MUB Options History — January 2015

In January 2015, MUB traded between $110.17 and $112.16. ATM implied volatility averaged 5.1%, placing in the 49.1% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 2.6% (HV 20d: 2.6%). Max pain ranged from $110.00 to $111.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 5.10.

Notable Days

2015-01-08: Highest Volume — 1,361 contracts
2015-01-12: Largest IV spike — 30.2% change
2015-01-12: Highest IV Rank — 59.6%
2015-01-21: Largest Expected Move — 1.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.31	$110.17	$112.16	$110.17	$112.16
Max Pain	$110.50	$110.00	$111.00	$110.00	$111.00
ATM IV	5.1%	4.5%	5.9%	4.7%	4.7%
Expected Move	1.5%	1.3%	1.7%	1.4%	1.4%
HV 20d	2.6%	2.2%	2.8%	2.6%	2.7%
HV 60d	2.5%	2.4%	2.7%	2.6%	2.4%
IV Rank	49.1%	40.2%	59.6%	42.9%	43.1%
IV Percentile	76.8%	54.4%	95.2%	63.5%	64.3%
Term Structure	0.1%	-0.4%	0.5%	0.2%	0.3%
VWIV	5.3%	3.8%	6.2%	5.1%	4.2%
Skew 25d	0.4%	-0.2%	2.7%	0.1%	0.3%
Skew 10d	2.0%	-0.3%	9.1%	3.2%	0.9%
Call IV 25d	5.3%	4.6%	5.9%	4.8%	4.6%
Put IV 25d	5.7%	4.9%	7.9%	4.9%	4.9%
Bid-Ask Spread %	73.64	63.30	84.10	82.81	84.10
Gamma HHI	0.50	0.35	0.77	0.43	0.48
Net GEX	-7.0M	-13.2M	-1.6M	-13.2M	-1.6M
Net DEX	9.1M	-3.6M	25.9M	25.9M	970.6K
Net VEX	-63.8K	-122.8K	-11.5K	-122.8K	-27.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.10	0.00	31.20	7.88	2.69
Total Volume	726	1	1,361	1,136	1,119
Total OI	11,861.35	11,637	12,054	11,687	11,885

Daily Data (20 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
2015-01-02	$110.17	$110.00	4.7%	1.4%	2.6%	42.9%	5.1%	0.1%	0.2%	-13.2M	25.9M	-122.8K	7.88	82.81	128	1,008	443	11,244
2015-01-05	$110.30	$110.00	4.9%	1.5%	2.6%	45.6%	5.5%	0.7%	0.3%	-12.9M	25.3M	-121.6K	0.37	73.44	60	22	381	11,256
2015-01-06	$110.61	$110.00	4.9%	1.5%	2.7%	46.4%	5.5%	0.2%	0.2%	-11.3M	20.3M	-110.9K	31.20	67.52	10	312	441	11,278
2015-01-07	$110.88	$110.00	5.0%	1.5%	2.8%	46.5%	3.8%	0.0%	0.3%	-11.1M	18.8M	-104.3K	0.52	70.34	21	11	441	11,574
2015-01-08	$110.86	$110.00	4.9%	1.6%	2.7%	45.9%	6.1%	0.2%	0.1%	-10.5M	16.5M	-98.3K	6.60	72.33	179	1,182	501	11,320
2015-01-09	$111.02	$110.00	4.5%	1.6%	2.8%	40.2%	5.6%	0.0%	0.3%	-10.6M	8.8M	-52.2K	7.36	64.02	160	1,177	501	11,301
2015-01-12	$111.16	$110.00	5.9%	1.6%	2.7%	59.6%	6.1%	0.5%	-0.0%	-9.5M	14.4M	-89.7K	5.41	71.92	160	866	478	11,306
2015-01-13	$111.24	$110.00	4.8%	1.6%	2.7%	44.5%	5.8%	0.4%	-0.1%	-8.9M	12.9M	-83.6K	2.71	71.81	336	909	478	11,286
2015-01-14	$111.44	$110.00	5.8%	1.7%	2.5%	58.4%	6.2%	-0.2%	-0.0%	-9.2M	7.7M	-64.7K	4.11	65.92	197	810	630	11,286
2015-01-15	$111.72	$110.00	5.8%	1.7%	2.5%	58.0%	5.9%	0.1%	-0.2%	-6.3M	6.9M	-65.6K	4.67	65.85	198	925	618	11,226
2015-01-16	$111.52	$111.00	5.6%	1.6%	2.2%	55.4%	5.4%	-0.0%	0.5%	-9.9M	9.6M	-67.6K	0.07	66.47	30	2	550	11,339
2015-01-20	$111.66	$111.00	5.7%	1.6%	2.2%	57.8%	5.7%	0.1%	0.4%	-3.5M	4.9M	-45.4K	0.00	63.30	0	85	548	11,127
2015-01-21	$111.39	$111.00	5.9%	1.7%	2.5%	59.4%	5.7%	0.2%	-0.3%	-7.9M	7.3M	-54.9K	10.19	72.35	16	163	548	11,197
2015-01-22	$111.32	$111.00	5.2%	1.5%	2.5%	49.7%	4.6%	-0.1%	-0.1%	-4.1M	2.9M	-35.7K	3.50	78.11	231	808	632	11,356
2015-01-23	$111.68	$111.00	5.0%	1.4%	2.6%	47.4%	4.8%	2.0%	0.0%	-1.6M	1.2M	-34.8K	3.21	78.33	261	838	642	11,356
2015-01-26	$111.54	$111.00	5.0%	1.4%	2.6%	46.8%	5.3%	0.3%	0.0%	-3.3M	2.9M	-38.4K	0.00	79.77	1	0	595	11,389
2015-01-27	$111.69	$111.00	5.1%	1.5%	2.6%	49.3%	0.0%	2.7%	-0.4%	-1.7M	1.5M	-32.0K	0.48	79.90	21	10	587	11,389
2015-01-28	$111.96	$111.00	4.5%	1.3%	2.6%	40.8%	4.6%	0.2%	0.3%	-1.8M	-3.6M	-11.5K	3.23	81.91	268	865	643	11,401
2015-01-29	$111.90	$111.00	4.8%	1.4%	2.6%	44.8%	4.6%	-0.2%	0.3%	-1.7M	-2.9M	-13.7K	2.71	82.60	305	826	643	11,411
2015-01-30	$112.16	$111.00	4.7%	1.4%	2.7%	43.1%	4.2%	0.3%	0.3%	-1.6M	970.6K	-27.6K	2.69	84.10	303	816	465	11,420