MUB Options History — September 2012

In September 2012, MUB traded between $110.58 and $112.00. ATM implied volatility averaged 5.0%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 2.1% (HV 20d: 2.9%). Max pain ranged from $112.00 to $113.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 2.17.

Notable Days

2012-09-28: Highest Volume — 121 contracts
2012-09-10: Largest IV spike — 28.3% change
2012-09-20: Highest IV Rank — 32.5%
2012-09-20: Largest Expected Move — 1.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.22	$110.58	$112.00	$111.20	$112.00
Max Pain	$112.84	$112.00	$113.00	$112.00	$113.00
ATM IV	5.0%	3.7%	6.0%	5.1%	4.8%
Expected Move	1.5%	1.1%	1.7%	1.5%	1.4%
HV 20d	2.9%	2.6%	3.2%	2.6%	3.1%
HV 60d	3.4%	3.1%	3.7%	3.7%	3.1%
IV Rank	19.0%	2.9%	32.5%	16.7%	17.3%
IV Percentile	25.5%	3.2%	48.0%	23.0%	21.0%
Term Structure	0.9%	0.1%	3.6%	0.1%	0.2%
VWIV	5.6%	4.5%	6.9%	5.0%	6.0%
Skew 25d	2.2%	0.3%	3.2%	1.0%	2.3%
Skew 10d	2.3%	0.3%	6.6%	0.8%	6.6%
Call IV 25d	3.8%	3.1%	4.4%	3.7%	4.2%
Put IV 25d	5.9%	4.1%	6.6%	4.7%	6.5%
Bid-Ask Spread %	101.16	96.76	107.55	107.55	98.47
Gamma HHI	0.22	0.18	0.29	0.19	0.27
Net GEX	-1.2M	-1.4M	-743.8K	-1.1M	-848.4K
Net DEX	2.8M	580.6K	3.6M	3.0M	580.6K
Net VEX	-12.0K	-15.5K	-8.9K	-12.1K	-8.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.17	0.10	5.05	2.80	5.05
Total Volume	38.474	0	121	46	121
Total OI	1,426.895	1,235	1,550	1,235	1,550

Daily Data (19 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
2012-09-04	$111.20	$112.00	5.1%	1.5%	2.6%	16.7%	0.0%	1.0%	0.1%	-1.1M	3.0M	-12.1K	0.00	107.55	0	46	65	1,170
2012-09-05	$111.46	$112.00	3.9%	1.1%	2.6%	4.9%	0.0%	1.4%	3.6%	-1.2M	3.1M	-13.1K	0.00	106.91	0	0	65	1,212
2012-09-06	$111.14	$112.00	4.9%	1.4%	2.8%	14.8%	5.0%	0.3%	0.1%	-1.2M	3.3M	-13.3K	2.80	107.21	5	14	65	1,212
2012-09-07	$111.19	$113.00	3.7%	1.5%	2.8%	2.9%	0.0%	2.7%	1.1%	-1.3M	3.2M	-12.0K	0.00	100.21	0	0	60	1,216
2012-09-10	$111.05	$113.00	4.8%	1.6%	2.8%	13.5%	0.0%	3.2%	1.0%	-1.3M	3.4M	-12.3K	0.00	101.06	0	0	60	1,216
2012-09-11	$111.19	$113.00	5.1%	1.6%	2.8%	16.7%	4.5%	2.1%	0.2%	-1.4M	3.6M	-12.7K	0.00	100.49	0	114	60	1,216
2012-09-12	$111.03	$113.00	4.7%	1.7%	2.8%	14.6%	0.0%	2.6%	0.4%	-1.3M	3.4M	-11.3K	0.00	97.49	0	67	60	1,304
2012-09-13	$111.01	$113.00	5.8%	1.7%	2.7%	30.0%	0.0%	2.8%	0.2%	-1.3M	3.1M	-9.6K	0.10	96.76	100	10	60	1,371
2012-09-14	$110.58	$113.00	5.5%	1.6%	3.0%	26.5%	0.0%	2.1%	1.1%	-1.3M	3.6M	-13.0K	0.00	99.66	0	1	160	1,381
2012-09-17	$110.69	$113.00	5.2%	1.5%	3.0%	22.7%	0.0%	2.3%	0.4%	-1.2M	3.1M	-10.8K	0.00	101.81	0	0	160	1,381
2012-09-18	$110.80	$113.00	5.4%	1.6%	3.0%	25.3%	0.0%	2.2%	0.4%	-1.2M	3.0M	-11.3K	0.00	100.96	0	0	160	1,381
2012-09-19	$111.12	$113.00	5.5%	1.6%	3.2%	27.1%	0.0%	2.6%	0.6%	-1.4M	3.6M	-15.5K	0.00	99.11	0	55	160	1,381
2012-09-20	$111.13	$113.00	6.0%	1.7%	3.2%	32.5%	6.9%	2.5%	0.7%	-1.2M	2.8M	-13.0K	3.25	101.63	4	13	160	1,386
2012-09-21	$111.24	$113.00	5.5%	1.6%	3.2%	26.9%	0.0%	2.7%	0.4%	-1.2M	2.3M	-9.8K	0.00	99.61	0	26	156	1,392
2012-09-24	$111.30	$113.00	5.3%	1.5%	3.2%	24.3%	5.8%	2.2%	1.0%	-950.3K	3.0M	-14.2K	0.00	100.78	0	61	140	1,275
2012-09-25	$111.54	$113.00	4.7%	1.3%	3.1%	15.7%	6.0%	2.6%	1.5%	-950.8K	2.4M	-12.7K	1.40	100.30	10	14	140	1,336
2012-09-26	$111.78	$113.00	4.3%	1.2%	3.1%	11.5%	0.0%	1.8%	1.8%	-930.0K	1.9M	-11.7K	0.00	100.61	0	0	150	1,350
2012-09-27	$111.77	$113.00	4.7%	1.4%	3.0%	16.3%	0.0%	1.6%	1.9%	-743.8K	1.5M	-9.7K	0.40	101.51	50	20	150	1,350
2012-09-28	$112.00	$113.00	4.8%	1.4%	3.1%	17.3%	0.0%	2.3%	0.2%	-848.4K	580.6K	-8.9K	5.05	98.47	20	101	180	1,370