%	6.6%	5.0%
Expected Move	1.7%	1.4%	1.9%	1.9%	1.4%
HV 20d	4.1%	3.3%	5.5%	5.5%	3.8%
HV 60d	5.2%	4.7%	5.7%	5.7%	4.7%
IV Rank	10.2%	5.4%	14.6%	14.2%	7.0%
IV Percentile	23.2%	5.6%	39.7%	36.9%	9.9%
Term Structure	0.1%	-0.5%	1.1%	-0.0%	-0.0%
VWIV	6.1%	5.1%	6.9%	6.7%	5.1%
Skew 25d	2.0%	0.5%	3.5%	1.7%	1.1%
Skew 10d	1.9%	0.4%	4.3%	0.8%	1.2%
Call IV 25d	4.2%	3.4%	5.8%	5.2%	4.2%
Put IV 25d	6.3%	4.8%	7.4%	6.9%	5.3%
Bid-Ask Spread %	101.04	89.79	107.50	107.50	107.38
Gamma HHI	0.26	0.19	0.34	0.19	0.23
Net GEX	-717.4K	-946.2K	-462.7K	-462.7K	-730.8K
Net DEX	3.2M	1.7M	4.2M	2.2M	4.2M
Net VEX	-10.2K	-13.9K	-6.4K	-10.4K	-13.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.37	0.00	18.00	0.00	0.54
Total Volume	27.286	0	117	6	20
Total OI	1,475.048	1,347	1,601	1,347	1,601

Daily Data (21 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
2012-06-01	$111.04	$111.00	6.6%	1.9%	5.5%	14.2%	0.0%	1.7%	-0.0%	-462.7K	2.2M	-10.4K	0.00	107.50	0	6	115	1,232
2012-06-04	$110.92	$111.00	5.3%	1.7%	4.8%	8.4%	0.0%	1.6%	-0.4%	-482.9K	1.7M	-6.4K	0.00	89.79	5	0	115	1,238
2012-06-05	$110.32	$111.00	6.6%	1.9%	5.1%	14.4%	6.7%	1.8%	-0.1%	-602.6K	2.6M	-9.1K	0.00	91.68	0	40	120	1,238
2012-06-06	$110.27	$111.00	6.1%	1.9%	5.1%	12.1%	0.0%	1.7%	0.3%	-661.1K	2.9M	-10.5K	0.00	92.53	0	0	120	1,278
2012-06-07	$110.25	$111.00	4.8%	1.8%	5.1%	5.9%	5.9%	2.9%	0.2%	-764.2K	2.7M	-8.7K	10.70	98.42	10	107	120	1,278
2012-06-08	$110.41	$111.00	4.6%	1.8%	5.1%	5.4%	6.8%	1.9%	0.1%	-778.7K	3.0M	-9.9K	0.00	98.75	0	8	125	1,375
2012-06-11	$110.04	$111.00	6.0%	1.8%	5.2%	11.8%	6.4%	2.1%	0.3%	-873.1K	3.2M	-9.3K	0.00	99.88	0	6	125	1,383
2012-06-12	$109.69	$111.00	6.7%	1.6%	4.2%	14.6%	5.5%	2.8%	0.6%	-946.2K	3.7M	-11.3K	8.00	100.72	5	40	125	1,388
2012-06-13	$110.18	$111.00	6.5%	1.7%	3.3%	13.9%	0.0%	3.0%	0.2%	-750.5K	3.4M	-10.9K	0.00	103.17	0	35	130	1,388
2012-06-14	$110.34	$111.00	6.0%	1.7%	3.3%	11.8%	0.0%	3.5%	-0.4%	-718.9K	2.9M	-9.9K	0.00	102.48	0	1	130	1,407
2012-06-15	$110.39	$111.00	6.1%	1.8%	3.3%	12.2%	6.9%	2.3%	0.1%	-717.4K	3.0M	-10.0K	18.00	102.20	1	18	130	1,408
2012-06-18	$109.96	$111.00	6.5%	1.9%	3.5%	13.8%	6.0%	2.6%	0.1%	-693.3K	3.6M	-11.8K	0.97	103.83	31	30	92	1,299
2012-06-19	$109.96	$111.00	5.2%	1.5%	3.5%	7.8%	6.0%	2.3%	1.1%	-764.9K	3.1M	-10.5K	0.00	99.95	0	20	123	1,322
2012-06-20	$109.68	$111.00	5.5%	1.6%	3.6%	9.4%	6.1%	0.9%	0.8%	-769.0K	3.5M	-10.2K	0.00	100.53	0	42	123	1,338
2012-06-21	$109.82	$111.00	5.4%	1.6%	3.7%	8.9%	0.0%	1.8%	0.1%	-802.4K	3.9M	-12.8K	0.00	106.07	0	10	123	1,380
2012-06-22	$109.79	$111.00	5.4%	1.5%	3.7%	8.7%	0.0%	0.5%	-0.5%	-830.7K	3.7M	-11.7K	0.00	104.46	0	11	123	1,390
2012-06-25	$110.10	$111.00	5.4%	1.6%	3.8%	9.0%	0.0%	2.2%	-0.3%	-660.1K	3.3M	-8.5K	0.00	101.55	0	0	123	1,397
2012-06-26	$110.14	$111.00	5.5%	1.6%	3.8%	9.1%	0.0%	2.3%	0.1%	-771.2K	3.7M	-10.7K	0.00	103.25	0	0	123	1,397
2012-06-27	$110.00	$111.00	5.4%	1.5%	3.8%	8.7%	0.0%	2.6%	0.3%	-639.0K	3.6M	-9.2K	0.00	100.94	0	36	123	1,397
2012-06-28	$110.15	$111.00	5.1%	1.5%	3.8%	7.7%	5.1%	1.1%	0.2%	-644.7K	3.4M	-8.3K	0.54	106.78	59	32	123	1,411
2012-06-29	$110.07	$110.00	5.0%	1.4%	3.8%	7.0%	0.0%	1.1%	-0.0%	-730.8K	4.2M	-13.9K	0.00	107.38	0	20	158	1,443