MUB Options History — June 2015

In June 2015, MUB traded between $107.62 and $108.50. ATM implied volatility averaged 5.4%, placing in the 86.0% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 2.4% (HV 20d: 3.0%). Max pain ranged from $109.00 to $109.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 3.94.

Notable Days

  • 2015-06-11: Highest Volume — 1,190 contracts
  • 2015-06-29: Largest IV spike — 15.0% change
  • 2015-06-30: Highest IV Rank — 100.0%
  • 2015-06-30: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.13$107.62$108.50$108.46$108.27
Max Pain$109.00$109.00$109.00$109.00$109.00
ATM IV5.4%5.0%6.2%5.4%6.2%
Expected Move1.5%1.4%1.8%1.6%1.8%
HV 20d3.0%2.8%3.2%3.0%2.8%
HV 60d2.7%2.5%3.4%3.4%2.7%
IV Rank86.0%77.0%100.0%87.0%100.0%
IV Percentile86.7%69.4%100.0%92.1%100.0%
Term Structure0.1%-0.4%0.7%-0.3%0.4%
VWIV5.4%4.2%7.1%4.2%7.1%
Skew 25d1.0%0.4%2.2%0.4%2.2%
Skew 10d3.1%0.0%6.8%0.0%3.9%
Call IV 25d4.9%4.4%5.7%5.2%5.3%
Put IV 25d6.0%5.2%7.5%5.7%7.5%
Bid-Ask Spread %73.9532.14114.3932.1477.85
Gamma HHI0.330.230.510.260.26
Net GEX-2.0M-3.5M-1.0M-1.4M-3.5M
Net DEX7.1M4.7M10.8M4.9M6.8M
Net VEX-26.2K-46.0K-15.7K-21.2K-27.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.940.008.731.918.73
Total Volume914.77321,1906481,090
Total OI2,690.9091,7313,3651,7313,365

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$108.46$109.005.4%1.6%3.0%87.0%4.2%0.4%-0.3%-1.4M4.9M-21.2K1.9132.142234252851,446
2015-06-02$108.06$109.005.1%1.5%3.2%78.7%0.0%0.4%0.3%-1.6M6.5M-26.7K0.0038.61202781,454
2015-06-03$107.98$109.005.6%1.6%3.2%91.6%4.7%0.9%-0.3%-1.6M6.8M-26.9K1.9482.732274412871,454
2015-06-04$108.18$109.005.5%1.6%3.2%88.9%5.6%1.3%0.0%-1.7M6.6M-27.4K2.4665.192275592881,504
2015-06-05$107.92$109.005.1%1.5%3.1%78.4%5.1%1.2%0.4%-1.9M7.2M-26.9K2.4336.722305602881,604
2015-06-08$107.86$109.005.1%1.5%3.1%78.9%5.0%1.1%-0.1%-1.8M7.5M-26.5K4.1368.692309502911,604
2015-06-09$107.62$109.005.6%1.4%3.0%89.8%5.2%1.5%0.7%-2.3M9.8M-42.6K3.9177.442309002912,192
2015-06-10$107.63$109.005.6%1.6%3.0%90.3%5.6%1.0%-0.1%-2.5M10.8M-44.7K3.6278.632318372912,629
2015-06-11$107.90$109.005.9%1.7%3.1%96.6%5.8%1.1%-0.4%-2.4M8.2M-26.0K4.0273.952379532952,789
2015-06-12$108.05$109.005.7%1.6%3.1%93.5%5.3%1.3%0.1%-2.2M7.4M-24.6K3.6273.562318373192,729
2015-06-15$108.09$109.005.5%1.6%3.1%87.3%5.0%1.2%0.4%-2.3M7.4M-23.2K3.1577.462317273182,745
2015-06-16$108.28$109.005.7%1.6%3.0%93.1%5.1%1.3%-0.1%-2.3M6.9M-22.1K2.9076.852316713182,800
2015-06-17$108.28$109.005.1%1.4%3.0%78.0%5.0%1.1%0.7%-3.3M6.6M-19.7K3.4278.862317893182,814
2015-06-18$108.27$109.005.1%1.5%3.0%79.6%6.0%1.3%0.2%-2.8M6.6M-22.4K3.8578.692298823182,808
2015-06-19$108.47$109.005.0%1.4%2.8%77.0%5.1%1.1%0.5%-1.2M5.8M-20.6K3.6979.712298443182,844
2015-06-22$108.14$109.005.2%1.5%3.0%82.4%5.3%1.0%0.0%-1.3M6.1M-20.5K3.2281.242267282512,713
2015-06-23$108.13$109.005.2%1.5%2.8%81.0%5.5%1.4%0.0%-1.4M6.5M-22.7K5.6483.671317392612,715
2015-06-24$108.32$109.005.2%1.5%2.9%81.8%5.2%0.4%0.1%-1.3M6.0M-20.6K5.2382.111316852562,725
2015-06-25$108.26$109.005.1%1.5%2.9%79.8%5.3%0.5%0.0%-2.2M9.6M-46.0K5.2381.871316852662,729
2015-06-26$108.14$109.005.1%1.5%2.9%80.0%6.2%0.5%0.3%-1.5M6.5M-22.4K5.23114.391316852712,729
2015-06-29$108.50$109.005.9%1.7%3.0%97.9%5.9%0.7%-0.2%-1.0M4.7M-15.7K8.2886.591261,0432712,729
2015-06-30$108.27$109.006.2%1.8%2.8%100.0%7.1%2.2%0.4%-3.5M6.8M-27.0K8.7377.851129782753,090