MUB Options History — December 2013

In December 2013, MUB traded between $103.59 and $104.39. ATM implied volatility averaged 5.8%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 2.5% (HV 20d: 3.4%). Max pain ranged from $103.00 to $106.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 13.34.

Notable Days

2013-12-31: Highest Volume — 825 contracts
2013-12-30: Largest IV spike — 34.6% change
2013-12-11: Highest IV Rank — 19.8%
2013-12-13: Largest Expected Move — 1.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$104.05	$103.59	$104.39	$104.11	$103.74
Max Pain	$103.86	$103.00	$106.00	$106.00	$104.00
ATM IV	5.8%	3.7%	6.9%	6.2%	4.9%
Expected Move	1.7%	1.1%	1.9%	1.8%	1.4%
HV 20d	3.4%	2.7%	4.1%	3.8%	2.7%
HV 60d	4.0%	3.7%	4.5%	4.4%	3.8%
IV Rank	14.6%	3.8%	19.8%	16.4%	9.7%
IV Percentile	45.8%	4.8%	59.1%	55.2%	23.8%
Term Structure	0.3%	-0.5%	0.9%	-0.2%	0.4%
VWIV	6.1%	3.7%	7.5%	6.4%	6.0%
Skew 25d	1.7%	0.8%	2.8%	1.1%	0.8%
Skew 10d	3.0%	0.5%	5.8%	3.1%	0.7%
Call IV 25d	5.0%	3.7%	5.9%	5.7%	4.2%
Put IV 25d	6.7%	4.8%	7.7%	6.8%	5.0%
Bid-Ask Spread %	47.54	19.31	111.26	31.60	28.23
Gamma HHI	0.30	0.26	0.45	0.33	0.31
Net GEX	-8.3M	-13.3M	-5.0M	-5.5M	-12.6M
Net DEX	27.9M	19.5M	33.7M	24.5M	30.6M
Net VEX	-133.2K	-146.1K	-100.9K	-132.2K	-131.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	13.34	0.00	71.00	9.44	13.73
Total Volume	212.81	8	825	69	825
Total OI	10,677.238	9,343	12,125	9,343	12,125

Daily Data (21 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
2013-12-02	$104.11	$106.00	6.2%	1.8%	3.8%	16.4%	0.0%	1.1%	-0.2%	-5.5M	24.5M	-132.2K	0.00	31.60	0	69	1,192	8,151
2013-12-03	$104.39	$106.00	6.0%	1.7%	3.9%	15.6%	0.0%	1.3%	0.3%	-5.5M	23.4M	-129.2K	0.00	24.44	0	8	1,192	8,197
2013-12-04	$103.99	$106.00	6.1%	1.7%	4.1%	16.0%	0.0%	1.3%	0.3%	-5.7M	27.2M	-140.7K	0.00	23.55	0	19	1,192	8,205
2013-12-05	$103.93	$106.00	6.2%	1.8%	4.1%	16.7%	6.4%	1.3%	-0.1%	-5.7M	26.9M	-138.4K	9.44	24.30	16	151	1,192	8,210
2013-12-06	$103.99	$103.00	5.7%	1.7%	4.0%	14.1%	0.0%	2.0%	0.2%	-6.0M	26.0M	-129.5K	0.00	42.72	0	29	1,203	8,303
2013-12-09	$103.98	$103.00	5.8%	1.7%	3.2%	14.3%	0.0%	1.9%	0.4%	-5.8M	25.8M	-127.5K	0.00	52.66	85	0	1,203	8,306
2013-12-10	$104.27	$103.00	6.3%	1.8%	3.3%	16.8%	3.7%	2.2%	-0.5%	-5.0M	19.5M	-100.9K	0.57	62.02	23	13	1,277	8,306
2013-12-11	$104.15	$103.00	6.9%	1.8%	3.3%	19.8%	0.0%	2.1%	0.3%	-5.5M	25.5M	-137.6K	6.00	40.84	10	60	1,280	8,314
2013-12-12	$104.13	$103.00	6.3%	1.8%	3.3%	16.9%	7.3%	2.0%	0.2%	-5.7M	25.3M	-132.8K	0.00	45.52	0	733	1,275	8,364
2013-12-13	$104.17	$103.00	6.8%	1.9%	3.3%	19.3%	7.5%	2.2%	-0.2%	-6.8M	27.0M	-132.6K	0.00	111.26	0	715	1,275	9,059
2013-12-16	$104.24	$103.00	6.6%	1.9%	3.2%	18.4%	7.4%	1.9%	0.5%	-7.7M	28.5M	-132.4K	9.24	44.44	55	508	1,275	9,722
2013-12-17	$104.38	$103.00	6.6%	1.9%	3.1%	18.5%	6.3%	1.8%	0.3%	-8.5M	30.2M	-141.5K	0.00	34.64	9	0	1,324	10,228
2013-12-18	$104.37	$103.00	6.3%	1.8%	3.1%	17.1%	0.0%	1.9%	0.8%	-8.5M	28.8M	-136.1K	2.07	50.01	27	56	1,333	10,228
2013-12-19	$104.18	$103.00	6.1%	1.7%	3.1%	16.0%	4.9%	1.7%	0.5%	-10.1M	30.8M	-139.3K	0.26	35.70	155	40	1,353	10,240
2013-12-20	$104.15	$103.00	5.7%	1.6%	3.1%	13.8%	5.2%	2.1%	0.6%	-9.3M	30.1M	-137.6K	6.38	30.45	13	83	1,507	10,272
2013-12-23	$103.92	$104.00	5.5%	1.6%	3.2%	13.1%	6.0%	2.8%	0.3%	-10.5M	31.3M	-130.1K	1.93	90.32	60	116	1,423	10,090
2013-12-24	$103.94	$104.00	5.1%	1.5%	3.1%	11.0%	0.0%	2.3%	0.8%	-12.8M	28.2M	-131.9K	59.33	34.31	3	178	1,470	10,193
2013-12-26	$103.67	$104.00	4.9%	1.4%	3.2%	10.1%	0.0%	1.3%	0.7%	-11.0M	33.3M	-146.1K	0.00	96.77	0	39	1,468	10,369
2013-12-27	$103.59	$104.00	3.7%	1.1%	3.2%	3.8%	0.0%	0.8%	0.9%	-12.3M	33.7M	-145.1K	71.00	75.30	3	213	1,468	10,379
2013-12-30	$103.82	$104.00	5.0%	1.4%	3.4%	10.3%	0.0%	1.8%	0.4%	-13.3M	28.9M	-125.2K	6.75	19.31	20	135	1,468	10,591
2013-12-31	$103.74	$104.00	4.9%	1.4%	2.7%	9.7%	0.0%	0.8%	0.4%	-12.6M	30.6M	-131.1K	13.73	28.23	56	769	1,464	10,661