MUB Options History — February 2015

In February 2015, MUB traded between $109.85 and $111.77. ATM implied volatility averaged 5.3%, placing in the 76.4% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 1.9% (HV 20d: 3.5%). Max pain ranged from $110.00 to $116.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 3.44.

Notable Days

2015-02-17: Highest Volume — 2,447 contracts
2015-02-09: Largest IV spike — 19.7% change
2015-02-19: Highest IV Rank — 93.8%
2015-02-19: Largest Expected Move — 1.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.52	$109.85	$111.77	$111.77	$110.52
Max Pain	$110.58	$110.00	$116.00	$116.00	$110.00
ATM IV	5.3%	4.6%	5.7%	5.1%	5.1%
Expected Move	1.5%	1.4%	1.6%	1.5%	1.5%
HV 20d	3.5%	3.0%	3.7%	3.0%	3.4%
HV 60d	2.9%	2.5%	3.0%	2.5%	3.0%
IV Rank	76.4%	46.7%	93.8%	49.4%	79.6%
IV Percentile	86.0%	59.5%	96.0%	81.7%	81.0%
Term Structure	0.1%	-0.2%	0.5%	0.2%	-0.2%
VWIV	5.5%	4.4%	6.0%	5.1%	5.4%
Skew 25d	0.4%	-0.2%	0.7%	0.3%	0.4%
Skew 10d	1.3%	0.1%	4.7%	1.1%	3.2%
Call IV 25d	5.3%	4.9%	5.7%	5.1%	5.3%
Put IV 25d	5.7%	5.1%	6.2%	5.5%	5.6%
Bid-Ask Spread %	78.07	66.70	103.71	87.33	80.24
Gamma HHI	0.50	0.30	0.88	0.49	0.55
Net GEX	-5.6M	-14.6M	-1.8M	-3.6M	-1.8M
Net DEX	9.0M	3.8M	15.0M	4.7M	5.9M
Net VEX	-38.5K	-46.0K	-32.1K	-32.1K	-34.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.44	1.50	7.10	1.50	4.34
Total Volume	1,048.158	36	2,447	75	775
Total OI	9,585	2,744	12,163	11,699	2,946

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
2015-02-02	$111.77	$116.00	5.1%	1.5%	3.0%	49.4%	0.0%	0.3%	0.2%	-3.6M	4.7M	-32.1K	1.50	87.33	30	45	261	11,438
2015-02-03	$111.33	$111.00	5.3%	1.5%	3.4%	51.9%	5.1%	0.3%	-0.0%	-3.1M	3.8M	-42.2K	2.63	82.92	326	856	712	11,445
2015-02-04	$111.43	$111.00	4.8%	1.4%	3.3%	46.7%	4.4%	-0.2%	0.4%	-3.8M	3.8M	-34.7K	2.61	87.55	329	859	504	11,441
2015-02-05	$111.27	$111.00	5.0%	1.5%	3.3%	49.4%	5.5%	0.4%	0.2%	-4.4M	5.3M	-39.6K	2.75	71.55	329	905	504	11,441
2015-02-06	$110.86	$111.00	4.6%	1.5%	3.5%	50.4%	5.4%	-0.0%	0.5%	-4.8M	7.0M	-39.5K	2.62	69.62	332	870	504	11,447
2015-02-09	$110.65	$111.00	5.5%	1.6%	3.6%	78.5%	5.8%	0.5%	-0.1%	-5.6M	8.9M	-44.3K	2.60	69.45	334	870	507	11,479
2015-02-10	$110.28	$110.00	5.4%	1.6%	3.7%	85.8%	5.9%	0.5%	-0.0%	-8.0M	11.7M	-46.0K	2.56	66.70	364	932	524	11,479
2015-02-11	$110.09	$110.00	5.5%	1.6%	3.7%	89.4%	5.8%	0.6%	-0.2%	-7.5M	13.4M	-43.6K	2.57	69.82	363	932	467	11,489
2015-02-12	$110.19	$110.00	5.3%	1.5%	3.6%	84.4%	5.6%	0.3%	0.2%	-6.6M	11.9M	-38.8K	2.57	73.53	363	932	468	11,489
2015-02-13	$109.91	$110.00	5.3%	1.5%	3.5%	82.7%	5.3%	0.4%	0.5%	-8.7M	14.5M	-40.5K	2.85	103.71	323	921	468	11,511
2015-02-17	$109.85	$110.00	5.4%	1.6%	3.5%	86.9%	5.4%	0.5%	0.3%	-9.5M	15.0M	-35.6K	4.30	75.91	462	1,985	478	11,517
2015-02-18	$110.10	$110.00	5.4%	1.6%	3.6%	86.9%	5.7%	0.4%	0.0%	-7.4M	11.9M	-37.3K	6.02	78.00	338	2,035	638	11,525
2015-02-19	$109.96	$110.00	5.7%	1.6%	3.5%	93.8%	5.7%	0.4%	-0.1%	-9.0M	14.4M	-39.0K	0.00	72.93	0	36	550	11,506
2015-02-20	$110.08	$110.00	5.6%	1.6%	3.6%	90.5%	5.6%	0.6%	-0.0%	-14.6M	12.3M	-37.2K	7.10	77.68	10	71	550	11,491
2015-02-23	$110.28	$110.00	5.6%	1.6%	3.4%	91.2%	5.8%	0.6%	-0.0%	-2.0M	7.2M	-38.2K	2.59	76.39	190	493	528	2,216
2015-02-24	$110.50	$110.00	5.3%	1.5%	3.5%	84.0%	5.4%	0.7%	-0.1%	-2.0M	6.2M	-34.7K	3.60	77.62	164	591	553	2,216
2015-02-25	$110.43	$110.00	5.4%	1.5%	3.5%	85.9%	6.0%	0.3%	-0.1%	-2.0M	6.6M	-37.9K	4.34	82.02	145	630	558	2,321
2015-02-26	$110.30	$110.00	5.3%	1.5%	3.3%	83.5%	5.9%	0.4%	0.0%	-2.2M	7.2M	-37.0K	4.34	80.30	145	630	563	2,381
2015-02-27	$110.52	$110.00	5.1%	1.5%	3.4%	79.6%	5.4%	0.4%	-0.2%	-1.8M	5.9M	-34.1K	4.34	80.24	145	630	563	2,383