MUB Options History — September 2013

In September 2013, MUB traded between $101.03 and $104.49. ATM implied volatility averaged 8.6%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 3.7% (HV 20d: 4.9%). Max pain ranged from $103.00 to $104.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 15.26.

Notable Days

2013-09-05: Highest Volume — 1,264 contracts
2013-09-12: Largest IV spike — 17.9% change
2013-09-16: Highest IV Rank — 37.9%
2013-09-06: Largest Expected Move — 3.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$102.78	$101.03	$104.49	$101.40	$104.49
Max Pain	$103.35	$103.00	$104.00	$103.00	$104.00
ATM IV	8.6%	6.8%	10.4%	10.0%	7.3%
Expected Move	2.6%	1.9%	3.2%	2.9%	2.1%
HV 20d	4.9%	4.4%	5.4%	4.7%	4.9%
HV 60d	8.7%	5.7%	10.5%	10.5%	5.7%
IV Rank	28.9%	19.5%	37.9%	36.0%	22.3%
IV Percentile	73.8%	58.7%	87.7%	85.3%	63.9%
Term Structure	0.1%	-0.9%	1.6%	1.6%	0.1%
VWIV	8.7%	5.8%	11.2%	9.0%	5.8%
Skew 25d	1.8%	-0.1%	2.5%	1.5%	1.6%
Skew 10d	5.0%	0.4%	9.2%	2.9%	4.5%
Call IV 25d	8.0%	6.0%	10.3%	9.1%	6.7%
Put IV 25d	9.9%	8.0%	12.4%	10.6%	8.4%
Bid-Ask Spread %	73.81	38.42	88.80	88.61	38.92
Gamma HHI	0.27	0.16	0.44	0.16	0.30
Net GEX	-3.4M	-4.5M	-2.4M	-2.6M	-2.9M
Net DEX	31.2M	20.1M	41.0M	34.8M	20.1M
Net VEX	-117.9K	-135.8K	-100.9K	-124.7K	-111.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	15.26	0.80	79.00	1.56	69.33
Total Volume	271.85	9	1,264	41	211
Total OI	9,157.55	7,909	9,780	7,909	9,639

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
2013-09-03	$101.40	$103.00	10.0%	2.9%	4.7%	36.0%	9.0%	1.5%	1.6%	-2.6M	34.8M	-124.7K	1.56	88.61	16	25	1,557	6,352
2013-09-04	$101.46	$103.00	9.9%	2.8%	4.8%	35.6%	8.6%	-0.1%	0.8%	-2.5M	33.8M	-118.6K	6.45	88.80	11	71	1,573	6,377
2013-09-05	$101.03	$103.00	9.7%	2.8%	4.8%	34.1%	9.7%	1.5%	1.1%	-2.6M	35.7M	-113.8K	0.00	88.51	0	1,264	1,575	6,440
2013-09-06	$101.23	$103.00	9.2%	3.2%	4.9%	31.8%	0.0%	2.1%	-0.4%	-4.2M	41.0M	-130.8K	0.00	66.44	0	97	1,575	7,560
2013-09-09	$101.26	$103.00	9.8%	3.2%	4.9%	34.7%	9.9%	2.1%	-0.1%	-4.2M	40.7M	-130.2K	1.88	66.27	32	60	1,575	7,634
2013-09-10	$101.36	$103.00	9.3%	3.1%	4.9%	32.5%	11.2%	2.3%	-0.5%	-4.1M	40.0M	-119.6K	1.07	72.14	14	15	1,568	7,694
2013-09-11	$101.55	$103.00	8.5%	3.0%	4.6%	28.4%	0.0%	2.1%	-0.6%	-4.5M	40.1M	-128.6K	0.80	76.18	5	4	1,572	7,705
2013-09-12	$101.86	$103.00	10.1%	2.9%	4.8%	36.2%	11.0%	1.8%	-0.1%	-4.4M	37.7M	-135.8K	8.83	74.49	24	212	1,572	7,705
2013-09-13	$101.94	$103.00	9.9%	2.8%	4.4%	35.3%	8.5%	2.2%	-0.5%	-3.9M	35.0M	-118.1K	17.32	78.49	41	710	1,571	7,526
2013-09-16	$102.42	$103.00	10.4%	3.0%	4.5%	37.9%	10.8%	1.8%	-0.9%	-3.9M	34.7M	-129.0K	5.36	80.22	25	134	1,580	7,908
2013-09-17	$102.81	$103.00	9.1%	2.6%	4.5%	31.4%	9.3%	1.9%	-0.5%	-3.6M	30.6M	-115.3K	4.50	83.30	38	171	1,585	7,916
2013-09-18	$103.83	$103.00	8.7%	2.5%	5.4%	29.5%	7.1%	2.5%	-0.3%	-3.2M	23.9M	-105.4K	2.89	83.15	63	182	1,592	8,015
2013-09-19	$103.74	$103.00	7.8%	2.2%	5.3%	24.8%	8.0%	1.7%	0.5%	-3.8M	24.1M	-101.4K	27.50	83.09	8	220	1,617	8,079
2013-09-20	$103.83	$104.00	7.8%	2.2%	5.3%	24.7%	7.8%	1.3%	0.1%	-3.3M	25.4M	-116.1K	1.99	82.25	165	329	1,589	8,191
2013-09-23	$103.99	$104.00	7.4%	2.1%	5.1%	22.8%	7.7%	1.9%	0.2%	-3.0M	24.7M	-110.3K	18.00	87.24	13	234	1,445	7,531
2013-09-24	$104.28	$104.00	6.8%	1.9%	5.0%	19.5%	6.6%	1.8%	0.4%	-2.4M	24.4M	-107.4K	11.16	78.89	19	212	1,436	7,652
2013-09-25	$104.40	$104.00	6.9%	2.0%	5.0%	19.9%	8.7%	2.2%	0.6%	-3.3M	27.6M	-129.5K	79.00	71.63	5	395	1,451	7,818
2013-09-26	$104.39	$104.00	6.8%	2.0%	4.9%	19.6%	0.0%	2.2%	0.6%	-3.2M	23.9M	-100.9K	1.29	49.09	136	176	1,452	7,963
2013-09-27	$104.39	$104.00	7.1%	2.0%	4.9%	21.0%	5.8%	2.4%	0.3%	-3.2M	25.4M	-110.7K	15.67	38.42	6	94	1,458	8,103
2013-09-30	$104.49	$104.00	7.3%	2.1%	4.9%	22.3%	0.0%	1.6%	0.1%	-2.9M	20.1M	-111.5K	69.33	38.92	3	208	1,459	8,180