MUB Options History — February 2013

In February 2013, MUB traded between $111.42 and $112.04. ATM implied volatility averaged 5.1%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 2.4% (HV 20d: 2.7%). Max pain ranged from $112.00 to $114.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 8.25.

Notable Days

2013-02-14: Highest Volume — 1,115 contracts
2013-02-25: Largest IV drop — 19.1% change
2013-02-19: Highest IV Rank — 34.0%
2013-02-19: Largest Expected Move — 1.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.69	$111.42	$112.04	$111.70	$111.89
Max Pain	$113.26	$112.00	$114.00	$114.00	$113.00
ATM IV	5.1%	3.8%	5.8%	4.9%	3.8%
Expected Move	1.5%	1.1%	1.7%	1.6%	1.1%
HV 20d	2.7%	2.0%	2.9%	2.9%	2.1%
HV 60d	4.9%	4.8%	5.2%	5.2%	4.8%
IV Rank	25.5%	10.3%	34.0%	23.1%	10.3%
IV Percentile	31.1%	4.4%	55.2%	23.4%	4.4%
Term Structure	0.7%	-0.3%	1.9%	0.7%	0.7%
VWIV	5.1%	4.1%	6.0%	5.6%	4.1%
Skew 25d	1.2%	-0.2%	1.9%	1.8%	-0.2%
Skew 10d	1.0%	0.3%	2.5%	0.5%	0.4%
Call IV 25d	4.1%	3.1%	4.8%	4.0%	3.7%
Put IV 25d	5.3%	3.6%	6.1%	5.9%	3.6%
Bid-Ask Spread %	102.72	98.26	107.02	99.54	105.61
Gamma HHI	0.39	0.28	0.50	0.28	0.48
Net GEX	-2.3M	-6.2M	-588.8K	-701.3K	-6.2M
Net DEX	5.0M	1.7M	9.7M	2.5M	4.9M
Net VEX	-21.3K	-29.1K	-16.3K	-19.6K	-18.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.25	0.00	36.00	0.00	0.10
Total Volume	86.053	0	1,115	108	11
Total OI	2,150.632	1,957	3,031	1,998	2,283

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
2013-02-01	$111.70	$114.00	4.9%	1.6%	2.9%	23.1%	5.6%	1.8%	0.7%	-701.3K	2.5M	-19.6K	0.00	99.54	0	108	397	1,601
2013-02-04	$111.90	$114.00	5.3%	1.6%	2.9%	27.8%	0.0%	1.7%	0.6%	-600.2K	1.9M	-17.0K	0.00	100.34	0	15	397	1,561
2013-02-05	$111.84	$114.00	5.3%	1.6%	2.8%	28.3%	0.0%	1.7%	0.6%	-588.8K	2.0M	-16.6K	0.00	100.42	0	0	397	1,561
2013-02-06	$112.00	$114.00	5.3%	1.5%	2.8%	27.8%	0.0%	1.2%	1.0%	-628.6K	1.7M	-16.3K	0.00	100.82	0	11	397	1,561
2013-02-07	$111.81	$114.00	5.6%	1.6%	2.7%	32.2%	0.0%	1.8%	0.4%	-660.9K	2.2M	-18.0K	0.00	105.96	0	0	397	1,560
2013-02-08	$112.04	$114.00	5.5%	1.6%	2.8%	31.2%	0.0%	0.6%	0.2%	-695.5K	2.0M	-20.5K	0.00	107.02	0	0	397	1,560
2013-02-11	$111.73	$114.00	5.1%	1.5%	2.8%	26.1%	0.0%	1.8%	1.7%	-952.8K	2.3M	-17.2K	0.00	98.26	0	0	397	1,560
2013-02-12	$111.66	$114.00	5.3%	1.5%	2.8%	28.5%	5.0%	1.1%	0.8%	-709.8K	2.4M	-16.6K	0.00	100.67	30	0	397	1,560
2013-02-13	$111.66	$112.00	5.0%	1.4%	2.8%	24.9%	0.0%	1.5%	1.2%	-694.9K	2.5M	-16.4K	0.00	105.28	20	0	407	1,560
2013-02-14	$111.43	$112.00	5.5%	1.6%	2.9%	31.5%	5.7%	0.9%	0.3%	-615.9K	2.8M	-17.1K	0.00	103.83	0	1,115	427	1,560
2013-02-15	$111.42	$112.00	5.5%	1.6%	2.9%	31.4%	4.8%	0.8%	0.5%	-3.5M	9.7M	-29.1K	0.00	103.66	0	49	427	2,604
2013-02-19	$111.45	$113.00	5.8%	1.7%	2.8%	34.0%	6.0%	1.7%	-0.3%	-3.6M	9.1M	-27.8K	20.00	102.33	2	40	330	1,934
2013-02-20	$111.48	$113.00	5.5%	1.6%	2.8%	31.2%	4.6%	1.6%	0.1%	-3.7M	8.9M	-26.2K	36.00	100.85	1	36	332	1,963
2013-02-21	$111.62	$113.00	4.9%	1.4%	2.8%	23.9%	5.4%	1.5%	0.6%	-3.8M	8.2M	-25.9K	6.65	99.07	17	113	333	1,946
2013-02-22	$111.59	$113.00	4.9%	1.4%	2.7%	23.9%	0.0%	0.6%	1.2%	-3.8M	8.2M	-26.9K	0.00	102.97	0	0	350	1,905
2013-02-25	$111.55	$113.00	4.0%	1.1%	2.5%	12.5%	0.0%	0.6%	0.7%	-4.1M	8.5M	-23.2K	0.79	104.41	24	19	350	1,905
2013-02-26	$111.61	$113.00	4.6%	1.3%	2.0%	20.1%	0.0%	1.0%	1.2%	-4.0M	7.9M	-23.8K	0.00	105.21	0	0	366	1,907
2013-02-27	$111.81	$113.00	4.2%	1.2%	2.1%	15.4%	0.0%	1.9%	1.9%	-4.3M	8.0M	-27.2K	2.43	105.42	7	17	366	1,907
2013-02-28	$111.89	$113.00	3.8%	1.1%	2.1%	10.3%	4.1%	-0.2%	0.7%	-6.2M	4.9M	-18.7K	0.10	105.61	10	1	366	1,917