MUB Options History — October 2014

In October 2014, MUB traded between $109.67 and $111.06. ATM implied volatility averaged 4.4%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.7% (HV 20d: 2.7%). Max pain ranged from $110.00 to $110.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 5.25.

Notable Days

  • 2014-10-23: Highest Volume — 3,748 contracts
  • 2014-10-15: Largest IV spike — 41.2% change
  • 2014-10-15: Highest IV Rank — 61.5%
  • 2014-10-01: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.15$109.67$111.06$109.80$110.00
Max Pain$110.00$110.00$110.00$110.00$110.00
ATM IV4.4%3.5%6.0%4.3%4.1%
Expected Move1.4%1.2%1.5%1.5%1.4%
HV 20d2.7%2.1%3.2%2.3%3.1%
HV 60d2.6%2.4%2.7%2.5%2.5%
IV Rank38.0%25.8%61.5%37.2%34.5%
IV Percentile39.9%13.9%88.9%35.3%32.1%
Term Structure0.3%-0.3%1.1%0.4%0.1%
VWIV5.5%4.7%7.5%6.1%5.0%
Skew 25d0.4%-16.0%2.2%1.4%0.0%
Skew 10d2.4%-13.0%20.5%1.4%0.1%
Call IV 25d4.8%3.4%20.8%3.6%4.3%
Put IV 25d5.2%4.2%5.9%5.0%4.3%
Bid-Ask Spread %58.1543.4268.5650.4443.42
Gamma HHI0.390.310.460.420.43
Net GEX340.9K-5.6M6.6M3.8M-5.6M
Net DEX-5.5M-19.5M17.9M-5.5M-19.5M
Net VEX-263.8K-386.6K-105.6K-386.6K-105.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.250.0454.750.432.52
Total Volume1,412.957843,7489482,089
Total OI22,947.73921,03725,74825,45121,484

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$109.80$110.004.3%1.5%2.3%37.2%6.1%1.4%0.4%3.8M-5.5M-386.6K0.4350.446632859,37116,080
2014-10-02$109.67$110.004.2%1.4%2.3%35.2%5.5%0.8%0.5%4.2M-1.3M-386.1K1.7761.07691229,14516,219
2014-10-03$109.75$110.003.5%1.4%2.3%25.8%5.9%0.9%1.0%4.2M-4.2M-374.2K0.7268.201391009,13816,299
2014-10-06$109.71$110.003.6%1.3%2.3%27.7%5.1%0.7%0.7%6.6M-4.8M-366.6K0.6948.332071439,13816,320
2014-10-07$109.95$110.003.9%1.4%2.4%31.7%5.5%0.9%0.3%4.9M-13.8M-359.9K54.7554.75201,0959,31616,432
2014-10-08$110.02$110.003.6%1.3%2.2%27.0%5.0%1.8%0.4%4.5M-14.2M-362.4K2.8861.077042,0319,42716,251
2014-10-09$110.14$110.003.9%1.4%2.3%31.7%5.5%0.9%0.3%4.1M-18.7M-343.4K0.7555.932732069,10116,369
2014-10-10$110.22$110.004.1%1.4%2.1%34.8%5.0%0.8%0.4%4.8M-19.4M-328.6K0.0454.312,7901148,89816,339
2014-10-13$110.68$110.003.8%1.4%2.4%29.8%5.5%1.2%0.7%-812.2K-10.4M-293.4K0.1155.831,1691316,65116,441
2014-10-14$110.70$110.004.3%1.4%2.3%36.5%5.5%1.2%0.3%-3.1M-6.1M-277.5K2.0355.166161,2496,01616,486
2014-10-15$111.06$110.006.0%1.4%2.5%61.5%5.8%1.0%0.2%-3.4M-9.7M-265.4K1.9068.567031,3345,74616,512
2014-10-16$110.66$110.004.5%1.4%3.0%39.8%7.5%1.6%1.1%-708.9K-18.4M-145.9K1.4660.721682465,44416,240
2014-10-17$110.52$110.004.3%1.2%3.0%37.6%6.0%1.4%0.7%-3.9M1.4M-261.2K0.7560.611451095,38516,150
2014-10-20$110.39$110.004.9%1.3%3.1%45.6%5.8%1.2%-0.1%-2.8M4.7M-274.6K5.6161.71764265,31215,725
2014-10-21$110.18$110.004.3%1.3%3.2%37.2%4.7%1.1%-0.2%2.5M-13.9M-124.5K3.3562.703691,2375,27716,035
2014-10-22$110.20$110.004.6%1.4%3.2%41.5%4.8%1.3%-0.0%163.0K-13.3M-128.5K3.0955.324131,2755,28516,048
2014-10-23$109.86$110.004.6%1.3%3.1%42.0%5.6%0.9%0.2%-3.8M17.9M-268.7K6.8168.104803,2685,28016,068
2014-10-24$109.99$110.004.9%1.3%3.0%45.1%4.7%1.4%0.2%2.5M-9.9M-127.1K8.5454.003903,3295,38715,957
2014-10-27$109.96$110.004.8%1.4%3.0%43.7%5.0%2.2%0.3%-3.0M15.3M-254.3K14.3654.95111585,29415,864
2014-10-28$109.96$110.004.8%1.4%3.0%43.8%5.9%1.8%-0.3%-2.8M15.4M-248.2K2.0066.0328565,27615,898
2014-10-29$109.96$110.004.9%1.4%3.0%45.5%5.0%0.5%-0.1%-1.3M13.3M-245.0K3.1552.835001,5765,38715,914
2014-10-30$110.16$110.004.5%1.3%3.0%39.6%5.2%-16.0%0.2%-3.2M-10.4M-140.5K3.0063.484961,4905,48715,906
2014-10-31$110.00$110.004.1%1.4%3.1%34.5%5.0%0.0%0.1%-5.6M-19.5M-105.6K2.5243.425931,4965,50315,981