MUB Options History — November 2012

In November 2012, MUB traded between $111.97 and $114.07. ATM implied volatility averaged 6.3%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 3.2% (HV 20d: 3.1%). Max pain ranged from $112.00 to $114.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 5.81.

Notable Days

  • 2012-11-05: Highest Volume — 187 contracts
  • 2012-11-28: Largest IV drop — 20.1% change
  • 2012-11-06: Highest IV Rank — 57.2%
  • 2012-11-01: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$113.06$111.97$114.07$111.97$114.07
Max Pain$113.00$112.00$114.00$112.00$114.00
ATM IV6.3%4.6%7.9%7.0%5.4%
Expected Move1.8%1.3%2.0%2.0%1.5%
HV 20d3.1%1.8%4.0%1.9%3.8%
HV 60d2.8%2.4%3.2%2.5%3.0%
IV Rank37.0%15.0%57.2%45.3%24.8%
IV Percentile58.4%13.5%90.5%71.4%38.1%
Term Structure0.1%-0.7%0.8%-0.1%0.6%
VWIV6.5%5.2%8.7%6.6%5.4%
Skew 25d2.6%0.1%5.5%2.6%3.3%
Skew 10d4.1%0.3%9.6%2.0%7.3%
Call IV 25d5.0%3.7%6.1%5.8%4.8%
Put IV 25d7.6%5.7%9.2%8.4%8.1%
Bid-Ask Spread %93.1079.75107.58101.94107.58
Gamma HHI0.280.160.560.470.18
Net GEX-314.9K-1.1M514.8K-1.1M-316.0K
Net DEX-106.7K-2.1M817.4K656.7K-914.9K
Net VEX-14.6K-19.3K-9.8K-14.8K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.810.0031.000.300.33
Total Volume47.714018718
Total OI2,012.0481,2902,6562,2231,476

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$111.97$112.007.0%2.0%1.9%45.3%0.0%2.6%-0.1%-1.1M656.7K-14.8K0.00101.94013521,871
2012-11-02$112.01$112.006.7%1.9%1.8%41.7%6.6%1.9%0.5%-899.2K532.0K-14.4K0.30106.581033521,872
2012-11-05$112.17$112.007.8%2.0%1.9%56.5%0.0%2.5%-0.6%-822.9K378.6K-14.9K16.0085.49111763621,875
2012-11-06$112.23$112.007.9%1.9%1.9%57.2%6.8%3.8%-0.3%-883.2K817.4K-18.2K0.1989.17105203522,051
2012-11-07$112.53$112.007.7%1.9%2.0%54.4%8.3%5.5%-0.1%-522.3K186.6K-17.5K0.4085.6450204572,071
2012-11-08$112.60$112.006.5%1.9%2.0%39.9%0.0%1.8%0.2%-455.4K-236.5K-18.5K0.0079.759004532,091
2012-11-09$113.06$112.006.4%1.9%2.4%37.7%7.2%1.4%0.3%514.8K-1.5M-12.3K1.7683.3625444272,091
2012-11-12$113.48$112.006.6%1.9%2.6%40.3%0.0%2.3%0.0%507.4K-2.1M-9.8K1.0091.4311114302,102
2012-11-13$113.39$112.006.1%1.8%2.6%34.3%6.3%3.1%0.2%318.8K-1.7M-10.5K0.0093.250744192,113
2012-11-14$112.76$113.006.0%2.0%3.4%32.9%8.7%4.3%0.2%33.9K-269.9K-13.9K0.0091.340564192,179
2012-11-15$113.32$113.006.9%2.0%3.8%44.6%7.8%2.3%-0.2%158.4K-646.1K-14.7K2.0087.225104192,232
2012-11-16$112.97$113.006.9%2.0%3.9%44.7%6.8%2.3%-0.0%-117.9K409.4K-19.3K0.9384.0940374192,237
2012-11-19$113.23$114.005.7%1.6%3.9%29.3%5.8%3.4%0.4%-274.4K531.0K-16.8K13.6793.94341303987
2012-11-20$113.44$114.005.8%1.6%3.9%29.6%5.6%1.4%0.3%-334.7K203.2K-14.5K19.0088.362383061,028
2012-11-21$113.42$114.005.9%1.7%3.9%31.0%5.4%2.0%0.1%-414.9K712.9K-17.5K8.0093.43183081,060
2012-11-23$113.41$114.005.9%1.7%4.0%32.1%5.9%3.2%0.2%-206.6K89.9K-13.0K1.00100.25113091,068
2012-11-26$113.47$114.005.9%1.7%3.9%31.9%5.9%3.6%0.3%-366.1K388.2K-14.3K31.0099.292623101,068
2012-11-27$113.40$114.005.8%1.7%4.0%29.9%0.0%1.5%0.4%-413.2K508.8K-14.7K2.2097.2910223121,128
2012-11-28$113.55$114.004.6%1.3%4.0%15.0%0.0%0.1%-0.7%-503.3K-225.0K-12.3K0.0099.25003221,150
2012-11-29$113.84$114.005.2%1.5%4.0%23.0%5.2%1.7%0.8%-471.9K-83.6K-14.5K1.0096.53223221,150
2012-11-30$114.07$114.005.4%1.5%3.8%24.8%5.4%3.3%0.6%-316.0K-914.9K-10.2K0.33107.58623241,152