MUB Options History — December 2012

In December 2012, MUB traded between $109.79 and $113.67. ATM implied volatility averaged 6.7%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 1.5% (HV 20d: 5.2%). Max pain ranged from $110.00 to $114.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 11.28.

Notable Days

2012-12-17: Highest Volume — 644 contracts
2012-12-14: Largest IV spike — 22.1% change
2012-12-18: Highest IV Rank — 78.4%
2012-12-18: Largest Expected Move — 2.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.74	$109.79	$113.67	$113.67	$110.64
Max Pain	$112.15	$110.00	$114.00	$114.00	$111.00
ATM IV	6.7%	4.8%	9.5%	5.4%	7.0%
Expected Move	1.9%	1.4%	2.7%	1.5%	2.0%
HV 20d	5.2%	3.6%	6.3%	4.1%	6.2%
HV 60d	3.8%	3.0%	4.6%	3.1%	4.6%
IV Rank	41.9%	17.3%	78.4%	24.9%	45.4%
IV Percentile	67.1%	20.6%	98.0%	39.3%	73.4%
Term Structure	0.1%	-1.4%	0.9%	0.1%	0.2%
VWIV	7.3%	3.7%	9.6%	5.3%	7.5%
Skew 25d	1.5%	-0.5%	2.6%	1.8%	2.3%
Skew 10d	2.8%	0.3%	6.1%	2.0%	2.5%
Call IV 25d	6.0%	3.7%	8.0%	5.0%	5.9%
Put IV 25d	7.5%	4.6%	10.0%	6.8%	8.3%
Bid-Ask Spread %	94.44	79.57	105.02	102.26	96.99
Gamma HHI	0.23	0.17	0.30	0.17	0.29
Net GEX	-640.3K	-952.3K	-356.0K	-584.5K	-505.8K
Net DEX	2.2M	-12.4K	6.4M	-12.4K	2.4M
Net VEX	-17.2K	-24.0K	-10.4K	-11.9K	-21.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	11.28	0.00	113.00	1.69	5.00
Total Volume	109.55	0	644	70	12
Total OI	1,821.1	1,397	2,502	1,434	2,164

Daily Data (20 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
2012-12-03	$113.67	$114.00	5.4%	1.5%	4.1%	24.9%	5.3%	1.8%	0.1%	-584.5K	-12.4K	-11.9K	1.69	102.26	26	44	280	1,154
2012-12-04	$113.32	$114.00	6.0%	1.7%	4.3%	33.5%	0.0%	0.6%	0.0%	-719.4K	815.9K	-14.0K	0.00	105.02	0	10	260	1,137
2012-12-05	$113.36	$114.00	5.9%	1.7%	4.3%	32.3%	0.0%	-0.3%	0.2%	-643.1K	326.8K	-10.4K	0.00	104.21	11	0	260	1,147
2012-12-06	$113.36	$114.00	5.8%	1.7%	4.3%	29.9%	0.0%	-0.5%	0.3%	-636.4K	604.9K	-13.0K	0.00	103.83	0	11	271	1,147
2012-12-07	$113.22	$113.00	5.6%	1.7%	4.3%	28.3%	0.0%	1.4%	0.0%	-672.7K	711.8K	-13.0K	0.00	94.88	0	33	271	1,158
2012-12-10	$113.16	$113.00	5.6%	1.7%	4.1%	27.5%	0.0%	1.3%	0.1%	-710.8K	851.6K	-13.4K	0.00	93.61	0	0	271	1,187
2012-12-11	$112.86	$113.00	5.6%	1.7%	3.9%	28.0%	6.0%	1.0%	0.1%	-741.4K	1.2M	-12.8K	0.00	97.63	0	12	271	1,187
2012-12-12	$112.67	$113.00	4.8%	1.4%	4.0%	17.3%	8.1%	2.5%	0.9%	-850.8K	1.6M	-12.8K	113.00	95.64	1	113	271	1,195
2012-12-13	$112.36	$113.00	5.8%	1.6%	3.6%	29.7%	0.0%	2.6%	0.5%	-952.3K	2.2M	-12.7K	0.00	97.66	0	5	270	1,303
2012-12-14	$111.05	$113.00	7.0%	2.0%	5.0%	46.1%	0.0%	1.7%	-0.2%	-749.7K	4.1M	-15.9K	16.13	100.33	8	129	270	1,308
2012-12-17	$110.15	$113.00	8.1%	2.3%	5.6%	59.7%	7.9%	1.9%	-0.1%	-706.9K	5.0M	-14.7K	1.23	87.73	289	355	269	1,321
2012-12-18	$109.79	$111.00	9.5%	2.7%	5.5%	78.4%	9.6%	2.0%	-1.4%	-799.7K	6.4M	-21.4K	1.06	83.71	216	229	558	1,618
2012-12-19	$110.60	$110.00	8.0%	2.3%	6.2%	58.4%	8.3%	1.7%	-0.5%	-356.0K	3.5M	-23.5K	0.33	79.57	145	48	764	1,738
2012-12-20	$110.84	$110.00	7.6%	2.2%	6.3%	53.3%	8.5%	1.3%	0.4%	-446.2K	2.8M	-24.0K	0.94	84.78	93	87	740	1,728
2012-12-21	$110.82	$110.00	7.4%	2.1%	6.3%	51.0%	9.5%	1.9%	0.5%	-773.6K	3.6M	-23.6K	2.13	85.29	38	81	658	1,764
2012-12-24	$110.92	$111.00	7.2%	2.1%	6.3%	49.0%	3.7%	2.4%	0.5%	-509.1K	1.9M	-19.8K	1.00	95.20	10	10	597	1,476
2012-12-26	$110.77	$111.00	7.2%	2.1%	6.3%	48.0%	5.6%	2.0%	0.6%	-499.5K	1.9M	-21.0K	0.91	86.35	64	58	602	1,486
2012-12-27	$110.81	$111.00	7.0%	2.0%	6.3%	45.4%	8.1%	1.8%	0.7%	-471.0K	2.0M	-22.4K	3.27	96.01	11	36	646	1,517
2012-12-28	$110.42	$111.00	7.5%	2.1%	6.2%	52.1%	0.0%	0.8%	0.2%	-477.2K	2.8M	-23.6K	0.00	98.12	0	6	647	1,511
2012-12-31	$110.64	$111.00	7.0%	2.0%	6.2%	45.4%	7.5%	2.3%	0.2%	-505.8K	2.4M	-21.1K	5.00	96.99	2	10	647	1,517