MUB Options History — March 2013

In March 2013, MUB traded between $109.63 and $111.85. ATM implied volatility averaged 4.5%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.6% (HV 20d: 2.9%). Max pain ranged from $110.00 to $113.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 5.24.

Notable Days

2013-03-13: Highest Volume — 407 contracts
2013-03-11: Largest IV spike — 37.7% change
2013-03-21: Highest IV Rank — 34.2%
2013-03-11: Largest Expected Move — 1.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.34	$109.63	$111.85	$111.85	$110.17
Max Pain	$111.55	$110.00	$113.00	$113.00	$110.00
ATM IV	4.5%	3.5%	5.2%	3.6%	3.8%
Expected Move	1.4%	1.0%	1.6%	1.0%	1.1%
HV 20d	2.9%	2.0%	3.3%	2.1%	3.3%
HV 60d	4.2%	3.6%	4.9%	4.7%	3.6%
IV Rank	22.5%	7.8%	34.2%	9.1%	13.4%
IV Percentile	18.7%	1.6%	38.5%	3.2%	6.0%
Term Structure	0.7%	-0.1%	1.6%	1.6%	1.1%
VWIV	5.0%	2.7%	6.1%	5.4%	2.7%
Skew 25d	1.6%	0.4%	2.4%	0.4%	2.3%
Skew 10d	1.6%	0.3%	4.6%	0.7%	4.6%
Call IV 25d	4.1%	3.4%	5.1%	3.4%	3.4%
Put IV 25d	5.7%	3.8%	6.0%	3.8%	5.7%
Bid-Ask Spread %	97.22	91.56	105.58	105.58	104.94
Gamma HHI	0.33	0.20	0.63	0.46	0.21
Net GEX	-1.9M	-7.2M	-207.2K	-7.2M	-296.7K
Net DEX	7.8M	3.7M	15.3M	5.6M	4.2M
Net VEX	-17.3K	-25.6K	-12.3K	-22.4K	-16.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.24	0.00	23.89	0.33	0.00
Total Volume	51.4	0	407	9	1
Total OI	1,921.95	1,409	2,430	2,274	1,506

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
2013-03-01	$111.85	$113.00	3.6%	1.0%	2.1%	9.1%	0.0%	0.4%	1.6%	-7.2M	5.6M	-22.4K	0.00	105.58	0	9	357	1,917
2013-03-04	$111.74	$113.00	4.9%	1.5%	2.1%	27.5%	0.0%	1.9%	0.5%	-4.1M	6.6M	-25.6K	0.00	100.54	0	0	357	1,926
2013-03-05	$111.70	$113.00	3.8%	1.5%	2.0%	11.4%	0.0%	1.7%	0.7%	-6.9M	6.9M	-23.2K	0.00	94.95	0	0	357	1,926
2013-03-06	$111.36	$113.00	4.1%	1.6%	2.2%	16.9%	0.0%	0.5%	0.3%	-4.1M	8.2M	-22.6K	0.00	99.99	0	0	357	1,926
2013-03-07	$110.92	$113.00	4.4%	1.5%	2.5%	20.2%	0.0%	1.1%	0.3%	-4.5M	11.3M	-18.6K	0.33	95.50	30	10	357	1,926
2013-03-08	$110.33	$113.00	3.5%	1.6%	3.0%	7.8%	0.0%	1.3%	-0.1%	-2.8M	12.5M	-17.7K	0.00	96.29	0	1	387	1,932
2013-03-11	$110.03	$113.00	4.8%	1.6%	2.9%	26.8%	5.4%	0.8%	0.4%	-1.4M	14.4M	-13.9K	3.45	93.45	20	69	387	1,933
2013-03-12	$110.12	$113.00	4.3%	1.6%	2.9%	19.5%	0.0%	0.9%	0.4%	-953.2K	14.8M	-14.6K	1.05	93.48	20	21	397	1,995
2013-03-13	$109.88	$113.00	4.3%	1.6%	2.9%	20.0%	0.0%	1.1%	0.5%	-1.4M	14.7M	-15.2K	0.00	91.56	0	407	417	2,013
2013-03-14	$109.63	$113.00	5.1%	1.5%	3.0%	30.6%	4.7%	1.7%	0.9%	-769.1K	15.3M	-13.9K	23.89	94.24	9	215	417	2,013
2013-03-15	$109.79	$111.00	5.1%	1.5%	3.0%	30.4%	5.1%	1.9%	0.8%	-720.2K	11.4M	-17.3K	4.10	95.92	10	41	426	1,721
2013-03-18	$109.81	$110.00	4.9%	1.4%	3.1%	27.6%	5.7%	2.3%	1.0%	-340.0K	3.8M	-18.4K	13.50	92.37	2	27	416	993
2013-03-19	$109.99	$110.00	4.8%	1.4%	3.1%	28.5%	6.1%	2.4%	0.8%	-361.6K	3.9M	-15.8K	0.00	98.44	0	6	418	1,014
2013-03-20	$109.88	$110.00	4.9%	1.4%	3.1%	29.4%	0.0%	2.1%	0.8%	-336.2K	3.7M	-16.6K	0.50	97.34	10	5	418	1,010
2013-03-21	$109.79	$110.00	5.2%	1.5%	3.0%	34.2%	0.0%	2.0%	0.5%	-322.6K	3.8M	-16.7K	0.00	96.78	0	0	428	1,015
2013-03-22	$110.10	$110.00	4.8%	1.4%	3.3%	28.2%	0.0%	2.2%	0.3%	-365.9K	4.0M	-14.4K	0.00	98.09	0	1	428	1,015
2013-03-25	$109.91	$110.00	4.5%	1.3%	3.3%	22.6%	0.0%	2.1%	1.0%	-329.8K	3.8M	-16.4K	0.00	98.11	0	0	428	1,016
2013-03-26	$109.92	$110.00	4.4%	1.3%	3.3%	21.6%	2.7%	2.3%	1.0%	-327.2K	4.1M	-13.7K	0.33	96.33	3	1	428	1,016
2013-03-27	$109.97	$110.00	4.5%	1.3%	3.2%	24.3%	0.0%	1.0%	1.0%	-207.2K	3.9M	-12.3K	0.00	100.50	110	0	429	1,017
2013-03-28	$110.17	$110.00	3.8%	1.1%	3.3%	13.4%	0.0%	2.3%	1.1%	-296.7K	4.2M	-16.0K	0.00	104.94	0	1	489	1,017