MUB Options History — August 2012

In August 2012, MUB traded between $110.87 and $111.63. ATM implied volatility averaged 4.6%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.5% (HV 20d: 3.1%). Max pain ranged from $111.00 to $115.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 35.47.

Notable Days

  • 2012-08-21: Highest Volume — 150 contracts
  • 2012-08-28: Largest IV spike — 25.1% change
  • 2012-08-16: Highest IV Rank — 23.1%
  • 2012-08-07: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.31$110.87$111.63$111.55$111.63
Max Pain$112.22$111.00$115.00$115.00$112.00
ATM IV4.6%3.5%5.8%4.6%3.5%
Expected Move1.4%1.0%1.8%1.3%1.0%
HV 20d3.1%2.2%3.7%3.7%2.2%
HV 60d3.8%3.6%4.5%4.5%3.6%
IV Rank9.7%0.0%23.1%5.3%0.0%
IV Percentile12.3%0.0%34.9%7.9%0.0%
Term Structure0.8%-0.4%2.0%1.4%-0.2%
VWIV5.1%3.6%6.9%3.6%5.2%
Skew 25d1.6%-0.3%3.2%0.7%2.6%
Skew 10d1.9%-0.2%5.5%1.4%5.5%
Call IV 25d4.1%3.1%5.5%4.1%3.1%
Put IV 25d5.7%3.6%7.0%4.8%5.6%
Bid-Ask Spread %102.6695.67107.79106.58106.25
Gamma HHI0.300.220.650.230.23
Net GEX-892.5K-2.2M-321.6K-862.5K-1.2M
Net DEX2.4M1.2M3.7M2.5M2.0M
Net VEX-9.0K-11.6K-5.4K-10.4K-8.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio35.470.40149.008.000.40
Total Volume33.130150216
Total OI1,424.877731,8081,7091,229

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$111.55$115.004.6%1.3%3.7%5.3%0.0%0.7%1.4%-862.5K2.5M-10.4K0.00106.58021871,622
2012-08-02$111.55$115.004.5%1.3%3.7%4.6%0.0%0.2%-0.4%-1.0M2.2M-7.1K0.00105.93022871,643
2012-08-03$111.48$115.004.6%1.3%3.6%5.3%0.0%2.7%1.7%-965.4K2.3M-7.4K0.00106.2100871,665
2012-08-06$111.61$112.004.4%1.1%3.6%4.3%0.0%3.2%0.5%-893.3K2.1M-7.0K0.0095.6701871,665
2012-08-07$111.32$112.005.2%1.8%3.6%8.1%3.6%2.0%0.1%-1.0M2.4M-6.9K0.0097.43011871,666
2012-08-08$111.40$112.004.5%1.7%3.5%7.1%0.0%2.1%0.3%-1.0M2.3M-6.6K0.0097.55015871,677
2012-08-09$111.41$112.004.7%1.7%3.4%10.5%0.0%1.7%0.5%-978.5K2.9M-10.2K0.0099.2100871,686
2012-08-10$111.45$112.004.4%1.7%3.4%8.1%5.9%1.4%0.7%-1.4M2.8M-9.7K0.0097.3308871,686
2012-08-13$111.30$112.003.9%1.7%3.4%4.5%0.0%1.6%0.4%-1.0M2.9M-9.6K0.00100.91024871,694
2012-08-14$111.29$112.004.7%1.7%3.4%11.9%0.0%3.1%0.9%-1.1M3.0M-10.5K0.00102.19013871,708
2012-08-15$111.00$112.005.6%1.7%3.3%21.3%0.0%0.9%0.7%-1.2M3.3M-9.8K0.00100.06031871,721
2012-08-16$110.87$112.005.8%1.7%3.1%23.1%0.0%2.3%0.3%-1.1M3.7M-10.7K0.0098.48065871,702
2012-08-17$110.97$112.005.6%1.6%3.1%21.6%6.1%0.7%1.0%-2.2M2.9M-9.6K8.00100.94432871,669
2012-08-20$110.90$112.004.7%1.4%3.1%12.7%6.9%1.4%0.7%-390.4K2.0M-9.4K0.00101.060750723
2012-08-21$110.99$112.003.8%1.1%3.0%3.9%4.1%2.2%1.8%-425.9K2.1M-9.3K149.00107.79114950730
2012-08-22$111.03$112.004.2%1.2%2.9%6.9%0.0%1.1%2.0%-589.5K2.0M-9.0K17.67105.4235350863
2012-08-23$111.14$112.004.7%1.3%3.0%12.4%4.4%1.7%0.6%-618.3K2.1M-10.5K2.30103.43102350916
2012-08-24$111.25$111.005.0%1.4%2.6%15.0%4.8%1.6%0.7%-492.3K2.5M-11.5K0.40105.995260936
2012-08-27$111.57$111.004.2%1.2%2.7%7.4%0.0%2.4%0.4%-477.7K2.4M-11.6K0.00105.4802165938
2012-08-28$111.36$111.005.2%1.5%2.7%17.9%0.0%-0.3%0.1%-321.6K1.2M-5.4K0.00105.7105065944
2012-08-29$111.56$111.004.4%1.3%2.2%9.5%5.2%0.9%1.7%-580.5K2.0M-9.4K0.00105.9106565994
2012-08-30$111.59$112.003.5%1.0%2.3%0.7%0.0%1.3%1.3%-615.0K1.8M-6.9K0.00105.580120651,044
2012-08-31$111.63$112.003.5%1.0%2.2%0.0%0.0%2.6%-0.2%-1.2M2.0M-8.1K0.00106.2506651,164