MUB Options History — July 2013

In July 2013, MUB traded between $103.14 and $105.69. ATM implied volatility averaged 11.3%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 2.8% (HV 20d: 14.1%). Max pain ranged from $104.00 to $110.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 4.98.

Notable Days

  • 2013-07-19: Highest Volume — 935 contracts
  • 2013-07-05: Largest IV spike — 11.2% change
  • 2013-07-05: Highest IV Rank — 53.7%
  • 2013-07-05: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.41$103.14$105.69$105.67$103.95
Max Pain$108.32$104.00$110.00$104.00$109.00
ATM IV11.3%9.4%13.5%11.6%9.4%
Expected Move3.3%2.7%4.1%3.3%2.7%
HV 20d14.1%9.1%16.3%15.3%9.1%
HV 60d10.1%9.3%10.5%9.3%10.5%
IV Rank42.6%32.8%53.7%44.2%32.8%
IV Percentile93.9%88.5%98.8%97.6%88.5%
Term Structure0.6%-0.6%1.7%1.6%0.8%
VWIV12.2%9.0%17.1%11.7%10.5%
Skew 25d2.9%1.6%4.3%3.7%2.3%
Skew 10d7.2%2.5%12.4%10.6%5.4%
Call IV 25d10.3%8.3%12.7%10.5%8.6%
Put IV 25d13.2%10.9%16.7%14.2%10.9%
Bid-Ask Spread %79.0962.7094.1483.4394.14
Gamma HHI0.170.120.260.130.26
Net GEX-1.2M-1.9M-713.6K-816.0K-1.7M
Net DEX14.7M9.8M20.8M10.5M17.7M
Net VEX-53.1K-67.5K-41.5K-61.3K-56.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.980.1446.000.368.17
Total Volume201.8641935180110
Total OI5,269.9094,0755,6245,2115,339

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$105.67$104.0011.6%3.3%15.3%44.2%11.7%3.7%1.6%-816.0K10.5M-61.3K0.3683.43132481,3693,842
2013-07-02$105.69$104.0011.4%3.3%15.3%43.0%11.6%3.1%1.7%-745.1K10.6M-59.8K0.1484.405881,3803,868
2013-07-03$105.04$104.0012.1%3.5%15.4%46.7%17.1%2.9%1.1%-713.8K12.2M-58.3K0.0083.550431,4293,876
2013-07-05$103.42$110.0013.5%4.1%16.1%53.7%15.9%4.3%-0.6%-951.4K16.6M-54.7K0.5562.702571411,4293,894
2013-07-08$103.90$110.0013.4%4.0%16.3%53.0%11.6%3.9%-0.5%-851.8K16.0M-53.6K0.6365.4524151,4434,014
2013-07-09$104.21$110.0013.4%3.8%16.3%53.4%14.4%3.5%-0.1%-875.6K15.3M-51.5K1.3665.38971321,4474,019
2013-07-10$104.06$109.0012.3%3.8%16.1%47.8%15.2%3.5%-0.4%-720.1K15.2M-52.7K2.7469.95681861,4504,032
2013-07-11$105.01$109.0012.0%3.4%16.3%46.2%12.0%3.2%0.3%-713.6K12.1M-51.9K2.1771.78461001,3974,143
2013-07-12$105.49$109.0011.4%3.3%16.2%43.0%11.2%3.0%1.0%-724.5K9.8M-48.7K0.3969.7861241,3924,192
2013-07-15$104.82$109.0011.6%3.3%16.3%44.0%13.0%3.0%1.3%-766.3K12.1M-45.5K0.7767.8857441,4194,205
2013-07-16$104.90$108.0011.2%3.2%16.3%42.0%11.9%3.0%1.2%-829.8K12.7M-43.3K1.9474.4517331,3184,213
2013-07-17$105.12$108.0011.1%3.2%16.3%41.6%12.6%2.9%0.9%-905.5K11.4M-44.3K16.4080.545821,3354,199
2013-07-18$105.04$109.0010.4%3.0%16.2%38.0%11.7%2.3%1.6%-1.1M11.6M-41.5K46.0081.681461,3404,240
2013-07-19$104.46$109.0011.1%3.2%15.0%41.3%11.2%1.9%1.2%-1.1M13.4M-44.1K8.3577.601008351,3394,258
2013-07-22$103.77$108.0010.7%3.1%13.7%39.6%12.1%2.9%0.7%-1.8M18.3M-50.8K2.4584.281002456943,381
2013-07-23$103.85$108.0010.5%3.0%13.2%38.7%10.4%3.6%1.2%-1.9M18.3M-51.7K1.6887.8750847943,595
2013-07-24$103.14$110.0010.9%3.1%12.6%40.5%11.1%2.8%0.1%-1.9M20.8M-48.0K0.1680.386831118083,647
2013-07-25$103.43$109.0010.9%3.1%10.0%40.7%10.8%1.6%-0.0%-1.7M18.6M-60.5K2.8488.95381081,4243,729
2013-07-26$104.16$109.0010.0%2.9%9.8%35.9%9.0%2.8%-0.3%-1.6M16.0M-63.8K0.5291.8766341,4563,808
2013-07-29$103.96$109.009.9%2.8%9.5%35.5%10.4%2.0%0.4%-1.6M17.3M-59.6K2.0292.79501011,5103,832
2013-07-30$103.93$109.009.8%2.8%9.1%35.1%0.0%1.8%0.1%-1.7M17.3M-67.5K0.0081.15011,5603,879
2013-07-31$103.95$109.009.4%2.7%9.1%32.8%10.5%2.3%0.8%-1.7M17.7M-56.1K8.1794.1412981,4603,879