MUB Options History — February 2014

In February 2014, MUB traded between $105.79 and $107.24. ATM implied volatility averaged 6.0%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 3.2% (HV 20d: 2.8%). Max pain ranged from $105.00 to $106.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 41.59.

Notable Days

2014-02-25: Highest Volume — 1,967 contracts
2014-02-07: Largest IV drop — 12.2% change
2014-02-03: Highest IV Rank — 28.4%
2014-02-03: Largest Expected Move — 2.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.27	$105.79	$107.24	$106.25	$107.24
Max Pain	$105.79	$105.00	$106.00	$106.00	$106.00
ATM IV	6.0%	4.5%	8.7%	8.7%	4.5%
Expected Move	1.7%	1.3%	2.5%	2.5%	1.3%
HV 20d	2.8%	2.3%	3.6%	3.2%	2.5%
HV 60d	3.1%	2.9%	3.5%	3.4%	2.9%
IV Rank	14.3%	6.4%	28.4%	28.4%	6.4%
IV Percentile	44.8%	15.1%	73.4%	73.4%	15.1%
Term Structure	0.1%	-0.5%	0.7%	-0.4%	0.0%
VWIV	6.3%	4.5%	9.5%	9.5%	4.5%
Skew 25d	1.8%	1.2%	2.8%	1.7%	1.7%
Skew 10d	4.3%	2.9%	7.3%	4.9%	3.3%
Call IV 25d	5.3%	3.3%	7.5%	7.5%	3.3%
Put IV 25d	7.2%	5.0%	9.7%	9.2%	5.0%
Bid-Ask Spread %	26.64	17.05	57.52	19.96	23.35
Gamma HHI	0.34	0.20	0.76	0.26	0.36
Net GEX	-996.9K	-4.2M	2.8M	-4.1M	-3.6M
Net DEX	10.2M	4.7M	20.7M	15.9M	9.4M
Net VEX	-74.8K	-137.8K	-36.3K	-122.9K	-63.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	41.59	0.01	488.00	0.80	1.71
Total Volume	258.053	24	1,967	200	114
Total OI	11,749.579	6,517	13,790	12,550	8,652

Daily Data (19 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
2014-02-03	$106.25	$106.00	8.7%	2.5%	3.2%	28.4%	9.5%	1.7%	-0.4%	-4.1M	15.9M	-122.9K	0.80	19.96	111	89	1,157	11,393
2014-02-04	$105.90	$106.00	7.8%	2.2%	3.5%	23.9%	8.7%	2.8%	-0.3%	-4.1M	19.9M	-134.1K	488.00	24.50	1	488	1,264	11,439
2014-02-05	$105.79	$106.00	8.4%	2.4%	3.6%	26.8%	0.0%	2.3%	-0.5%	-4.2M	20.7M	-137.8K	0.00	35.51	0	32	1,264	11,688
2014-02-06	$105.89	$106.00	7.5%	2.1%	3.6%	22.1%	9.0%	2.3%	0.1%	-4.2M	14.0M	-86.9K	1.43	20.01	14	20	1,264	11,719
2014-02-07	$106.13	$105.00	6.6%	2.0%	3.4%	17.4%	8.5%	1.7%	-0.0%	-1.6M	8.9M	-67.0K	0.00	27.47	0	100	1,262	11,709
2014-02-10	$106.23	$105.00	6.1%	1.9%	2.7%	14.7%	0.0%	1.6%	0.4%	-343.1K	7.4M	-61.7K	0.00	24.04	0	30	1,262	11,766
2014-02-11	$106.35	$105.00	5.7%	1.8%	2.7%	12.8%	5.2%	2.0%	0.0%	-26.4K	5.2M	-53.6K	2.44	28.77	25	61	1,262	11,735
2014-02-12	$106.19	$105.00	5.2%	1.7%	2.8%	10.5%	5.9%	1.6%	0.1%	158.0K	6.3M	-53.6K	0.01	35.67	150	2	1,284	11,755
2014-02-13	$106.18	$106.00	5.8%	1.7%	2.8%	13.2%	7.2%	1.9%	0.1%	-95.2K	12.1M	-104.3K	1.30	21.79	50	65	1,397	11,757
2014-02-14	$106.06	$106.00	5.3%	1.5%	2.7%	11.0%	5.2%	1.5%	0.7%	1.2M	7.8M	-61.0K	0.68	27.72	332	225	1,386	11,817
2014-02-18	$105.93	$106.00	5.7%	1.6%	2.7%	12.7%	5.9%	1.3%	0.2%	2.8M	7.3M	-58.0K	9.40	20.51	10	94	1,689	12,025
2014-02-19	$106.11	$106.00	5.8%	1.6%	2.7%	13.1%	5.8%	1.4%	0.2%	2.7M	5.9M	-59.1K	2.31	57.52	29	67	1,698	12,092
2014-02-20	$106.11	$106.00	5.6%	1.6%	2.7%	12.2%	5.8%	1.9%	0.3%	1.7M	7.0M	-64.9K	4.43	25.49	7	31	1,699	12,045
2014-02-21	$106.21	$106.00	5.4%	1.5%	2.4%	11.3%	5.5%	2.1%	0.4%	2.6M	4.9M	-56.6K	0.52	17.05	214	112	1,699	12,046
2014-02-24	$106.33	$106.00	5.4%	1.6%	2.4%	11.5%	5.9%	1.8%	0.3%	-1.3M	7.9M	-49.0K	0.00	17.98	0	24	691	5,826
2014-02-25	$106.54	$106.00	4.8%	1.4%	2.3%	8.2%	5.2%	1.2%	0.1%	46.7K	4.7M	-36.3K	27.93	19.27	68	1,899	691	5,847
2014-02-26	$106.68	$106.00	5.0%	1.4%	2.3%	9.0%	4.7%	1.5%	0.2%	-3.7M	17.8M	-89.5K	41.29	41.07	7	289	733	7,661
2014-02-27	$106.99	$106.00	4.5%	1.3%	2.5%	6.6%	4.9%	2.1%	0.5%	-2.9M	11.1M	-61.5K	0.00	18.37	0	143	733	7,835
2014-02-28	$107.24	$106.00	4.5%	1.3%	2.5%	6.4%	4.5%	1.7%	0.0%	-3.6M	9.4M	-63.5K	1.71	23.35	42	72	704	7,948