MUB Options History — May 2013

In May 2013, MUB traded between $108.19 and $111.83. ATM implied volatility averaged 4.5%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.9% (HV 20d: 2.5%). Max pain ranged from $112.00 to $112.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.39.

Notable Days

  • 2013-05-31: Highest Volume — 469 contracts
  • 2013-05-16: Largest IV spike — 40.4% change
  • 2013-05-31: Highest IV Rank — 67.6%
  • 2013-05-31: Largest Expected Move — 2.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.72$108.19$111.83$111.69$108.19
Max Pain$112.00$112.00$112.00$112.00$112.00
ATM IV4.5%3.2%7.4%3.9%7.4%
Expected Move1.4%0.9%2.1%1.1%2.1%
HV 20d2.5%1.8%4.9%2.0%4.9%
HV 60d2.8%2.6%3.9%2.6%3.9%
IV Rank23.1%3.8%67.6%14.9%67.6%
IV Percentile27.4%0.4%95.6%9.5%95.6%
Term Structure0.6%-0.3%2.6%1.1%0.2%
VWIV4.6%2.2%7.3%3.4%7.3%
Skew 25d1.4%-0.0%2.5%0.9%0.2%
Skew 10d1.3%0.4%3.0%1.5%0.8%
Call IV 25d3.9%2.2%7.1%3.4%7.1%
Put IV 25d5.3%3.0%7.3%4.3%7.3%
Bid-Ask Spread %38.3420.3552.3824.4948.22
Gamma HHI0.350.190.660.370.33
Net GEX-514.1K-1.3M48.4K-34.3K-1.3M
Net DEX2.9M870.0K8.0M1.2M8.0M
Net VEX-11.9K-22.4K-9.8K-11.3K-22.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.390.0015.500.0015.50
Total Volume84.504690469
Total OI1,265.8187771,6191,3411,619

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$111.69$112.003.9%1.1%2.0%14.9%0.0%0.9%1.1%-34.3K1.2M-11.3K0.0024.49003301,011
2013-05-02$111.83$112.003.3%0.9%2.0%5.0%3.4%-0.0%1.8%48.4K870.0K-10.6K0.0020.352003301,011
2013-05-03$111.62$112.003.2%0.9%2.0%3.8%0.0%1.7%2.6%-111.4K1.3M-10.7K0.0023.1401013301,011
2013-05-06$111.49$112.003.8%1.5%2.0%12.6%0.0%2.0%0.5%-216.1K1.6M-10.3K0.0048.552003301,012
2013-05-07$111.30$112.003.9%1.5%1.9%14.6%0.0%1.5%0.3%-380.3K2.0M-9.9K0.0042.070103301,012
2013-05-08$111.30$112.004.0%1.5%1.9%15.5%4.9%1.5%0.4%-469.3K1.9M-10.0K0.5937.3654323301,022
2013-05-09$111.20$112.003.5%1.5%1.8%7.5%4.0%1.6%0.4%-503.6K2.1M-11.1K0.0035.552003841,052
2013-05-10$110.78$112.003.6%1.5%2.2%9.3%5.6%1.3%0.6%-807.3K2.9M-10.4K0.0034.020244041,052
2013-05-13$110.90$112.004.3%1.4%2.3%19.9%0.0%1.9%0.7%-819.2K2.6M-10.6K0.0052.380164041,054
2013-05-14$110.99$112.003.3%1.4%2.3%4.6%2.2%2.5%0.7%-1.3M2.4M-10.2K0.0038.452004041,064
2013-05-15$110.98$112.003.4%1.4%2.2%7.0%2.2%2.2%0.6%-458.7K2.5M-11.5K0.0031.462004241,064
2013-05-16$111.18$112.004.8%1.4%2.2%28.0%0.0%1.5%0.6%-977.7K2.3M-9.8K0.0047.690354441,064
2013-05-17$110.94$112.004.8%1.4%2.3%27.4%5.1%1.9%0.2%-1.2M2.7M-10.3K0.0032.180404441,089
2013-05-20$110.80$112.004.7%1.3%2.4%26.0%4.3%0.3%0.6%-146.6K2.2M-10.6K0.0044.31014261516
2013-05-21$110.74$112.004.8%1.4%2.3%28.0%0.0%1.1%0.4%-151.9K2.2M-10.4K3.0038.111236261530
2013-05-22$110.60$112.004.7%1.4%2.4%26.9%4.6%1.1%0.5%-177.3K2.5M-9.9K0.0034.2405273546
2013-05-23$110.71$112.004.6%1.3%2.3%24.6%0.0%1.8%0.9%-168.4K2.5M-10.0K0.0033.60030273551
2013-05-24$110.70$112.004.8%1.4%2.2%28.6%0.0%1.7%0.0%-223.8K2.7M-10.8K0.0036.220135273581
2013-05-28$109.61$112.005.0%1.4%4.0%31.0%5.1%0.9%0.5%-423.9K4.1M-12.3K0.0042.140361273683
2013-05-29$109.14$112.006.3%1.8%4.1%51.2%6.5%1.4%-0.3%-689.4K6.6M-18.1K0.0049.010319273969
2013-05-30$109.18$112.006.5%1.8%4.1%53.2%0.0%1.5%0.0%-774.1K6.8M-21.2K15.5050.014622731,287
2013-05-31$108.19$112.007.4%2.1%4.9%67.6%7.3%0.2%0.2%-1.3M8.0M-22.4K0.0048.2204692771,342