MUB Options History — November 2013

In November 2013, MUB traded between $104.30 and $105.05. ATM implied volatility averaged 5.5%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 1.1% (HV 20d: 4.4%). Max pain ranged from $106.00 to $110.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 18.04.

Notable Days

2013-11-20: Highest Volume — 373 contracts
2013-11-07: Largest IV spike — 25.3% change
2013-11-11: Highest IV Rank — 18.4%
2013-11-11: Largest Expected Move — 1.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$104.68	$104.30	$105.05	$104.84	$104.72
Max Pain	$107.30	$106.00	$110.00	$109.00	$106.00
ATM IV	5.5%	4.9%	6.6%	5.7%	4.9%
Expected Move	1.7%	1.4%	1.9%	1.6%	1.4%
HV 20d	4.4%	3.9%	5.2%	4.6%	3.9%
HV 60d	4.6%	4.2%	4.9%	4.8%	4.2%
IV Rank	13.0%	9.8%	18.4%	13.8%	9.8%
IV Percentile	38.9%	24.6%	56.3%	42.5%	24.6%
Term Structure	0.6%	0.1%	1.4%	0.2%	0.1%
VWIV	5.8%	2.8%	7.3%	5.7%	4.8%
Skew 25d	1.9%	1.3%	2.6%	2.2%	2.6%
Skew 10d	3.3%	-0.6%	6.7%	3.0%	6.7%
Call IV 25d	5.1%	4.1%	6.0%	4.4%	4.3%
Put IV 25d	7.0%	6.0%	7.8%	6.6%	6.9%
Bid-Ask Spread %	45.93	23.58	76.00	23.58	25.25
Gamma HHI	0.35	0.26	0.47	0.27	0.39
Net GEX	-4.1M	-5.3M	-3.5M	-3.8M	-5.3M
Net DEX	21.6M	17.0M	26.6M	22.6M	17.4M
Net VEX	-123.3K	-141.4K	-104.2K	-134.7K	-104.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	18.04	0.00	100.00	4.84	0.50
Total Volume	127.8	1	373	146	15
Total OI	9,774.45	8,448	10,681	10,111	9,338

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
2013-11-01	$104.84	$109.00	5.7%	1.6%	4.6%	13.8%	5.7%	2.2%	0.2%	-3.8M	22.6M	-134.7K	4.84	23.58	25	121	1,396	8,715
2013-11-04	$104.92	$107.00	5.4%	1.8%	4.6%	12.4%	0.0%	1.7%	0.6%	-3.6M	20.1M	-114.9K	2.20	60.80	5	11	1,383	8,800
2013-11-05	$104.74	$107.00	5.1%	1.8%	4.6%	10.7%	7.0%	1.7%	1.1%	-3.9M	24.0M	-137.3K	57.50	60.07	2	115	1,388	8,805
2013-11-06	$104.81	$107.00	5.1%	1.8%	4.6%	10.9%	7.3%	1.9%	0.7%	-3.8M	20.7M	-114.9K	31.00	59.02	1	31	1,388	8,879
2013-11-07	$105.05	$110.00	6.4%	1.9%	4.6%	17.4%	7.3%	1.7%	0.1%	-3.7M	22.7M	-138.6K	19.00	55.96	2	38	1,389	8,909
2013-11-08	$104.33	$110.00	5.7%	1.9%	5.2%	14.1%	6.3%	1.7%	0.6%	-4.6M	26.6M	-135.6K	1.16	63.78	81	94	1,389	8,946
2013-11-11	$104.43	$108.00	6.6%	1.9%	5.0%	18.4%	6.3%	2.0%	0.4%	-3.9M	22.9M	-113.5K	5.40	76.00	10	54	1,470	8,974
2013-11-12	$104.30	$108.00	5.3%	1.8%	5.0%	11.7%	0.0%	2.3%	0.6%	-4.2M	25.7M	-128.0K	0.00	51.29	0	90	1,480	8,968
2013-11-13	$104.40	$108.00	5.2%	1.9%	4.7%	11.4%	5.9%	2.2%	0.4%	-4.0M	24.5M	-126.2K	16.53	53.57	15	248	1,480	8,967
2013-11-14	$104.58	$108.00	6.0%	1.7%	4.5%	15.7%	0.0%	1.8%	1.0%	-4.0M	23.6M	-125.1K	28.00	52.80	11	308	1,469	9,054
2013-11-15	$104.67	$108.00	5.4%	1.5%	4.5%	12.2%	6.2%	2.3%	1.4%	-4.2M	23.0M	-113.3K	7.00	43.69	33	231	1,479	9,202
2013-11-18	$104.95	$107.00	5.5%	1.6%	4.6%	13.0%	5.2%	1.3%	0.8%	-3.5M	17.0M	-110.3K	35.13	38.21	8	281	1,109	7,339
2013-11-19	$104.80	$107.00	5.7%	1.6%	4.4%	14.1%	5.4%	1.8%	0.6%	-4.3M	21.3M	-139.2K	17.86	46.18	7	125	1,117	7,596
2013-11-20	$104.60	$106.00	6.0%	1.7%	4.2%	15.5%	2.8%	2.4%	0.6%	-4.4M	20.6M	-130.9K	6.46	35.75	50	323	1,124	7,716
2013-11-21	$104.59	$106.00	5.2%	1.5%	4.0%	11.6%	5.5%	1.8%	0.4%	-4.6M	23.1M	-141.4K	4.00	27.58	12	48	1,174	7,995
2013-11-22	$104.64	$106.00	5.4%	1.5%	4.0%	12.2%	4.8%	1.3%	0.5%	-3.9M	18.6M	-110.9K	0.00	36.46	1	0	1,186	8,032
2013-11-25	$104.70	$106.00	5.1%	1.5%	3.9%	11.2%	4.8%	1.6%	0.4%	-3.8M	18.1M	-107.6K	100.00	37.58	1	100	1,187	8,032
2013-11-26	$104.74	$106.00	5.4%	1.5%	3.9%	12.3%	0.0%	2.0%	0.4%	-4.5M	20.8M	-129.6K	2.60	35.40	10	26	1,188	8,111
2013-11-27	$104.77	$106.00	5.2%	1.5%	3.9%	11.3%	0.0%	1.8%	0.5%	-4.2M	18.6M	-109.1K	3.60	35.70	5	18	1,187	8,128
2013-11-29	$104.72	$106.00	4.9%	1.4%	3.9%	9.8%	0.0%	2.6%	0.1%	-5.3M	17.4M	-104.2K	0.50	25.25	10	5	1,192	8,146