MUB Options History — January 2013

In January 2013, MUB traded between $111.45 and $112.61. ATM implied volatility averaged 5.3%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded below realized volatility by 0.6% (HV 20d: 5.9%). Max pain ranged from $111.00 to $112.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.75.

Notable Days

2013-01-02: Highest Volume — 281 contracts
2013-01-31: Largest IV drop — 38.5% change
2013-01-15: Highest IV Rank — 36.0%
2013-01-04: Largest Expected Move — 1.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$112.05	$111.45	$112.61	$111.80	$111.54
Max Pain	$111.33	$111.00	$112.00	$111.00	$112.00
ATM IV	5.3%	3.0%	6.2%	5.2%	3.0%
Expected Move	1.6%	0.8%	1.8%	1.5%	0.8%
HV 20d	5.9%	2.9%	7.6%	7.4%	2.9%
HV 60d	5.1%	5.0%	5.2%	5.0%	5.2%
IV Rank	23.8%	0.0%	36.0%	22.3%	0.0%
IV Percentile	35.4%	0.0%	59.9%	27.8%	0.0%
Term Structure	0.7%	-0.1%	1.6%	0.5%	1.6%
VWIV	6.1%	3.5%	11.0%	3.6%	3.5%
Skew 25d	1.1%	-0.5%	4.0%	1.7%	4.0%
Skew 10d	2.2%	-1.5%	13.2%	5.5%	13.2%
Call IV 25d	4.9%	3.5%	6.2%	5.0%	3.5%
Put IV 25d	6.0%	4.7%	7.6%	6.7%	7.5%
Bid-Ask Spread %	100.18	91.12	104.90	102.37	104.80
Gamma HHI	0.34	0.23	0.57	0.57	0.23
Net GEX	-70.4K	-597.2K	791.5K	791.5K	-597.2K
Net DEX	168.0K	-1.3M	3.1M	-1.0M	2.2M
Net VEX	-17.0K	-22.0K	-14.2K	-16.5K	-18.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.75	0.00	9.20	0.47	0.00
Total Volume	57.905	0	281	281	1
Total OI	2,133.476	1,651	2,400	2,169	2,039

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
2013-01-02	$111.80	$111.00	5.2%	1.5%	7.4%	22.3%	3.6%	1.7%	0.5%	791.5K	-1.0M	-16.5K	0.47	102.37	191	90	647	1,522
2013-01-03	$111.82	$111.00	5.7%	1.6%	7.4%	28.4%	0.0%	-0.1%	0.3%	-171.2K	-450.7K	-15.4K	0.82	104.90	33	27	589	1,593
2013-01-04	$111.57	$111.00	5.3%	1.8%	7.4%	23.6%	8.2%	1.4%	0.6%	-173.0K	125.6K	-19.2K	5.75	91.12	8	46	621	1,595
2013-01-07	$111.76	$111.00	4.2%	1.7%	7.4%	9.7%	0.0%	0.7%	0.6%	680.9K	-514.4K	-17.3K	0.32	97.91	19	6	616	1,605
2013-01-08	$111.96	$111.00	5.1%	1.7%	7.5%	21.0%	7.6%	1.2%	1.0%	432.7K	-573.6K	-16.8K	9.20	97.01	10	92	597	1,611
2013-01-09	$112.23	$111.00	4.6%	1.7%	7.6%	14.5%	0.0%	1.7%	0.8%	108.5K	-1.0M	-14.5K	0.00	96.78	20	0	587	1,687
2013-01-10	$112.16	$111.00	5.9%	1.7%	7.5%	31.2%	11.0%	1.1%	0.9%	109.7K	-749.0K	-14.2K	0.81	98.78	48	39	574	1,687
2013-01-11	$112.42	$111.00	6.0%	1.7%	7.6%	33.1%	0.0%	1.5%	0.8%	-143.1K	-1.0M	-16.0K	0.00	101.33	22	0	614	1,720
2013-01-14	$112.42	$111.00	6.0%	1.7%	7.5%	33.4%	6.1%	1.4%	0.7%	-144.7K	-1.2M	-14.3K	0.27	100.59	11	3	603	1,720
2013-01-15	$112.32	$111.00	6.2%	1.8%	6.1%	36.0%	6.3%	1.3%	0.6%	-135.5K	-932.2K	-15.6K	0.00	99.37	0	4	614	1,723
2013-01-16	$112.40	$111.00	6.1%	1.7%	5.2%	33.7%	0.0%	1.0%	0.6%	-87.1K	-1.2M	-15.2K	1.00	101.86	11	11	614	1,722
2013-01-17	$112.42	$111.00	5.8%	1.7%	4.9%	30.1%	0.0%	1.0%	0.8%	-150.7K	-759.1K	-19.0K	0.00	101.86	0	60	625	1,733
2013-01-18	$112.61	$111.00	5.3%	1.5%	4.4%	24.5%	6.0%	1.2%	1.1%	-142.9K	-1.3M	-16.4K	7.00	102.34	5	35	625	1,775
2013-01-22	$112.50	$111.00	5.3%	1.5%	4.4%	23.4%	5.5%	0.8%	0.6%	67.9K	93.0K	-16.6K	5.91	99.76	11	65	440	1,211
2013-01-23	$112.27	$112.00	5.4%	1.5%	4.5%	24.8%	5.6%	-0.2%	0.5%	-91.2K	573.3K	-16.5K	0.00	98.58	0	228	443	1,274
2013-01-24	$112.37	$112.00	5.3%	1.5%	4.5%	23.6%	0.0%	-0.1%	0.5%	-290.9K	614.1K	-15.7K	0.00	99.68	0	0	443	1,492
2013-01-25	$112.00	$112.00	5.5%	1.6%	4.6%	25.8%	5.7%	-0.5%	0.5%	-364.6K	2.2M	-21.5K	0.00	101.73	0	23	443	1,492
2013-01-28	$111.52	$112.00	4.3%	1.2%	5.0%	10.8%	0.0%	0.4%	1.4%	-459.5K	2.9M	-22.0K	0.00	102.52	0	5	443	1,515
2013-01-29	$111.45	$112.00	5.9%	1.7%	4.8%	31.4%	4.6%	2.1%	-0.1%	-298.2K	2.5M	-17.0K	7.00	98.12	5	35	443	1,519
2013-01-30	$111.50	$112.00	4.8%	1.4%	4.7%	17.5%	0.0%	1.0%	0.9%	-419.7K	3.1M	-19.7K	0.00	102.40	0	52	438	1,549
2013-01-31	$111.54	$112.00	3.0%	0.8%	2.9%	0.0%	3.5%	4.0%	1.6%	-597.2K	2.2M	-18.1K	0.00	104.80	1	0	438	1,601