MUB Options History — August 2013

In August 2013, MUB traded between $101.64 and $103.65. ATM implied volatility averaged 10.0%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 4.3% (HV 20d: 5.7%). Max pain ranged from $103.00 to $110.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 18.88.

Notable Days

  • 2013-08-16: Highest Volume — 877 contracts
  • 2013-08-13: Largest IV spike — 13.9% change
  • 2013-08-15: Highest IV Rank — 40.4%
  • 2013-08-15: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.60$101.64$103.65$103.53$101.91
Max Pain$104.41$103.00$110.00$110.00$103.00
ATM IV10.0%8.3%10.9%9.8%9.1%
Expected Move3.0%2.6%3.1%2.8%2.6%
HV 20d5.7%4.6%9.0%9.0%4.6%
HV 60d10.5%10.4%10.7%10.5%10.4%
IV Rank35.9%27.1%40.4%35.0%31.4%
IV Percentile87.4%79.4%91.3%88.9%79.4%
Term Structure0.5%-0.3%1.1%0.4%0.9%
VWIV10.5%8.7%13.2%9.2%8.7%
Skew 25d2.4%1.4%3.0%2.2%1.5%
Skew 10d5.6%3.0%10.5%4.9%3.8%
Call IV 25d9.2%8.5%9.8%8.9%9.0%
Put IV 25d11.6%10.5%12.7%11.0%10.5%
Bid-Ask Spread %73.7360.2899.3091.1892.31
Gamma HHI0.210.140.260.200.22
Net GEX-2.4M-3.8M-1.8M-1.9M-3.8M
Net DEX28.7M19.3M39.0M19.3M30.1M
Net VEX-96.1K-129.7K-62.6K-62.6K-112.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.880.19148.406.899.50
Total Volume314.0454087714263
Total OI6,924.4095,3778,3535,3777,857

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$103.53$110.009.8%2.8%9.0%35.0%9.2%2.2%0.4%-1.9M19.3M-62.6K6.8991.18181241,4283,949
2013-08-02$103.65$110.0010.2%2.9%7.1%36.7%10.7%1.6%0.1%-2.1M19.8M-68.1K5.0699.3017861,4364,072
2013-08-05$103.35$103.0010.4%3.1%7.0%37.7%10.5%2.9%0.9%-1.8M21.3M-62.9K2.6361.64882311,4534,147
2013-08-06$103.20$104.009.8%3.1%6.9%34.8%10.5%2.2%0.8%-2.0M22.5M-66.6K4.5560.28472141,5344,341
2013-08-07$103.37$104.0010.0%3.0%6.9%35.7%13.2%2.5%0.8%-2.4M23.3M-69.9K0.0061.9301131,5544,549
2013-08-08$103.45$104.009.5%3.0%6.0%33.4%9.6%1.4%1.1%-2.4M23.0M-74.3K20.6861.38255171,5544,634
2013-08-09$103.41$105.008.9%3.0%5.7%30.1%10.7%2.3%1.1%-2.5M24.6M-78.2K22.8062.01102281,5694,847
2013-08-12$103.55$105.008.3%2.8%5.3%27.1%10.3%2.8%0.2%-3.0M23.8M-73.2K148.4067.4557421,5695,016
2013-08-13$102.89$105.009.4%3.0%5.7%33.0%11.6%2.2%0.9%-2.5M29.5M-87.8K38.4065.99103841,5695,709
2013-08-14$102.86$105.0010.2%2.8%5.6%37.0%11.2%2.6%1.0%-2.8M29.9M-82.5K34.3170.61165491,5745,991
2013-08-15$102.33$105.0010.9%3.1%5.8%40.4%10.7%2.4%0.8%-2.3M35.3M-94.9K64.0064.2463841,5786,514
2013-08-16$101.90$105.0010.8%3.1%5.7%40.2%11.3%2.3%0.7%-3.2M39.0M-107.8K10.6970.81758021,5776,776
2013-08-19$101.64$104.0010.6%3.0%5.3%38.9%11.6%3.0%0.5%-2.1M33.0M-122.9K11.8573.24202371,2435,566
2013-08-20$102.16$104.0010.8%3.1%5.7%40.1%10.8%3.0%-0.1%-1.9M31.0M-111.3K1.0672.7381861,2595,545
2013-08-21$101.87$103.0010.7%3.1%5.3%39.3%10.6%2.7%-0.3%-2.0M32.7M-115.6K5.5872.3312671,3335,601
2013-08-22$101.86$103.0010.6%3.0%5.2%39.1%9.7%2.1%-0.3%-2.0M31.9M-112.5K1.6277.711091771,3435,661
2013-08-23$102.31$103.0010.2%2.9%4.7%37.1%11.1%2.1%0.1%-1.9M30.6M-115.7K1.1778.721852171,4295,782
2013-08-26$102.08$103.0010.2%2.9%4.7%36.7%9.1%2.1%0.4%-2.3M31.9M-129.7K2.6178.6118471,6015,917
2013-08-27$102.07$103.0010.3%2.9%4.7%37.2%11.7%2.5%0.3%-2.0M31.6M-117.8K0.9582.893743541,5995,940
2013-08-28$101.85$103.009.9%2.8%4.7%35.6%8.9%2.6%0.7%-2.3M33.2M-120.3K0.1977.54110211,6066,285
2013-08-29$101.89$103.009.7%2.8%4.6%34.2%9.7%2.9%0.2%-2.6M34.3M-126.7K3.4479.129311,5436,287
2013-08-30$101.91$103.009.1%2.6%4.6%31.4%8.7%1.5%0.9%-3.8M30.1M-112.3K9.5092.316571,5526,305