MUB Options History — January 2014

In January 2014, MUB traded between $104.07 and $106.40. ATM implied volatility averaged 5.3%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 2.2% (HV 20d: 3.1%). Max pain ranged from $104.00 to $105.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 47.28.

Notable Days

  • 2014-01-07: Highest Volume — 1,661 contracts
  • 2014-01-13: Largest IV spike — 25.3% change
  • 2014-01-30: Highest IV Rank — 17.8%
  • 2014-01-30: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.46$104.07$106.40$104.07$106.40
Max Pain$104.90$104.00$105.00$104.00$105.00
ATM IV5.3%3.9%6.5%5.5%6.4%
Expected Move1.6%1.4%1.8%1.6%1.8%
HV 20d3.1%2.4%3.4%2.8%3.1%
HV 60d3.7%3.4%3.9%3.8%3.4%
IV Rank11.8%4.7%17.8%12.9%17.4%
IV Percentile35.9%7.1%59.1%42.5%58.3%
Term Structure0.7%-0.1%1.6%0.2%0.3%
VWIV6.3%4.5%7.4%6.9%7.4%
Skew 25d1.7%0.9%2.8%1.0%1.0%
Skew 10d3.6%1.5%4.9%3.8%3.8%
Call IV 25d4.8%3.3%6.0%5.2%6.0%
Put IV 25d6.4%5.4%7.3%6.2%7.1%
Bid-Ask Spread %23.3016.2438.9122.2022.79
Gamma HHI0.260.200.330.310.23
Net GEX-4.6M-14.1M-890.5K-13.7M-1.7M
Net DEX14.4M5.0M28.3M28.0M5.0M
Net VEX-94.0K-138.9K-52.8K-137.7K-52.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio47.280.13427.000.1397.00
Total Volume328.19171,66117196
Total OI12,727.28611,84613,56512,87312,406

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$104.07$104.005.5%1.6%2.8%12.9%0.0%1.0%0.2%-13.7M28.0M-137.7K0.1322.201521,51011,363
2014-01-03$104.08$104.005.1%1.5%2.4%11.0%0.0%1.8%0.6%-14.1M28.3M-138.9K34.0019.342681,52311,332
2014-01-06$104.14$105.005.5%1.6%2.4%13.1%6.9%1.4%1.1%-12.5M26.8M-135.8K0.0038.9101,1451,52311,368
2014-01-07$104.32$105.004.9%1.6%2.5%9.8%7.0%2.1%1.2%-7.0M24.9M-133.3K19.7627.30801,5811,52311,418
2014-01-08$104.40$105.005.6%1.6%2.5%13.3%7.1%1.9%1.2%-9.0M24.4M-132.7K0.0024.6206481,52311,197
2014-01-09$104.80$105.004.8%1.6%2.6%9.5%6.2%0.9%1.2%-5.6M13.3M-82.7K14.8824.22517591,52311,238
2014-01-10$105.47$105.004.1%1.5%3.4%5.9%7.1%1.7%1.5%-4.0M13.9M-99.9K427.0020.2714271,57411,837
2014-01-13$105.50$105.005.1%1.6%3.3%11.2%6.0%1.7%1.1%-3.3M15.1M-103.0K35.4025.6751771,55111,949
2014-01-14$105.58$105.003.9%1.5%3.3%4.7%5.7%1.3%1.6%-2.0M13.7M-109.1K7.4229.71191411,55612,009
2014-01-15$105.56$105.004.7%1.4%3.4%8.7%5.4%2.0%1.0%-3.9M14.6M-108.6K1.0021.2150501,52211,906
2014-01-16$105.77$105.004.8%1.4%3.4%9.5%6.1%2.8%1.4%-3.2M10.0M-82.0K4.0016.245201,54211,951
2014-01-17$105.99$105.005.0%1.4%3.4%10.2%5.4%2.4%1.2%-890.5K5.6M-62.8K2.0927.5432671,53711,958
2014-01-21$105.85$105.005.0%1.4%3.4%10.6%7.3%2.8%0.3%-3.0M11.6M-83.4K0.3317.83152501,37710,564
2014-01-22$105.74$105.004.9%1.4%3.4%10.0%6.1%2.1%0.5%-1.5M11.7M-71.4K0.0023.4601381,26410,582
2014-01-23$106.09$105.005.0%1.4%3.3%10.2%4.5%1.6%0.4%-1.0M10.1M-74.6K92.5023.9621851,26410,672
2014-01-24$106.27$105.005.7%1.6%3.3%14.0%5.7%1.1%0.2%-3.6M6.5M-57.9K13.4020.16101341,26610,852
2014-01-27$106.04$105.005.7%1.6%3.3%13.9%7.0%1.6%0.4%-1.6M14.4M-115.9K1.4325.45901291,27610,953
2014-01-28$106.15$105.006.3%1.8%3.2%17.1%0.0%1.4%-0.1%-2.1M8.2M-64.1K6.1016.3710611,21211,008
2014-01-29$106.11$105.006.2%1.8%3.2%16.7%0.0%1.2%0.1%-1.8M7.6M-59.3K0.0022.8903601,20711,041
2014-01-30$106.30$105.006.5%1.8%3.1%17.8%0.0%0.9%-0.1%-1.8M8.3M-67.1K0.0019.080301,20711,189
2014-01-31$106.40$105.006.4%1.8%3.1%17.4%7.4%1.0%0.3%-1.7M5.0M-52.8K97.0022.7921941,20711,199