MUB Options History — April 2013

In April 2013, MUB traded between $110.16 and $111.85. ATM implied volatility averaged 4.4%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 1.9% (HV 20d: 2.5%). Max pain ranged from $110.00 to $111.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 4.13.

Notable Days

  • 2013-04-16: Highest Volume — 62 contracts
  • 2013-04-03: Largest IV drop — 21.1% change
  • 2013-04-17: Highest IV Rank — 37.4%
  • 2013-04-09: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.18$110.16$111.85$110.16$111.85
Max Pain$110.82$110.00$111.00$110.00$111.00
ATM IV4.4%3.4%5.4%4.5%3.9%
Expected Move1.3%1.0%1.6%1.3%1.1%
HV 20d2.5%1.9%3.5%3.3%1.9%
HV 60d2.8%2.6%2.9%2.8%2.6%
IV Rank22.5%6.2%37.4%23.6%14.5%
IV Percentile22.6%0.4%59.1%17.5%8.7%
Term Structure1.0%0.3%1.9%0.5%0.7%
VWIV4.1%2.0%5.6%4.4%4.5%
Skew 25d1.3%-0.3%3.0%1.4%0.6%
Skew 10d1.5%0.1%7.7%4.5%0.1%
Call IV 25d3.6%2.2%5.4%3.6%3.4%
Put IV 25d4.9%3.6%6.4%5.0%4.1%
Bid-Ask Spread %64.2317.11105.44102.1417.11
Gamma HHI0.300.180.540.180.54
Net GEX-20.9K-472.3K637.0K-472.3K637.0K
Net DEX1.6M112.8K3.6M3.6M112.8K
Net VEX-15.1K-17.1K-11.7K-15.4K-12.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.130.0028.5028.500.00
Total Volume15.727062010
Total OI1,530.5911,4931,5721,5061,504

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$110.16$110.004.5%1.3%3.3%23.6%0.0%1.4%0.5%-472.3K3.6M-15.4K0.00102.14004891,017
2013-04-02$110.39$110.004.3%1.2%3.4%19.9%4.4%0.9%0.8%-385.8K3.0M-15.6K28.50104.692574891,017
2013-04-03$110.56$110.003.4%1.0%3.5%6.2%0.0%1.4%1.9%-202.8K3.0M-15.7K0.00105.440204911,025
2013-04-04$110.64$110.003.4%1.0%3.4%7.0%0.0%1.4%0.9%-193.8K2.8M-16.5K0.00103.831004911,025
2013-04-05$110.97$111.003.8%1.5%3.3%13.4%0.0%0.7%0.9%-134.6K2.1M-16.1K13.3395.683405011,025
2013-04-08$111.12$111.004.3%1.6%2.7%19.6%5.3%3.0%0.5%-166.9K1.6M-16.7K2.0097.055105011,048
2013-04-09$110.88$111.004.2%1.6%2.6%19.3%0.0%1.7%0.6%-176.6K1.9M-16.6K0.0098.21005061,051
2013-04-10$110.83$111.004.3%1.5%2.6%20.7%5.6%2.0%1.4%-225.6K2.2M-15.6K0.0097.86065061,051
2013-04-11$111.05$111.004.3%1.2%2.5%21.0%0.0%1.8%1.8%-163.3K1.8M-15.3K0.0098.35005061,052
2013-04-12$111.19$111.004.7%1.3%2.3%25.9%0.0%1.9%1.6%-67.3K1.6M-15.2K0.0095.65005061,052
2013-04-15$111.17$111.005.3%1.5%2.3%36.3%5.3%-0.3%0.7%-212.4K1.6M-16.8K0.0098.451005061,052
2013-04-16$111.25$111.005.3%1.5%2.3%35.2%2.0%2.5%0.9%-70.7K1.5M-16.0K0.1931.0452105061,052
2013-04-17$111.45$111.005.4%1.6%2.3%37.4%0.0%0.9%0.7%-64.4K1.2M-17.1K0.0041.95005181,052
2013-04-18$111.57$111.004.8%1.4%2.2%27.9%0.0%1.3%1.3%135.6K574.6K-14.8K0.0036.12205181,052
2013-04-19$111.50$111.005.2%1.5%2.2%34.3%5.3%0.9%0.7%102.4K600.6K-14.4K0.0035.450265201,052
2013-04-22$111.40$111.005.1%1.5%2.1%32.5%0.0%1.1%0.3%147.1K1.1M-13.7K5.0026.062104871,006
2013-04-23$111.45$111.004.8%1.4%1.9%27.7%0.0%0.7%0.6%142.8K1.1M-14.0K0.0037.57104821,011
2013-04-24$111.40$111.004.9%1.4%2.0%29.7%2.1%1.4%0.4%93.0K1.2M-14.1K0.5026.1720104831,011
2013-04-25$111.57$111.003.9%1.1%2.0%14.4%3.3%0.5%1.7%171.2K1.0M-14.1K0.0021.912004831,021
2013-04-26$111.72$111.003.6%1.0%2.0%10.5%3.1%1.1%1.7%267.2K772.3K-14.6K0.0020.972004831,021
2013-04-29$111.77$111.004.1%1.2%2.0%17.1%0.0%0.9%1.2%379.8K344.0K-11.7K0.0021.45004831,021
2013-04-30$111.85$111.003.9%1.1%1.9%14.5%4.5%0.6%0.7%637.0K112.8K-12.6K0.0017.110104831,021