MUB Options History — November 2014

In November 2014, MUB traded between $109.25 and $109.91. ATM implied volatility averaged 4.3%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.7% (HV 20d: 2.5%). Max pain ranged from $110.00 to $110.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 3.24.

Notable Days

2014-11-20: Highest Volume — 3,269 contracts
2014-11-07: Largest IV drop — 17.0% change
2014-11-05: Highest IV Rank — 51.1%
2014-11-17: Largest Expected Move — 1.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$109.53	$109.25	$109.91	$109.64	$109.91
Max Pain	$110.00	$110.00	$110.00	$110.00	$110.00
ATM IV	4.3%	3.6%	5.3%	4.5%	3.6%
Expected Move	1.4%	1.2%	1.5%	1.3%	1.4%
HV 20d	2.5%	2.1%	3.3%	3.3%	2.1%
HV 60d	2.6%	2.5%	2.7%	2.6%	2.5%
IV Rank	36.5%	26.7%	51.1%	39.9%	26.7%
IV Percentile	38.9%	15.5%	76.6%	46.0%	15.5%
Term Structure	0.5%	-0.7%	1.3%	-0.1%	0.5%
VWIV	5.0%	4.4%	5.5%	5.2%	4.8%
Skew 25d	1.6%	0.0%	19.2%	0.3%	19.2%
Skew 10d	4.7%	0.3%	26.9%	0.3%	26.9%
Call IV 25d	4.0%	3.3%	4.7%	4.7%	3.3%
Put IV 25d	5.7%	4.0%	22.4%	5.0%	22.4%
Bid-Ask Spread %	48.49	32.23	63.17	45.96	59.70
Gamma HHI	0.48	0.37	0.66	0.39	0.66
Net GEX	-599.1K	-18.0M	20.6M	-1.8M	-18.0M
Net DEX	23.5M	10.9M	44.0M	15.4M	24.7M
Net VEX	-193.6K	-237.7K	-68.7K	-235.7K	-100.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.24	0.00	7.22	2.84	0.00
Total Volume	1,895.316	1	3,269	1,709	130
Total OI	19,635.211	11,751	22,574	21,287	11,949

Daily Data (19 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
2014-11-03	$109.64	$110.00	4.5%	1.3%	3.3%	39.9%	5.2%	0.3%	-0.1%	-1.8M	15.4M	-235.7K	2.84	45.96	445	1,264	5,301	15,986
2014-11-04	$109.51	$110.00	4.5%	1.3%	3.2%	40.4%	5.2%	1.9%	-0.0%	-4.4M	21.2M	-237.3K	2.90	45.90	436	1,264	5,268	16,057
2014-11-05	$109.46	$110.00	5.3%	1.5%	3.2%	51.1%	5.1%	1.1%	-0.7%	-3.2M	22.3M	-237.7K	3.16	48.78	428	1,353	5,327	16,073
2014-11-06	$109.33	$110.00	5.2%	1.4%	3.2%	49.8%	5.1%	1.1%	-0.5%	-1.2M	24.3M	-235.3K	2.67	44.73	551	1,471	5,458	16,003
2014-11-07	$109.55	$110.00	4.3%	1.3%	3.3%	37.2%	5.1%	0.6%	0.4%	541.9K	15.0M	-224.6K	3.25	46.65	533	1,732	5,520	16,044
2014-11-10	$109.48	$110.00	4.2%	1.5%	2.8%	35.1%	4.9%	0.3%	0.5%	8.3M	14.6M	-213.7K	3.30	43.75	431	1,422	5,635	16,059
2014-11-11	$109.55	$110.00	3.6%	1.4%	2.8%	27.2%	4.9%	0.5%	0.8%	7.4M	10.9M	-209.9K	5.31	52.41	427	2,266	5,491	15,945
2014-11-12	$109.56	$110.00	3.8%	1.5%	2.5%	30.1%	5.5%	0.5%	0.8%	4.5M	17.7M	-224.2K	3.64	50.06	610	2,223	5,604	16,970
2014-11-13	$109.51	$110.00	4.3%	1.3%	2.2%	37.8%	4.8%	0.9%	1.1%	8.1M	20.0M	-222.4K	3.98	41.65	559	2,223	5,407	16,976
2014-11-14	$109.58	$110.00	4.3%	1.2%	2.2%	36.5%	0.0%	1.0%	1.0%	6.2M	19.0M	-212.2K	0.83	37.24	168	140	5,268	16,976
2014-11-17	$109.42	$110.00	4.3%	1.5%	2.2%	37.8%	5.5%	0.0%	0.7%	3.7M	24.4M	-210.1K	3.12	33.96	715	2,228	5,407	17,116
2014-11-18	$109.42	$110.00	4.5%	1.5%	2.2%	39.9%	5.0%	0.3%	0.6%	4.6M	26.9M	-218.2K	3.67	32.23	614	2,252	5,304	17,121
2014-11-19	$109.25	$110.00	4.0%	1.5%	2.2%	33.2%	4.5%	0.5%	1.3%	20.6M	34.0M	-196.8K	0.09	58.66	2,614	228	5,139	17,101
2014-11-20	$109.44	$110.00	4.2%	1.4%	2.1%	36.4%	4.4%	1.0%	0.7%	-1.9M	32.2M	-189.1K	3.08	63.17	801	2,468	4,313	16,537
2014-11-21	$109.56	$110.00	4.1%	1.4%	2.1%	34.0%	5.1%	0.5%	0.5%	-12.5M	16.5M	-85.3K	2.39	56.60	692	1,656	3,513	16,537
2014-11-24	$109.58	$110.00	4.3%	1.4%	2.1%	36.9%	0.0%	0.6%	0.5%	-14.5M	43.7M	-178.8K	6.92	51.48	39	270	729	11,022
2014-11-25	$109.61	$110.00	3.9%	1.4%	2.1%	32.0%	4.9%	0.4%	0.2%	-14.0M	44.0M	-177.5K	7.22	54.35	165	1,192	729	11,227
2014-11-26	$109.77	$110.00	3.9%	1.3%	2.2%	31.8%	4.6%	0.7%	0.3%	-3.9M	18.8M	-68.7K	0.00	53.98	0	1	729	11,228
2014-11-28	$109.91	$110.00	3.6%	1.4%	2.1%	26.7%	4.8%	19.2%	0.5%	-18.0M	24.7M	-100.5K	0.00	59.70	130	0	721	11,228