MUB Options History — June 2013

In June 2013, MUB traded between $101.35 and $108.09. ATM implied volatility averaged 10.9%, placing in the 81.3% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 2.6% (HV 20d: 8.2%). Max pain ranged from $103.00 to $112.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 3.57.

Notable Days

2013-06-24: Highest Volume — 2,216 contracts
2013-06-20: Largest IV spike — 47.2% change
2013-06-20: Highest IV Rank — 100.0%
2013-06-24: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.05	$101.35	$108.09	$107.90	$105.04
Max Pain	$109.05	$103.00	$112.00	$112.00	$104.00
ATM IV	10.9%	7.4%	22.6%	7.4%	12.1%
Expected Move	3.1%	2.1%	6.5%	2.1%	3.5%
HV 20d	8.2%	4.9%	15.1%	4.9%	15.1%
HV 60d	5.5%	3.7%	9.2%	3.8%	9.2%
IV Rank	81.3%	43.2%	100.0%	67.8%	46.7%
IV Percentile	98.7%	96.0%	100.0%	96.0%	98.0%
Term Structure	-0.3%	-2.8%	1.7%	-0.7%	1.1%
VWIV	11.9%	6.2%	23.5%	6.2%	12.1%
Skew 25d	2.5%	0.3%	7.9%	0.3%	3.3%
Skew 10d	6.0%	0.4%	14.7%	2.7%	10.6%
Call IV 25d	9.8%	7.1%	18.9%	7.1%	11.1%
Put IV 25d	12.3%	7.5%	26.7%	7.5%	14.4%
Bid-Ask Spread %	54.11	37.11	77.71	39.51	77.71
Gamma HHI	0.19	0.11	0.24	0.22	0.13
Net GEX	-1.4M	-1.8M	-552.9K	-1.5M	-935.1K
Net DEX	13.5M	10.6M	20.0M	10.6M	12.6M
Net VEX	-34.1K	-58.9K	-25.2K	-28.1K	-55.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.57	0.00	19.50	1.57	2.66
Total Volume	308.15	11	2,216	72	106
Total OI	2,876.9	2,009	5,130	2,009	5,130

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
2013-06-03	$107.90	$112.00	7.4%	2.1%	4.9%	67.8%	6.2%	0.3%	-0.7%	-1.5M	10.6M	-28.1K	1.57	39.51	28	44	277	1,732
2013-06-04	$107.60	$112.00	7.6%	2.2%	4.9%	71.4%	7.2%	0.7%	0.6%	-1.4M	11.0M	-29.4K	0.00	45.64	0	142	287	1,743
2013-06-05	$107.84	$112.00	8.5%	2.4%	5.1%	84.5%	8.1%	1.0%	-0.5%	-1.7M	11.2M	-29.7K	10.00	43.45	1	10	287	1,866
2013-06-06	$108.09	$112.00	8.8%	2.5%	5.3%	88.8%	0.0%	0.8%	-0.9%	-1.6M	10.8M	-30.1K	0.00	56.03	11	0	288	1,876
2013-06-07	$107.80	$112.00	8.3%	2.4%	5.3%	81.9%	0.0%	2.1%	-0.3%	-1.7M	11.3M	-29.1K	0.00	56.75	0	21	299	1,876
2013-06-10	$107.14	$112.00	9.1%	2.5%	5.5%	93.8%	10.8%	1.6%	-0.5%	-1.7M	12.3M	-26.6K	3.03	48.81	30	91	299	1,889
2013-06-11	$107.56	$110.00	9.3%	2.5%	5.8%	97.0%	0.0%	1.9%	-0.8%	-1.6M	12.0M	-28.4K	0.34	62.32	85	29	329	1,930
2013-06-12	$106.53	$110.00	9.3%	2.5%	6.4%	97.3%	0.0%	1.7%	0.1%	-1.6M	13.5M	-26.5K	6.08	53.23	25	152	334	1,950
2013-06-13	$107.23	$110.00	8.6%	2.5%	7.0%	86.0%	9.6%	1.4%	0.1%	-1.8M	13.6M	-32.6K	8.00	54.08	4	32	349	2,092
2013-06-14	$107.30	$110.00	8.5%	2.4%	7.0%	84.7%	0.0%	1.2%	0.1%	-1.8M	13.5M	-32.6K	0.00	58.32	20	0	353	2,108
2013-06-17	$107.01	$110.00	8.9%	2.5%	7.0%	89.9%	9.4%	1.2%	-0.1%	-1.8M	13.8M	-31.2K	2.75	52.88	4	11	373	2,108
2013-06-18	$106.51	$110.00	8.4%	2.4%	7.1%	82.2%	7.8%	2.5%	0.2%	-1.8M	14.9M	-27.1K	19.50	37.11	6	117	369	2,114
2013-06-19	$105.95	$110.00	9.0%	2.6%	7.1%	92.0%	8.7%	1.8%	0.0%	-1.8M	16.2M	-27.1K	1.05	40.41	57	60	375	2,175
2013-06-20	$104.08	$110.00	13.3%	3.8%	9.0%	100.0%	12.9%	2.8%	-1.9%	-1.2M	18.0M	-29.7K	2.47	47.32	167	412	402	2,211
2013-06-21	$102.29	$107.00	16.9%	4.9%	10.2%	100.0%	16.7%	1.3%	-2.8%	-828.1K	20.0M	-25.2K	1.03	38.82	354	366	569	2,347
2013-06-24	$101.35	$106.00	22.6%	6.5%	10.2%	100.0%	23.5%	7.9%	-1.9%	-552.9K	16.1M	-29.6K	2.14	58.62	706	1,510	607	2,110
2013-06-25	$102.82	$105.00	16.6%	4.8%	12.0%	69.8%	17.6%	6.5%	-0.3%	-1.1M	17.8M	-51.4K	1.20	65.32	337	404	1,137	3,460
2013-06-26	$104.97	$103.00	12.6%	3.6%	14.7%	49.0%	15.5%	5.0%	1.7%	-723.3K	10.7M	-53.0K	1.39	68.35	254	353	1,413	3,446
2013-06-27	$105.89	$104.00	11.4%	3.3%	15.1%	43.2%	12.2%	5.0%	1.6%	-830.8K	10.8M	-58.9K	1.08	77.60	103	111	1,341	3,687
2013-06-28	$105.04	$104.00	12.1%	3.5%	15.1%	46.7%	12.1%	3.3%	1.1%	-935.1K	12.6M	-55.8K	2.66	77.71	29	77	1,358	3,772