MUB Options History — September 2014

In September 2014, MUB traded between $108.97 and $109.79. ATM implied volatility averaged 4.2%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 1.8% (HV 20d: 2.4%). Max pain ranged from $110.00 to $111.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 3.59.

Notable Days

  • 2014-09-23: Highest Volume — 8,227 contracts
  • 2014-09-08: Largest IV spike — 37.5% change
  • 2014-09-24: Highest IV Rank — 54.3%
  • 2014-09-24: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.36$108.97$109.79$109.52$109.67
Max Pain$110.67$110.00$111.00$111.00$110.00
ATM IV4.2%2.4%5.5%2.4%4.4%
Expected Move1.3%1.0%1.5%1.0%1.4%
HV 20d2.4%2.2%2.8%2.5%2.2%
HV 60d2.6%2.5%2.8%2.8%2.5%
IV Rank33.2%8.3%54.3%8.3%38.2%
IV Percentile34.3%1.2%71.4%1.2%36.9%
Term Structure0.4%-0.5%2.3%2.3%0.8%
VWIV5.3%3.9%6.4%5.4%5.5%
Skew 25d2.2%1.3%6.0%2.4%1.3%
Skew 10d3.9%1.4%11.4%2.5%2.0%
Call IV 25d3.5%1.8%4.2%1.8%3.9%
Put IV 25d5.7%3.8%8.3%4.2%5.2%
Bid-Ask Spread %53.6439.9062.0351.3551.76
Gamma HHI0.430.330.700.390.44
Net GEX-12.1M-23.9M2.8M-13.0M2.8M
Net DEX43.1M2.9M67.4M53.3M6.5M
Net VEX-262.7K-412.9K-92.4K-244.3K-381.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.590.0715.553.850.24
Total Volume717.238458,227199272
Total OI18,057.09515,72425,24915,76725,249

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$109.52$111.002.4%1.0%2.5%8.3%5.4%2.4%2.3%-13.0M53.3M-244.3K3.8551.354115892114,846
2014-09-03$109.46$111.003.0%1.4%2.5%15.5%5.3%1.8%2.1%-23.0M32.7M-111.2K0.0054.7907596214,900
2014-09-04$109.33$111.003.2%1.3%2.3%17.7%5.1%6.0%1.9%-14.1M58.7M-257.1K0.0055.5308896214,931
2014-09-05$109.41$111.003.0%1.3%2.3%14.6%4.9%1.8%0.2%-14.2M58.9M-274.6K0.0058.72010296214,951
2014-09-08$109.34$111.004.1%1.5%2.3%27.4%6.1%2.3%0.1%-22.6M37.3M-136.8K0.0057.18022896214,946
2014-09-09$109.31$111.004.0%1.3%2.3%26.7%6.0%1.7%0.2%-15.1M60.5M-264.6K0.0055.93011296215,074
2014-09-10$109.12$111.003.9%1.4%2.4%25.7%6.4%1.9%0.1%-14.1M61.7M-267.6K0.7455.691037696215,110
2014-09-11$109.19$111.004.6%1.3%2.4%33.9%5.1%2.3%0.4%-12.4M58.7M-259.3K0.0052.2701141,06515,130
2014-09-12$108.97$111.004.9%1.0%2.5%37.1%3.9%2.1%-0.1%-14.8M67.4M-276.0K0.5549.80141771,06515,206
2014-09-15$109.14$111.004.8%1.2%2.5%36.1%0.0%1.7%-0.3%-15.8M63.8M-252.8K15.0051.834601,20315,246
2014-09-16$109.05$111.004.7%1.3%2.5%34.3%5.3%1.9%-0.1%-14.6M66.5M-283.1K0.0052.040831,20715,296
2014-09-17$109.12$111.004.7%1.3%2.4%40.0%4.3%2.6%-0.1%-15.7M64.3M-262.3K15.5557.21111711,20715,268
2014-09-18$109.24$111.004.6%1.4%2.3%41.0%5.6%2.5%-0.1%-23.9M29.6M-96.7K0.0062.030451,19015,023
2014-09-19$109.35$111.004.9%1.3%2.3%45.3%4.7%2.8%-0.3%-21.9M28.9M-92.4K1.7259.0129501,18015,018
2014-09-22$109.43$110.004.9%1.3%2.3%46.4%5.1%1.4%-0.5%-13.9M56.2M-245.3K0.0060.5901441,19514,529
2014-09-23$109.52$110.004.1%1.5%2.3%34.2%4.9%1.8%0.9%-12.9M52.2M-249.7K0.0755.487,7035241,19514,588
2014-09-24$109.40$110.005.5%1.5%2.3%54.3%5.4%2.1%-0.1%-563.1K21.8M-359.6K0.2148.432,8446007,00215,060
2014-09-25$109.79$110.004.1%1.4%2.6%34.8%0.0%1.9%0.9%2.7M2.9M-383.3K1.1450.852943358,97615,588
2014-09-26$109.52$110.004.7%1.4%2.8%42.9%5.5%1.5%0.5%1.1M13.2M-412.9K0.6639.902021339,05315,891
2014-09-29$109.63$110.004.7%1.5%2.8%42.2%6.2%1.7%0.6%1.8M9.7M-404.6K3.3446.05561879,16015,958
2014-09-30$109.67$110.004.4%1.4%2.2%38.2%5.5%1.3%0.8%2.8M6.5M-381.9K0.2451.76220529,20116,048