MUB Options History — June 2014

In June 2014, MUB traded between $107.91 and $108.79. ATM implied volatility averaged 3.2%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 1.2%. IV traded above realized volatility by 0.5% (HV 20d: 2.7%). 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 19 of 21 days. Put/call ratio averaged 21.77.

Notable Days

  • 2014-06-17: Highest Volume — 570 contracts
  • 2014-06-12: Largest IV spike — 36.5% change
  • 2014-06-16: Highest IV Rank — 6.9%
  • 2014-06-24: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.27$107.91$108.79$108.62$108.65
Max Pain$108.05$107.00$109.00$109.00$109.00
ATM IV3.2%1.7%4.0%3.4%1.7%
Expected Move1.2%0.9%1.5%1.0%1.3%
HV 20d2.7%2.4%3.1%2.5%2.8%
HV 60d2.8%2.6%3.0%3.0%2.6%
IV Rank3.2%0.0%6.9%3.7%0.0%
IV Percentile5.9%0.0%14.3%5.2%0.0%
Term Structure0.6%-0.1%1.8%-0.1%1.5%
VWIV4.1%2.9%5.6%3.3%4.5%
Skew 25d1.6%0.0%3.9%0.3%2.0%
Skew 10d2.2%-0.2%10.5%7.5%0.6%
Call IV 25d2.6%1.6%3.5%3.5%1.7%
Put IV 25d4.2%2.7%6.5%3.8%3.7%
Bid-Ask Spread %49.3722.3393.4625.4545.08
Gamma HHI0.610.460.780.560.74
Net GEX-16.7M-19.6M-12.2M-12.2M-15.7M
Net DEX39.3M30.0M48.1M32.3M31.0M
Net VEX-141.2K-184.5K-102.2K-142.4K-119.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio21.770.07173.009.001.66
Total Volume1745570180194
Total OI14,158.42913,57615,15413,76713,969

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$108.62$109.003.4%1.0%2.5%3.7%3.3%0.3%-0.1%-12.2M32.3M-142.4K9.0025.45181621,31412,453
2014-06-03$108.40$109.003.8%1.1%2.7%5.7%0.0%0.2%0.4%-15.2M39.7M-184.5K0.0025.5805021,32412,467
2014-06-04$108.22$109.003.5%1.0%2.7%4.1%0.0%0.9%0.6%-14.4M38.3M-147.1K0.0022.3305651,32412,509
2014-06-05$108.37$109.003.0%0.9%2.8%1.7%3.7%3.9%1.8%-16.6M37.9M-148.1K0.0093.4602851,32412,800
2014-06-06$108.34$108.002.6%1.2%2.6%0.0%0.0%1.1%0.3%-16.3M37.7M-144.3K1.0552.2921221,32412,887
2014-06-09$108.24$108.002.8%1.1%2.7%0.6%0.0%1.1%0.1%-17.2M36.8M-126.9K0.6043.941061,33512,886
2014-06-10$107.94$108.002.8%1.1%2.8%0.8%4.4%1.8%0.4%-18.6M46.6M-159.7K7.2044.3010721,33412,886
2014-06-11$108.04$108.002.9%1.1%2.8%1.4%3.6%2.0%0.4%-17.7M43.1M-139.6K2.5741.94511311,34412,907
2014-06-12$108.17$108.004.0%1.1%2.7%6.8%4.8%2.2%0.5%-16.5M39.6M-133.8K10.3379.44272791,39512,916
2014-06-13$108.00$107.003.8%1.1%2.4%6.0%3.0%1.8%0.2%-16.1M41.3M-136.0K0.0048.540301,42213,049
2014-06-16$107.93$107.004.0%1.2%2.4%6.9%0.0%2.1%0.4%-18.1M48.1M-164.3K33.6738.8131011,42213,059
2014-06-17$107.91$107.003.7%1.1%2.4%5.5%3.6%1.7%0.4%-18.0M46.3M-152.5K12.9047.58415291,42513,159
2014-06-18$108.25$107.003.7%1.1%2.7%5.1%2.9%1.7%0.2%-17.5M40.4M-134.0K5.0050.06151,46613,688
2014-06-19$108.14$107.003.9%1.1%2.7%6.1%4.0%1.7%-0.0%-19.5M44.4M-151.3K0.0046.790791,44813,187
2014-06-20$108.04$107.003.5%1.0%2.7%4.1%3.2%1.1%0.1%-19.6M45.8M-157.0K0.0790.361511,44813,216
2014-06-23$108.19$0.003.4%1.5%2.7%3.8%0.0%0.0%0.1%-16.2M41.0M-128.6K0.0047.59051,39612,180
2014-06-24$108.15$0.003.5%1.5%2.7%4.3%5.2%1.5%0.2%-16.2M42.4M-155.1K173.0046.5911731,39612,185
2014-06-25$108.59$108.002.7%1.5%3.1%0.4%5.6%1.8%1.3%-16.9M30.0M-102.2K33.7546.0641351,39712,350
2014-06-26$108.79$109.002.2%1.4%3.1%0.0%5.0%2.0%1.5%-15.8M30.8M-119.6K0.0047.9301161,40112,422
2014-06-27$108.69$109.002.3%1.4%3.1%0.7%0.0%2.1%1.6%-16.0M31.1M-119.8K14.0052.744561,40112,512
2014-06-30$108.65$109.001.7%1.3%2.8%0.0%4.5%2.0%1.5%-15.7M31.0M-119.5K1.6645.08731211,40112,568