MUB Options History — March 2015

In March 2015, MUB traded between $108.90 and $110.78. ATM implied volatility averaged 5.0%, placing in the 75.8% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 0.2% (HV 20d: 4.7%). Max pain ranged from $109.00 to $110.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 3.11.

Notable Days

  • 2015-03-06: Highest Volume — 1,270 contracts
  • 2015-03-31: Largest IV drop — 22.4% change
  • 2015-03-09: Highest IV Rank — 88.9%
  • 2015-03-03: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.07$108.90$110.78$109.91$110.55
Max Pain$109.68$109.00$110.00$110.00$110.00
ATM IV5.0%3.9%5.5%5.1%3.9%
Expected Move1.4%1.1%1.6%1.5%1.1%
HV 20d4.7%3.4%5.2%3.7%4.8%
HV 60d3.8%3.2%3.9%3.2%3.9%
IV Rank75.8%51.7%88.9%79.1%51.7%
IV Percentile72.9%27.0%92.1%80.2%27.0%
Term Structure0.2%-0.1%0.5%0.2%-0.1%
VWIV5.0%4.3%5.6%5.3%4.8%
Skew 25d0.6%-0.1%3.7%0.2%3.7%
Skew 10d1.8%-0.6%11.5%-0.0%11.5%
Call IV 25d4.7%4.0%5.4%5.1%4.8%
Put IV 25d5.3%4.6%8.5%5.3%8.5%
Bid-Ask Spread %72.1118.00109.9082.9789.98
Gamma HHI0.560.350.720.350.59
Net GEX-3.9M-6.6M-1.9M-2.6M-2.8M
Net DEX9.1M4.4M17.0M8.4M5.1M
Net VEX-32.9K-47.0K-25.0K-38.0K-26.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.110.0911.674.412.79
Total Volume387.86401,2701,206663
Total OI3,126.3182,3703,4972,9562,590

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$109.91$110.005.1%1.5%3.7%79.1%5.3%0.2%0.2%-2.6M8.4M-38.0K4.4182.972239835632,393
2015-03-03$109.80$110.005.4%1.6%3.5%86.8%5.5%0.2%-0.1%-4.4M12.0M-47.0K4.2983.502249606252,856
2015-03-04$109.98$110.005.1%1.4%3.5%78.0%5.0%0.2%0.1%-4.4M10.7M-42.1K4.2984.032249606112,860
2015-03-05$109.93$109.004.9%1.5%3.4%74.9%5.4%0.5%0.1%-4.5M10.9M-41.6K4.2471.342249506262,860
2015-03-06$108.90$109.005.1%1.5%4.6%79.4%5.3%0.7%0.1%-4.2M17.0M-38.2K3.3975.212899816262,860
2015-03-09$109.20$109.005.5%1.5%4.7%88.9%5.2%0.4%0.0%-4.2M14.7M-34.6K11.6774.916706612,724
2015-03-10$109.62$109.004.9%1.4%4.9%74.5%4.9%0.4%0.1%-4.6M12.5M-36.1K0.9779.3760586672,763
2015-03-11$109.46$109.005.1%1.5%4.8%78.9%0.0%0.4%0.2%-4.8M13.3M-36.1K0.0081.81006772,816
2015-03-12$109.78$109.005.0%1.4%4.9%77.4%0.0%0.3%0.4%-5.5M11.5M-35.5K0.0018.00036772,816
2015-03-13$109.78$109.005.0%1.4%4.9%76.8%5.0%0.6%0.1%-5.7M11.4M-36.0K0.0018.91086772,816
2015-03-16$109.82$110.005.3%1.5%4.9%83.6%5.6%0.4%0.0%-6.1M11.0M-32.8K0.0075.100126772,820
2015-03-17$109.88$110.005.1%1.5%4.9%78.2%0.0%0.1%0.1%-6.6M11.0M-33.1K0.0088.51036692,828
2015-03-18$110.54$110.004.5%1.3%5.2%65.0%4.3%-0.1%0.1%-3.9M6.6M-28.8K0.52109.1027146252,828
2015-03-19$110.50$110.005.0%1.4%5.2%75.6%5.1%0.4%0.4%-3.8M6.8M-29.5K0.09109.904446222,829
2015-03-20$110.47$110.004.8%1.4%5.2%71.3%4.8%0.8%0.2%-5.5M5.5M-27.8K3.86102.917275482,831
2015-03-23$110.61$110.005.0%1.4%5.2%77.7%4.8%1.1%0.1%-2.1M5.2M-28.6K0.4185.1529123951,975
2015-03-24$110.78$110.004.4%1.3%5.2%63.1%0.0%0.8%0.4%-2.0M4.4M-25.5K0.0085.890264241,986
2015-03-25$110.58$110.004.8%1.4%5.2%71.8%4.5%0.6%0.3%-1.9M5.0M-27.1K0.5044.6220104241,985
2015-03-26$110.46$110.005.1%1.5%5.2%80.3%4.8%0.9%-0.0%-2.1M5.3M-26.6K2.0753.021753634432,090
2015-03-27$110.59$110.005.0%1.4%5.2%77.0%0.0%0.0%0.5%-2.3M5.3M-25.0K0.0030.0001424212,014
2015-03-30$110.46$110.005.1%1.4%4.8%78.0%4.9%0.5%0.1%-2.2M5.7M-27.5K3.1842.131755574532,128
2015-03-31$110.55$110.003.9%1.1%4.8%51.7%4.8%3.7%-0.1%-2.8M5.1M-26.7K2.7989.981754884552,135