MUB Options History — December 2014

In December 2014, MUB traded between $109.55 and $110.34. ATM implied volatility averaged 4.8%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 2.5% (HV 20d: 2.3%). Max pain ranged from $110.00 to $110.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 5.74.

Notable Days

  • 2014-12-09: Highest Volume — 1,633 contracts
  • 2014-12-05: Largest IV drop — 19.1% change
  • 2014-12-12: Highest IV Rank — 60.1%
  • 2014-12-16: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.96$109.55$110.34$109.67$110.34
Max Pain$110.00$110.00$110.00$110.00$110.00
ATM IV4.8%3.6%5.9%4.5%4.5%
Expected Move1.5%1.4%1.8%1.5%1.4%
HV 20d2.3%1.8%2.7%2.2%2.6%
HV 60d2.6%2.5%2.7%2.5%2.6%
IV Rank44.9%27.8%60.1%40.5%40.5%
IV Percentile64.5%18.3%93.3%53.6%55.6%
Term Structure0.3%-0.4%0.8%0.1%0.5%
VWIV5.5%5.0%6.0%5.7%5.4%
Skew 25d0.5%-0.6%1.1%0.2%-0.6%
Skew 10d3.3%-0.4%21.6%0.4%-0.4%
Call IV 25d4.7%3.4%5.9%4.8%4.5%
Put IV 25d5.2%3.9%6.6%5.0%3.9%
Bid-Ask Spread %61.0350.5778.2650.5973.90
Gamma HHI0.500.420.660.480.51
Net GEX-13.4M-18.5M-5.0M-12.3M-16.2M
Net DEX34.0M17.0M42.4M42.4M20.4M
Net VEX-153.2K-191.5K-61.3K-191.5K-98.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.742.2514.644.456.13
Total Volume1,134.72701,6331,3580
Total OI11,993.27311,62712,33611,88611,627

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$109.67$110.004.5%1.5%2.2%40.5%5.7%0.2%0.1%-12.3M42.4M-191.5K4.4550.592491,10965811,228
2014-12-02$109.55$110.004.5%1.5%1.9%39.9%5.5%-0.3%0.2%-13.7M41.5M-178.8K4.1455.512451,01465811,239
2014-12-03$109.72$110.003.9%1.4%1.9%31.8%5.2%1.0%0.7%-12.9M40.6M-176.5K4.4556.002501,11266411,244
2014-12-04$109.80$110.004.5%1.5%1.9%40.1%6.0%1.0%0.3%-12.3M39.9M-183.8K2.2551.1981866111,312
2014-12-05$109.69$110.003.6%1.4%1.9%27.8%5.0%0.8%0.5%-13.0M40.4M-173.5K4.0953.782481,01567411,319
2014-12-08$109.79$110.004.3%1.4%1.8%37.2%5.3%0.9%0.5%-12.3M40.6M-178.8K4.0578.262481,00467411,327
2014-12-09$110.05$110.005.1%1.5%1.9%47.9%5.4%0.4%0.1%-13.4M33.0M-158.9K2.6556.204471,18667411,432
2014-12-10$110.15$110.005.2%1.4%2.0%50.5%5.5%0.6%0.1%-12.4M36.6M-175.3K2.6464.464471,18059211,576
2014-12-11$110.09$110.005.4%1.6%2.0%52.9%6.0%0.8%0.3%-11.8M37.8M-181.9K2.6452.204471,18059211,635
2014-12-12$110.26$110.005.9%1.6%2.0%60.1%6.0%0.8%-0.0%-11.9M35.3M-174.4K3.2660.723441,12159211,635
2014-12-15$109.96$110.005.8%1.6%2.3%58.8%5.9%1.0%-0.4%-13.3M36.1M-167.3K2.8655.1234699059211,696
2014-12-16$110.27$110.005.8%1.8%2.4%58.7%6.0%0.7%0.3%-11.9M33.6M-161.3K2.6557.6534691659311,728
2014-12-17$109.91$110.005.6%1.6%2.7%55.3%5.8%0.7%0.3%-12.2M37.1M-173.1K6.1160.4115091659311,743
2014-12-18$109.96$110.005.1%1.5%2.6%48.8%5.5%0.5%0.5%-14.7M36.0M-148.6K8.3763.861501,25558911,743
2014-12-19$110.04$110.004.8%1.5%2.6%43.7%5.7%0.7%0.5%-13.1M32.4M-143.4K14.6453.562536658211,567
2014-12-22$110.01$110.004.6%1.5%2.6%41.9%5.4%0.3%0.8%-13.6M34.9M-150.7K10.7250.571231,31941211,374
2014-12-23$110.01$110.004.6%1.5%2.6%41.8%5.2%-0.0%0.4%-5.0M17.0M-61.3K9.1863.471411,29541411,412
2014-12-24$109.81$110.004.6%1.5%2.7%41.1%5.2%0.2%0.7%-16.3M32.9M-143.8K11.2668.031161,30644111,280
2014-12-26$109.86$110.004.5%1.4%2.6%40.4%5.2%-0.1%0.5%-18.5M30.3M-129.5K8.2570.2811695744311,321
2014-12-29$110.09$110.004.7%1.5%2.7%42.9%5.4%1.1%0.1%-18.5M22.8M-103.0K6.1374.1615695744311,245
2014-12-30$110.16$110.004.8%1.5%2.6%44.7%5.4%0.2%0.2%-15.5M25.5M-117.1K0.0072.76014638311,245
2014-12-31$110.34$110.004.5%1.4%2.6%40.5%0.0%-0.6%0.5%-16.2M20.4M-98.3K0.0073.900038311,244