MUB Options History — May 2015

In May 2015, MUB traded between $108.25 and $109.14. ATM implied volatility averaged 4.8%, placing in the 72.4% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 2.1% (HV 20d: 2.7%). Max pain ranged from $109.00 to $110.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 7.17.

Notable Days

2015-05-15: Highest Volume — 995 contracts
2015-05-11: Largest IV drop — 28.4% change
2015-05-19: Highest IV Rank — 83.0%
2015-05-19: Largest Expected Move — 1.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$108.68	$108.25	$109.14	$109.08	$108.76
Max Pain	$109.90	$109.00	$110.00	$110.00	$109.00
ATM IV	4.8%	3.5%	5.3%	4.2%	4.5%
Expected Move	1.4%	1.2%	1.5%	1.2%	1.3%
HV 20d	2.7%	2.0%	3.3%	2.1%	3.3%
HV 60d	3.5%	3.4%	3.6%	3.6%	3.4%
IV Rank	72.4%	42.7%	83.0%	58.9%	65.9%
IV Percentile	66.2%	12.7%	87.3%	38.5%	47.2%
Term Structure	0.2%	-0.2%	0.8%	0.5%	0.2%
VWIV	4.7%	3.8%	5.5%	4.2%	3.8%
Skew 25d	1.1%	0.3%	1.7%	0.3%	0.3%
Skew 10d	3.1%	0.9%	4.4%	4.3%	4.4%
Call IV 25d	4.6%	4.1%	4.9%	4.5%	4.9%
Put IV 25d	5.6%	4.9%	6.5%	4.9%	5.2%
Bid-Ask Spread %	56.03	15.13	84.29	18.41	50.64
Gamma HHI	0.34	0.26	0.41	0.38	0.32
Net GEX	-2.9M	-5.8M	-913.5K	-5.8M	-1.5M
Net DEX	10.4M	4.1M	17.2M	13.4M	4.1M
Net VEX	-20.5K	-27.9K	-16.6K	-22.8K	-18.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.17	0.00	86.50	2.76	2.09
Total Volume	507.7	16	995	489	690
Total OI	2,365.75	1,456	3,165	2,924	1,676

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
2015-05-01	$109.08	$110.00	4.2%	1.2%	2.1%	58.9%	4.2%	0.3%	0.5%	-5.8M	13.4M	-22.8K	2.76	18.41	130	359	382	2,542
2015-05-04	$109.14	$109.00	5.2%	1.3%	2.1%	81.0%	4.9%	1.0%	0.2%	-5.7M	13.2M	-22.5K	3.00	20.16	12	36	411	2,566
2015-05-05	$109.06	$110.00	5.0%	1.3%	2.0%	76.1%	5.1%	1.0%	0.2%	-5.6M	13.6M	-22.1K	3.17	67.18	121	384	424	2,578
2015-05-06	$108.72	$110.00	5.2%	1.4%	2.2%	82.4%	5.2%	0.8%	0.1%	-4.8M	15.1M	-20.5K	3.11	30.83	118	367	424	2,584
2015-05-07	$108.93	$110.00	4.9%	1.4%	2.4%	74.5%	5.2%	1.1%	0.1%	-5.3M	14.5M	-19.1K	3.92	29.94	90	353	424	2,544
2015-05-08	$108.91	$110.00	4.9%	1.4%	2.4%	75.2%	4.9%	1.0%	-0.2%	-5.2M	14.4M	-18.8K	86.50	26.07	2	173	423	2,530
2015-05-11	$108.53	$110.00	3.5%	1.4%	2.6%	42.7%	5.0%	0.9%	-0.0%	-4.1M	17.2M	-19.3K	0.81	74.30	16	13	423	2,639
2015-05-12	$108.66	$110.00	4.4%	1.4%	2.6%	63.3%	5.5%	1.5%	-0.0%	-4.6M	16.3M	-19.7K	7.61	76.62	114	868	422	2,646
2015-05-13	$108.51	$110.00	4.9%	1.4%	2.6%	74.2%	5.3%	1.7%	0.2%	-2.3M	15.3M	-16.6K	4.24	73.95	141	598	418	2,419
2015-05-14	$108.67	$110.00	4.6%	1.3%	2.7%	68.2%	5.0%	1.1%	0.2%	-2.3M	14.9M	-17.0K	4.48	72.27	141	631	443	2,669
2015-05-15	$108.72	$110.00	4.7%	1.3%	2.7%	68.7%	4.7%	1.0%	0.4%	-913.5K	15.3M	-18.2K	2.83	73.55	260	735	443	2,722
2015-05-18	$108.37	$110.00	5.2%	1.5%	2.9%	80.6%	4.5%	1.0%	0.2%	-1.3M	6.0M	-27.5K	0.00	77.63	16	0	236	1,220
2015-05-19	$108.25	$110.00	5.3%	1.5%	2.9%	83.0%	0.0%	1.0%	0.0%	-1.3M	6.1M	-27.6K	8.00	46.48	3	24	252	1,220
2015-05-20	$108.28	$110.00	5.1%	1.5%	2.9%	80.2%	4.8%	1.1%	-0.0%	-1.3M	6.1M	-27.9K	1.42	76.82	224	319	255	1,237
2015-05-21	$108.60	$110.00	4.7%	1.4%	3.2%	70.8%	4.8%	1.2%	0.6%	-936.1K	4.4M	-16.8K	1.98	80.10	224	444	268	1,238
2015-05-22	$108.41	$110.00	4.7%	1.4%	3.1%	70.5%	3.9%	1.1%	0.8%	-1.2M	5.2M	-19.6K	1.81	43.67	224	405	268	1,378
2015-05-26	$108.65	$110.00	5.1%	1.5%	3.3%	79.4%	4.7%	1.5%	0.3%	-974.7K	4.4M	-18.1K	1.84	84.29	226	416	268	1,379
2015-05-27	$108.63	$110.00	5.0%	1.4%	3.3%	77.1%	4.4%	1.5%	0.2%	-1.1M	4.8M	-19.7K	1.84	82.56	226	416	278	1,394
2015-05-28	$108.63	$110.00	5.0%	1.4%	3.3%	75.6%	4.1%	1.5%	0.1%	-916.2K	4.4M	-17.6K	1.91	15.13	218	417	278	1,394
2015-05-29	$108.76	$109.00	4.5%	1.3%	3.3%	65.9%	3.8%	0.3%	0.2%	-1.5M	4.1M	-18.5K	2.09	50.64	223	467	280	1,396