MUB Options History — April 2014

In April 2014, MUB traded between $106.49 and $108.13. ATM implied volatility averaged 4.4%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 1.0% (HV 20d: 3.4%). Max pain ranged from $107.00 to $109.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 23.02.

Notable Days

2014-04-22: Highest Volume — 1,510 contracts
2014-04-10: Largest IV spike — 29.3% change
2014-04-10: Highest IV Rank — 12.9%
2014-04-10: Largest Expected Move — 1.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$107.51	$106.49	$108.13	$106.59	$108.13
Max Pain	$107.33	$107.00	$109.00	$107.00	$108.00
ATM IV	4.4%	2.7%	5.7%	4.3%	2.7%
Expected Move	1.3%	0.8%	1.6%	1.2%	0.8%
HV 20d	3.4%	2.6%	3.8%	3.8%	2.6%
HV 60d	3.2%	3.0%	3.3%	3.3%	3.1%
IV Rank	6.4%	0.0%	12.9%	5.6%	0.0%
IV Percentile	14.4%	0.0%	46.4%	10.3%	0.0%
Term Structure	1.1%	0.4%	2.2%	0.7%	2.2%
VWIV	4.7%	2.4%	6.2%	4.3%	2.4%
Skew 25d	1.7%	0.3%	7.6%	1.2%	7.6%
Skew 10d	3.3%	-0.3%	12.5%	2.2%	12.5%
Call IV 25d	3.8%	2.5%	5.1%	4.0%	2.5%
Put IV 25d	5.6%	4.0%	10.2%	5.2%	10.2%
Bid-Ask Spread %	84.25	68.32	110.85	87.15	94.64
Gamma HHI	0.41	0.19	0.61	0.30	0.19
Net GEX	-6.0M	-8.6M	-1.8M	-8.4M	-3.6M
Net DEX	14.0M	7.0M	24.2M	23.5M	10.4M
Net VEX	-78.8K	-125.6K	-54.2K	-100.2K	-98.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	23.02	0.19	169.00	169.00	0.65
Total Volume	336.905	51	1,510	170	132
Total OI	10,907.571	9,559	13,202	9,559	13,202

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
2014-04-01	$106.59	$107.00	4.3%	1.2%	3.8%	5.6%	4.3%	1.2%	0.7%	-8.4M	23.5M	-100.2K	169.00	87.15	1	169	379	9,180
2014-04-02	$106.49	$107.00	4.9%	1.4%	3.8%	8.9%	4.6%	0.3%	0.4%	-8.3M	24.1M	-97.4K	18.57	89.27	7	130	376	9,231
2014-04-03	$106.62	$107.00	4.5%	1.3%	3.8%	6.5%	0.0%	0.7%	0.8%	-8.6M	24.1M	-105.1K	43.50	85.29	2	87	376	9,323
2014-04-04	$106.97	$109.00	4.4%	1.5%	3.5%	6.0%	0.0%	1.5%	0.9%	-7.8M	24.2M	-125.6K	0.00	77.22	0	51	378	9,381
2014-04-07	$107.15	$109.00	5.0%	1.5%	3.4%	9.4%	5.4%	1.3%	0.8%	-7.3M	17.9M	-83.8K	2.24	71.73	70	157	378	9,409
2014-04-08	$107.18	$107.00	5.0%	1.6%	3.4%	9.0%	0.0%	1.6%	0.8%	-6.7M	17.4M	-84.5K	12.80	77.41	10	128	448	9,518
2014-04-09	$107.02	$107.00	4.4%	1.5%	3.4%	6.2%	4.7%	1.4%	1.1%	-7.3M	18.8M	-90.5K	0.00	71.96	0	274	458	9,591
2014-04-10	$107.47	$107.00	5.7%	1.6%	3.6%	12.9%	5.2%	1.9%	1.0%	-6.4M	14.9M	-79.5K	12.47	68.32	19	237	458	9,828
2014-04-11	$107.80	$107.00	5.2%	1.5%	3.7%	10.1%	6.2%	2.4%	1.5%	-5.3M	11.2M	-67.3K	21.84	74.34	31	677	474	9,978
2014-04-14	$107.69	$107.00	5.3%	1.5%	3.7%	11.0%	6.0%	2.7%	1.1%	-6.0M	14.6M	-88.2K	8.00	80.96	7	56	503	10,529
2014-04-15	$107.82	$107.00	4.8%	1.4%	3.7%	8.4%	0.0%	2.1%	1.2%	-5.0M	10.7M	-68.8K	3.36	81.70	22	74	509	10,569
2014-04-16	$107.78	$107.00	4.6%	1.3%	3.3%	7.0%	5.3%	2.0%	1.3%	-5.2M	11.2M	-72.1K	0.95	75.31	100	95	527	10,505
2014-04-17	$107.53	$107.00	4.3%	1.2%	3.4%	5.8%	4.6%	1.1%	1.5%	-6.2M	12.3M	-69.5K	1.77	82.46	30	53	422	10,577
2014-04-21	$107.71	$107.00	4.5%	1.3%	3.4%	6.5%	5.0%	1.3%	1.0%	-5.5M	9.0M	-54.2K	20.67	84.97	12	248	406	10,341
2014-04-22	$107.74	$107.00	4.2%	1.2%	3.4%	4.9%	3.7%	1.3%	0.7%	-5.7M	11.1M	-66.9K	106.86	86.19	14	1,496	417	10,588
2014-04-23	$107.82	$107.00	4.4%	1.2%	3.3%	5.9%	0.0%	1.2%	0.9%	-5.3M	9.7M	-57.6K	1.21	97.19	300	362	426	10,486
2014-04-24	$107.95	$107.00	4.0%	1.2%	3.2%	4.4%	5.1%	1.0%	1.0%	-6.1M	7.6M	-55.8K	1.30	89.80	302	393	726	10,748
2014-04-25	$108.11	$107.00	3.9%	1.1%	3.2%	3.3%	0.0%	1.4%	1.1%	-5.4M	7.6M	-63.1K	0.95	110.85	607	574	1,028	11,069
2014-04-28	$108.08	$108.00	3.5%	1.0%	3.2%	1.7%	3.3%	1.1%	1.1%	-1.8M	7.3M	-67.1K	11.00	89.51	5	55	1,613	11,569
2014-04-29	$107.99	$108.00	3.1%	0.9%	3.2%	0.0%	0.0%	1.3%	1.5%	-3.4M	7.0M	-58.8K	0.19	93.00	74	14	1,546	11,589
2014-04-30	$108.13	$108.00	2.7%	0.8%	2.6%	0.0%	2.4%	7.6%	2.2%	-3.6M	10.4M	-98.6K	0.65	94.64	80	52	1,600	11,602