MUB Options History — October 2012

In October 2012, MUB traded between $111.65 and $112.25. ATM implied volatility averaged 6.3%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 3.9% (HV 20d: 2.3%). Max pain ranged from $112.00 to $113.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.42.

Notable Days

2012-10-01: Highest Volume — 188 contracts
2012-10-11: Largest IV spike — 17.8% change
2012-10-23: Highest IV Rank — 51.8%
2012-10-23: Largest Expected Move — 2.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.82	$111.65	$112.25	$111.67	$112.25
Max Pain	$112.19	$112.00	$113.00	$113.00	$112.00
ATM IV	6.3%	5.3%	7.5%	5.9%	5.8%
Expected Move	1.8%	1.5%	2.1%	1.7%	1.7%
HV 20d	2.3%	1.6%	3.3%	3.3%	1.6%
HV 60d	2.8%	2.4%	3.1%	3.1%	2.5%
IV Rank	36.4%	24.4%	51.8%	32.0%	30.4%
IV Percentile	57.5%	36.1%	84.9%	50.0%	49.6%
Term Structure	0.3%	-0.9%	0.9%	0.0%	0.9%
VWIV	8.0%	6.1%	9.2%	8.0%	8.0%
Skew 25d	2.7%	0.5%	5.8%	0.5%	4.3%
Skew 10d	3.2%	0.3%	11.8%	0.5%	11.8%
Call IV 25d	5.3%	4.1%	6.0%	4.8%	5.4%
Put IV 25d	8.0%	5.2%	10.4%	5.3%	9.7%
Bid-Ask Spread %	92.04	81.69	104.21	98.65	103.41
Gamma HHI	0.34	0.22	0.45	0.22	0.45
Net GEX	-1.3M	-1.8M	-508.2K	-1.2M	-508.2K
Net DEX	1.7M	847.5K	2.6M	1.7M	1.0M
Net VEX	-19.5K	-22.7K	-14.9K	-14.9K	-17.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.42	0.45	6.30	0.88	0.50
Total Volume	47.952	0	188	188	30
Total OI	2,085.762	1,644	2,282	1,644	2,209

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
2012-10-01	$111.67	$113.00	5.9%	1.7%	3.3%	32.0%	0.0%	0.5%	0.0%	-1.2M	1.7M	-14.9K	0.88	98.65	100	88	190	1,454
2012-10-02	$111.74	$113.00	5.4%	1.5%	3.0%	24.8%	0.0%	0.6%	0.9%	-1.0M	1.1M	-15.9K	0.45	104.21	22	10	290	1,534
2012-10-03	$111.89	$113.00	5.5%	1.6%	2.9%	27.0%	0.0%	1.1%	0.5%	-1.2M	1.1M	-19.1K	0.00	98.92	0	16	312	1,544
2012-10-04	$111.88	$113.00	5.4%	1.6%	2.7%	25.4%	0.0%	0.9%	0.5%	-985.1K	949.2K	-15.7K	1.43	101.90	14	20	312	1,560
2012-10-05	$111.80	$112.00	5.4%	1.8%	2.7%	25.3%	0.0%	1.8%	0.7%	-1.1M	847.5K	-15.5K	0.00	85.72	0	0	326	1,580
2012-10-08	$111.85	$112.00	5.7%	1.8%	2.6%	29.3%	8.0%	1.7%	0.7%	-1.2M	1.2M	-18.4K	0.00	88.68	0	142	326	1,580
2012-10-09	$111.71	$112.00	5.3%	1.8%	2.7%	24.4%	8.2%	2.4%	0.6%	-1.3M	2.1M	-21.2K	0.00	86.07	0	44	326	1,722
2012-10-10	$111.76	$112.00	5.4%	1.9%	2.6%	25.7%	7.7%	1.8%	0.6%	-1.6M	2.1M	-22.4K	5.88	81.69	26	153	326	1,766
2012-10-11	$111.75	$112.00	6.4%	1.8%	2.6%	38.2%	0.0%	3.8%	0.8%	-1.6M	2.2M	-21.8K	0.00	91.96	0	30	328	1,887
2012-10-12	$111.87	$112.00	6.5%	1.9%	2.1%	39.5%	0.0%	2.1%	0.2%	-1.8M	2.1M	-22.7K	0.00	87.85	0	3	328	1,917
2012-10-15	$111.84	$112.00	6.7%	1.9%	2.1%	42.3%	0.0%	2.1%	0.5%	-1.7M	2.0M	-20.7K	0.00	86.22	0	5	328	1,917
2012-10-16	$111.93	$112.00	6.4%	1.8%	2.1%	38.0%	9.1%	2.9%	0.2%	-1.8M	2.1M	-22.2K	0.00	87.12	0	8	328	1,920
2012-10-17	$111.65	$112.00	6.8%	2.0%	2.2%	43.6%	7.3%	2.2%	0.5%	-1.6M	2.6M	-21.9K	0.00	88.51	0	17	328	1,926
2012-10-18	$111.67	$112.00	6.8%	2.0%	2.2%	43.4%	0.0%	2.8%	0.4%	-1.7M	2.4M	-20.3K	1.50	87.61	20	30	328	1,943
2012-10-19	$111.70	$112.00	6.8%	2.0%	2.1%	43.4%	7.4%	3.4%	0.4%	-1.6M	2.1M	-20.2K	6.30	87.11	10	63	348	1,934
2012-10-22	$111.77	$112.00	6.9%	2.0%	2.1%	44.0%	8.6%	3.0%	-0.0%	-1.1M	1.5M	-19.7K	0.00	90.66	0	55	358	1,704
2012-10-23	$111.85	$112.00	7.5%	2.1%	2.0%	51.8%	0.0%	4.8%	-0.9%	-941.2K	1.7M	-20.3K	0.00	93.20	0	1	358	1,759
2012-10-24	$111.82	$112.00	7.5%	2.1%	1.9%	51.7%	9.2%	4.0%	-0.7%	-958.9K	1.7M	-20.0K	0.00	91.36	0	73	358	1,760
2012-10-25	$111.86	$112.00	6.7%	1.9%	1.9%	41.8%	6.1%	4.5%	0.2%	-1.1M	1.8M	-20.3K	0.50	94.06	10	5	358	1,832
2012-10-26	$112.00	$112.00	6.8%	1.9%	1.8%	43.1%	0.0%	5.8%	-0.5%	-1.1M	1.5M	-19.2K	0.00	97.96	0	12	368	1,829
2012-10-31	$112.25	$112.00	5.8%	1.7%	1.6%	30.4%	8.0%	4.3%	0.9%	-508.2K	1.0M	-17.6K	0.00	103.41	0	30	368	1,841