MUB Options History — August 2014

In August 2014, MUB traded between $108.59 and $110.01. ATM implied volatility averaged 4.4%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 1.7% (HV 20d: 2.7%). Max pain ranged from $110.00 to $111.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 35.65.

Notable Days

  • 2014-08-13: Highest Volume — 2,548 contracts
  • 2014-08-14: Largest IV spike — 38.9% change
  • 2014-08-07: Highest IV Rank — 41.9%
  • 2014-08-12: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.32$108.59$110.01$109.03$110.01
Max Pain$110.57$110.00$111.00$111.00$111.00
ATM IV4.4%2.8%5.5%5.0%2.8%
Expected Move1.5%1.3%1.6%1.5%1.5%
HV 20d2.7%2.2%2.9%2.4%2.2%
HV 60d2.8%2.6%2.9%2.8%2.6%
IV Rank29.8%12.6%41.9%35.5%12.6%
IV Percentile31.8%3.2%61.1%40.5%3.2%
Term Structure0.5%-0.2%1.6%0.3%0.9%
VWIV6.0%4.7%8.8%5.2%6.0%
Skew 25d2.2%0.6%7.6%0.6%7.6%
Skew 10d4.2%0.2%11.1%0.2%11.1%
Call IV 25d3.7%2.2%4.9%4.0%2.7%
Put IV 25d5.9%4.2%10.3%4.6%10.3%
Bid-Ask Spread %52.0443.2465.9065.9058.73
Gamma HHI0.570.190.790.740.57
Net GEX-18.3M-32.5M-5.6M-27.5M-14.2M
Net DEX33.9M16.4M58.9M27.0M24.7M
Net VEX-147.1K-299.6K-67.5K-124.3K-136.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio35.650.40161.4021.2814.25
Total Volume485.238252,548401305
Total OI18,497.38114,49625,40519,68215,966

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$109.03$111.005.0%1.5%2.4%35.5%5.2%0.6%0.3%-27.5M27.0M-124.3K21.2865.90183831,52518,157
2014-08-04$108.67$111.004.7%1.3%2.7%33.1%6.2%2.5%0.1%-29.1M43.8M-142.2K0.8645.111181021,54318,357
2014-08-05$108.59$111.005.4%1.5%2.7%40.2%5.9%2.4%0.3%-27.2M47.6M-163.4K0.4044.49119471,65618,444
2014-08-06$108.92$110.005.0%1.4%2.9%36.4%6.3%1.9%0.4%-32.5M27.5M-112.5K0.0045.4501131,77218,476
2014-08-07$109.06$110.005.5%1.5%2.9%41.9%5.4%1.8%0.2%-25.3M26.5M-120.1K40.5745.4872841,77218,577
2014-08-08$109.15$110.004.5%1.5%2.9%30.9%5.4%2.1%0.3%-5.6M23.7M-114.8K0.0045.6105831,77218,786
2014-08-11$109.08$110.004.4%1.5%2.9%29.0%8.8%2.0%0.1%-7.1M25.6M-108.8K0.0043.240251,77219,333
2014-08-12$109.16$110.005.2%1.6%2.8%38.6%6.6%3.4%0.7%-12.3M31.8M-171.5K161.4061.93152,4211,77219,298
2014-08-13$109.20$110.003.6%1.5%2.7%21.3%6.2%2.0%0.3%-27.0M36.5M-126.7K10.3247.782252,3231,78221,642
2014-08-14$109.29$110.005.1%1.5%2.7%36.7%6.3%2.1%-0.2%-31.9M30.9M-104.5K0.0044.7301401,75023,562
2014-08-15$109.44$110.004.9%1.5%2.7%34.9%6.1%2.4%0.1%-26.7M23.6M-89.0K0.8848.293773331,75023,655
2014-08-18$109.49$110.004.5%1.5%2.7%30.8%5.6%0.9%0.4%-12.3M40.4M-177.7K54.7552.9142191,43713,059
2014-08-19$109.22$111.004.9%1.4%2.9%35.5%8.1%2.7%-0.1%-11.3M58.9M-299.6K22.6048.62102261,34113,265
2014-08-20$109.38$111.004.4%1.5%2.9%29.9%5.7%2.1%0.4%-21.7M23.1M-91.1K64.8351.1463891,34113,400
2014-08-21$109.53$111.003.7%1.4%2.8%22.4%5.8%2.9%1.6%-14.7M40.4M-167.6K0.0053.280851,34113,631
2014-08-22$109.54$111.003.9%1.5%2.7%24.7%6.0%1.3%0.6%-9.3M48.4M-228.5K0.0055.8202091,31613,693
2014-08-25$109.58$111.004.2%1.3%2.7%28.8%4.8%1.7%0.6%-18.6M22.0M-82.4K0.0060.3003471,31613,813
2014-08-26$109.68$111.004.2%1.4%2.7%28.3%4.7%1.0%0.1%-13.1M16.4M-67.5K0.0059.790371,31614,040
2014-08-27$109.80$111.003.3%1.3%2.2%18.2%0.0%1.5%1.2%-8.7M45.5M-217.5K0.0055.8202941,29914,073
2014-08-28$109.90$111.003.0%1.3%2.2%15.5%5.1%1.6%1.5%-7.9M46.7M-243.4K0.0058.5004261,29914,346
2014-08-29$110.01$111.002.8%1.5%2.2%12.6%6.0%7.6%0.9%-14.2M24.7M-136.3K14.2558.73202851,29914,667