MUB Options History — October 2013

In October 2013, MUB traded between $102.88 and $105.49. ATM implied volatility averaged 6.4%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 2.2% (HV 20d: 4.3%). Max pain ranged from $104.00 to $109.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 32.68.

Notable Days

  • 2013-10-16: Highest Volume — 657 contracts
  • 2013-10-31: Largest IV drop — 33.0% change
  • 2013-10-07: Highest IV Rank — 28.6%
  • 2013-10-08: Largest Expected Move — 2.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.22$102.88$105.49$104.05$105.49
Max Pain$108.30$104.00$109.00$104.00$108.00
ATM IV6.4%4.0%8.6%7.5%4.0%
Expected Move1.8%1.2%2.4%2.2%1.2%
HV 20d4.3%3.4%4.8%4.7%4.0%
HV 60d5.0%4.6%5.7%5.7%4.7%
IV Rank17.8%5.5%28.6%23.3%5.5%
IV Percentile50.1%9.1%72.6%66.7%9.1%
Term Structure0.5%-0.4%2.8%-0.1%2.8%
VWIV6.9%5.0%9.7%8.3%5.8%
Skew 25d2.2%0.8%3.5%2.6%2.1%
Skew 10d5.1%2.1%8.6%6.2%5.0%
Call IV 25d5.8%4.2%7.5%6.7%4.8%
Put IV 25d7.9%6.4%11.1%9.3%6.8%
Bid-Ask Spread %69.3626.7093.4131.4328.09
Gamma HHI0.360.180.520.280.24
Net GEX-3.5M-4.6M-345.3K-3.7M-3.3M
Net DEX23.3M6.0M35.5M26.7M11.8M
Net VEX-106.1K-129.3K-43.7K-115.0K-108.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio32.680.00447.001.520.00
Total Volume202.6521265778276
Total OI9,941.0439,18010,6669,80010,303

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$104.05$104.007.5%2.2%4.7%23.3%8.3%2.6%-0.1%-3.7M26.7M-115.0K1.5231.4331471,4188,382
2013-10-02$104.23$104.007.1%2.0%4.7%21.0%7.3%1.9%0.3%-3.6M24.2M-102.8K1.7527.4820351,4498,406
2013-10-03$104.17$104.007.8%2.2%4.3%24.6%7.8%2.6%-0.1%-3.8M25.1M-103.7K29.0081.172581,4698,438
2013-10-04$104.06$109.007.0%2.1%4.4%20.5%7.5%2.8%0.4%-3.7M25.6M-104.1K2.7672.61511411,4718,492
2013-10-07$104.01$109.008.6%2.3%4.4%28.6%9.7%3.0%-0.2%-3.7M27.3M-113.9K5.6068.255281,4418,611
2013-10-08$103.77$109.008.5%2.4%4.6%28.4%9.5%3.5%-0.4%-4.1M28.8M-115.7K7.7069.26201541,4468,629
2013-10-09$103.70$109.007.6%2.2%4.7%23.5%5.5%3.1%-0.2%-3.6M30.4M-122.0K3.3177.8113431,4668,761
2013-10-10$103.62$109.006.7%1.9%4.6%18.9%7.5%2.2%0.6%-4.0M28.6M-99.9K4.5979.74321471,4698,786
2013-10-11$103.37$109.007.1%2.0%4.8%21.0%7.2%2.8%-0.2%-4.2M30.5M-105.6K0.0083.8003961,4378,916
2013-10-14$103.06$109.006.6%1.9%4.7%18.3%7.3%2.0%0.3%-4.6M34.0M-107.5K447.0090.2514471,4379,032
2013-10-15$102.88$109.007.0%2.0%4.6%20.7%7.2%3.0%0.5%-4.6M35.5M-124.8K0.0081.5206051,4389,043
2013-10-16$103.44$109.006.6%1.9%3.4%18.7%6.7%2.7%0.7%-4.4M32.6M-129.3K0.0085.7806571,4389,228
2013-10-17$103.84$109.005.7%1.6%3.7%14.0%6.9%2.0%1.6%-4.1M24.5M-116.1K0.8390.2218151,4388,970
2013-10-18$103.95$109.005.7%1.6%3.7%13.9%5.9%1.9%1.4%-4.4M24.0M-114.7K5.8690.187411,4398,984
2013-10-21$103.86$109.005.5%1.6%3.7%13.0%5.9%2.3%0.4%-3.6M24.9M-121.0K12.3092.46101231,3807,800
2013-10-22$104.35$109.005.5%1.6%3.9%12.9%6.0%1.3%0.5%-3.5M20.6M-110.5K17.7691.22173021,3907,812
2013-10-23$104.78$109.005.5%1.6%4.2%12.9%6.0%2.5%0.5%-3.4M19.5M-115.9K7.7066.1510771,4028,010
2013-10-24$105.13$109.005.7%1.6%4.3%14.1%7.3%1.5%0.1%-553.7K6.9M-43.7K6.7393.4011741,3998,062
2013-10-25$105.16$109.005.5%1.6%4.3%12.8%5.0%1.3%0.4%-2.9M16.8M-110.5K0.0993.411111,4088,093
2013-10-28$105.31$109.005.5%1.6%4.3%13.1%5.7%1.1%0.4%-2.7M16.0M-105.9K0.0026.700141,4198,094
2013-10-29$105.43$109.005.7%1.6%4.0%13.9%5.0%0.8%0.5%-2.7M15.5M-106.6K56.5034.4521131,4198,106
2013-10-30$105.38$109.006.0%1.7%4.0%15.7%5.8%0.8%0.3%-345.3K6.0M-44.2K9.8239.91565501,4168,197
2013-10-31$105.49$108.004.0%1.2%4.0%5.5%0.0%2.1%2.8%-3.3M11.8M-108.1K0.0028.0927601,4388,865