MUB Options History — July 2012

In July 2012, MUB traded between $109.19 and $112.10. ATM implied volatility averaged 4.9%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 0.7% (HV 20d: 4.2%). Max pain ranged from $111.00 to $112.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 7.84.

Notable Days

2012-07-26: Highest Volume — 96 contracts
2012-07-11: Largest IV spike — 27.5% change
2012-07-13: Highest IV Rank — 11.9%
2012-07-11: Largest Expected Move — 1.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.88	$109.19	$112.10	$109.27	$112.07
Max Pain	$111.86	$111.00	$112.00	$111.00	$112.00
ATM IV	4.9%	3.5%	6.1%	4.9%	3.5%
Expected Move	1.4%	1.0%	1.8%	1.4%	1.0%
HV 20d	4.2%	3.2%	4.5%	4.5%	3.2%
HV 60d	4.6%	4.4%	4.9%	4.9%	4.4%
IV Rank	6.4%	0.4%	11.9%	6.6%	0.4%
IV Percentile	12.6%	1.2%	32.1%	9.1%	1.2%
Term Structure	1.3%	0.4%	2.1%	1.2%	0.8%
VWIV	5.5%	4.1%	7.5%	7.5%	5.2%
Skew 25d	2.3%	0.4%	3.7%	1.3%	2.5%
Skew 10d	3.1%	0.3%	9.4%	1.9%	9.2%
Call IV 25d	3.9%	3.1%	5.3%	3.6%	4.0%
Put IV 25d	6.1%	4.7%	7.7%	4.8%	6.4%
Bid-Ask Spread %	102.45	97.73	108.53	105.12	101.91
Gamma HHI	0.25	0.19	0.38	0.23	0.31
Net GEX	-699.3K	-1.0M	-296.4K	-977.3K	-928.1K
Net DEX	2.5M	630.5K	4.3M	4.3M	1.6M
Net VEX	-10.6K	-13.1K	-4.7K	-13.1K	-9.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.84	0.20	53.00	0.40	3.17
Total Volume	26.429	0	96	14	25
Total OI	1,693.952	1,596	1,775	1,596	1,767

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
2012-07-02	$109.27	$111.00	4.9%	1.4%	4.5%	6.6%	7.5%	1.3%	1.2%	-977.3K	4.3M	-13.1K	0.40	105.12	10	4	143	1,453
2012-07-03	$109.19	$111.00	5.2%	1.5%	4.2%	7.8%	4.2%	0.4%	0.9%	-1.0M	4.3M	-12.1K	0.00	108.53	0	13	152	1,457
2012-07-05	$109.46	$111.00	4.1%	1.2%	4.3%	2.9%	0.0%	1.0%	1.7%	-998.5K	4.0M	-10.9K	0.00	106.89	0	0	152	1,464
2012-07-06	$109.87	$112.00	4.7%	1.5%	4.5%	5.9%	0.0%	1.8%	1.3%	-1.0M	3.3M	-9.3K	0.00	98.65	0	8	152	1,464
2012-07-09	$110.02	$112.00	3.6%	1.3%	4.5%	0.5%	0.0%	3.3%	1.8%	-984.4K	3.4M	-11.4K	0.00	98.32	0	0	152	1,472
2012-07-10	$110.41	$112.00	4.1%	1.7%	4.5%	3.0%	5.2%	3.7%	1.3%	-814.1K	2.8M	-10.1K	1.80	101.86	25	45	152	1,472
2012-07-11	$110.15	$112.00	5.2%	1.8%	4.5%	8.1%	5.1%	1.3%	0.4%	-824.1K	3.0M	-10.6K	3.70	97.73	10	37	168	1,510
2012-07-12	$110.40	$112.00	6.0%	1.7%	4.3%	11.5%	6.7%	3.3%	1.0%	-721.6K	3.1M	-12.4K	53.00	102.03	1	53	178	1,522
2012-07-13	$110.49	$112.00	6.1%	1.7%	4.2%	11.9%	5.5%	1.6%	0.5%	-833.5K	2.8M	-11.9K	0.00	101.90	0	81	178	1,571
2012-07-16	$110.63	$112.00	5.3%	1.5%	4.3%	8.5%	0.0%	2.2%	2.0%	-791.3K	2.9M	-12.4K	0.00	102.03	0	0	178	1,586
2012-07-17	$110.88	$112.00	5.2%	1.5%	4.0%	8.1%	0.0%	1.6%	1.6%	-712.3K	2.5M	-11.4K	0.00	99.88	0	0	178	1,586
2012-07-18	$111.24	$112.00	5.7%	1.6%	4.2%	10.0%	5.4%	1.6%	0.7%	-541.1K	2.1M	-11.7K	0.47	103.87	15	7	178	1,586
2012-07-19	$111.57	$112.00	4.9%	1.4%	4.1%	6.4%	0.0%	3.2%	1.7%	-449.4K	1.9M	-12.2K	0.00	100.87	0	11	179	1,586
2012-07-20	$111.73	$112.00	4.7%	1.4%	4.1%	5.8%	6.1%	2.5%	1.8%	-376.0K	1.7M	-11.5K	0.00	105.13	0	2	179	1,596
2012-07-23	$111.65	$112.00	5.3%	1.5%	4.1%	8.3%	0.0%	2.2%	2.1%	-396.4K	1.2M	-7.4K	0.00	104.56	0	41	159	1,481
2012-07-24	$111.81	$112.00	4.9%	1.4%	4.0%	6.4%	5.2%	2.9%	1.9%	-318.2K	1.8M	-10.8K	3.67	102.55	6	22	159	1,501
2012-07-25	$112.03	$112.00	4.6%	1.3%	4.0%	5.2%	5.4%	3.1%	1.3%	-296.4K	630.5K	-4.7K	4.20	97.77	5	21	153	1,509
2012-07-26	$112.10	$112.00	4.5%	1.3%	4.0%	4.8%	6.2%	2.6%	1.6%	-437.8K	1.9M	-10.7K	0.00	100.77	0	96	148	1,530
2012-07-27	$111.63	$112.00	5.2%	1.5%	4.4%	8.1%	4.1%	1.8%	1.4%	-607.0K	1.7M	-7.6K	0.20	102.71	10	2	148	1,612
2012-07-30	$111.89	$112.00	4.4%	1.3%	4.4%	4.3%	5.2%	3.5%	0.8%	-637.3K	2.2M	-11.3K	0.00	108.34	0	5	148	1,614
2012-07-31	$112.07	$112.00	3.5%	1.0%	3.2%	0.4%	0.0%	2.5%	0.8%	-928.1K	1.6M	-9.4K	3.17	101.91	6	19	148	1,619