MUB Options History — March 2014

In March 2014, MUB traded between $106.12 and $107.22. ATM implied volatility averaged 5.0%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.8% (HV 20d: 3.2%). Max pain ranged from $106.00 to $107.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 29.47.

Notable Days

2014-03-31: Highest Volume — 408 contracts
2014-03-13: Largest IV spike — 34.7% change
2014-03-11: Highest IV Rank — 12.8%
2014-03-13: Largest Expected Move — 1.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.79	$106.12	$107.22	$107.13	$107.06
Max Pain	$106.48	$106.00	$107.00	$106.00	$107.00
ATM IV	5.0%	4.1%	5.7%	5.2%	5.1%
Expected Move	1.4%	1.2%	1.6%	1.5%	1.5%
HV 20d	3.2%	2.4%	3.7%	2.6%	3.5%
HV 60d	3.1%	2.8%	3.2%	2.9%	3.1%
IV Rank	9.1%	4.7%	12.8%	10.2%	10.0%
IV Percentile	25.9%	8.7%	44.8%	32.9%	29.4%
Term Structure	0.4%	0.1%	1.0%	0.1%	0.4%
VWIV	5.2%	3.5%	6.0%	5.3%	5.3%
Skew 25d	2.0%	1.1%	2.8%	2.8%	2.2%
Skew 10d	3.6%	0.6%	7.1%	7.1%	3.9%
Call IV 25d	4.0%	3.1%	4.9%	3.1%	3.8%
Put IV 25d	6.0%	4.8%	6.9%	5.9%	6.0%
Bid-Ask Spread %	50.47	15.56	99.62	70.63	48.26
Gamma HHI	0.40	0.36	0.49	0.38	0.36
Net GEX	-5.6M	-8.3M	-4.3M	-5.1M	-8.3M
Net DEX	18.6M	14.5M	24.2M	15.8M	18.2M
Net VEX	-80.7K	-93.0K	-70.3K	-82.6K	-76.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	29.47	0.00	288.00	2.91	3.00
Total Volume	112.952	1	408	43	408
Total OI	8,642.429	8,179	9,182	8,373	9,182

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
2014-03-03	$107.13	$106.00	5.2%	1.5%	2.6%	10.2%	5.3%	2.8%	0.1%	-5.1M	15.8M	-82.6K	2.91	70.63	11	32	374	7,999
2014-03-04	$106.98	$106.00	4.7%	1.3%	2.6%	7.5%	3.5%	1.3%	0.2%	-5.4M	17.2M	-85.7K	0.04	15.56	50	2	380	8,011
2014-03-05	$106.78	$106.00	4.5%	1.3%	2.4%	6.5%	5.3%	1.4%	0.2%	-5.1M	17.5M	-83.6K	46.50	18.93	6	279	430	8,013
2014-03-06	$106.65	$106.00	4.3%	1.2%	2.4%	5.6%	0.0%	1.1%	0.7%	-5.9M	19.8M	-92.4K	0.00	99.62	0	1	430	8,137
2014-03-07	$106.12	$106.00	4.6%	1.5%	3.0%	7.3%	0.0%	1.4%	0.3%	-6.6M	24.2M	-93.0K	1.64	38.78	14	23	430	8,137
2014-03-10	$106.34	$106.00	5.3%	1.5%	3.0%	10.6%	0.0%	2.0%	0.1%	-6.3M	20.3M	-75.8K	14.25	26.61	4	57	434	8,152
2014-03-11	$106.44	$106.00	5.7%	1.6%	3.0%	12.8%	0.0%	1.8%	0.4%	-5.9M	21.0M	-88.3K	5.00	27.31	2	10	438	8,179
2014-03-12	$106.73	$106.00	4.1%	1.4%	3.1%	4.7%	5.8%	2.2%	0.4%	-5.6M	18.8M	-87.5K	20.00	24.09	1	20	438	8,189
2014-03-13	$106.96	$106.00	5.5%	1.6%	3.1%	12.1%	0.0%	1.8%	0.4%	-5.3M	17.2M	-85.8K	10.33	27.43	3	31	439	8,182
2014-03-14	$107.00	$106.00	5.4%	1.5%	3.1%	11.3%	5.6%	2.7%	0.5%	-4.8M	16.7M	-86.5K	0.00	37.42	0	26	442	8,188
2014-03-17	$107.22	$106.00	5.3%	1.5%	3.1%	10.9%	5.3%	2.0%	0.3%	-4.6M	14.5M	-76.8K	2.60	21.53	10	26	442	8,191
2014-03-18	$107.14	$107.00	5.1%	1.5%	3.1%	9.6%	4.6%	1.4%	0.5%	-4.3M	14.7M	-73.1K	0.00	70.83	100	0	442	8,212
2014-03-19	$106.66	$107.00	5.3%	1.5%	3.6%	10.5%	5.7%	2.3%	0.5%	-5.2M	18.9M	-82.3K	1.67	78.11	60	100	535	8,212
2014-03-20	$106.65	$107.00	5.0%	1.4%	3.6%	9.3%	5.3%	2.3%	0.8%	-5.3M	19.4M	-81.0K	0.00	21.23	0	19	502	8,238
2014-03-21	$106.73	$107.00	4.8%	1.4%	3.6%	8.2%	0.0%	2.4%	0.8%	-5.3M	18.7M	-79.3K	0.00	20.58	0	3	502	8,256
2014-03-24	$106.62	$107.00	5.0%	1.4%	3.6%	9.2%	5.5%	1.8%	0.4%	-5.6M	19.3M	-70.6K	35.25	75.55	4	141	266	7,913
2014-03-25	$106.48	$107.00	5.1%	1.5%	3.5%	9.9%	6.0%	1.7%	0.3%	-5.9M	20.2M	-70.3K	0.00	80.16	0	406	270	8,050
2014-03-26	$106.83	$107.00	4.5%	1.3%	3.7%	6.9%	4.4%	2.3%	1.0%	-6.0M	19.7M	-72.9K	288.00	83.74	1	288	270	8,452
2014-03-27	$107.05	$107.00	5.1%	1.5%	3.6%	9.7%	5.0%	2.4%	0.4%	-5.4M	18.5M	-74.4K	10.80	88.20	15	162	271	8,718
2014-03-28	$107.00	$107.00	4.8%	1.4%	3.5%	8.1%	0.0%	2.1%	0.5%	-5.5M	19.4M	-76.4K	0.00	85.22	0	57	278	8,867
2014-03-31	$107.06	$107.00	5.1%	1.5%	3.5%	10.0%	5.3%	2.2%	0.4%	-8.3M	18.2M	-76.5K	3.00	48.26	102	306	278	8,904