MUB Options History — July 2015

In July 2015, MUB traded between $108.01 and $109.25. ATM implied volatility averaged 5.5%, placing in the 66.9% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 2.8% (HV 20d: 2.7%). 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 18 of 22 days. Put/call ratio averaged 5.26.

Notable Days

  • 2015-07-01: Highest Volume — 955 contracts
  • 2015-07-14: Largest IV drop — 23.3% change
  • 2015-07-02: Highest IV Rank — 100.0%
  • 2015-07-02: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.68$108.01$109.25$108.01$109.25
Max Pain$109.91$109.00$110.00$109.00$110.00
ATM IV5.5%3.7%7.5%6.1%3.7%
Expected Move1.5%1.1%1.8%1.8%1.1%
HV 20d2.7%1.9%2.9%2.9%2.0%
HV 60d2.9%2.7%3.0%2.7%2.7%
IV Rank66.9%24.9%100.0%98.7%24.9%
IV Percentile69.3%6.3%100.0%99.6%6.3%
Term Structure0.2%-0.4%1.3%-0.2%1.3%
VWIV5.5%3.5%6.6%6.3%3.5%
Skew 25d1.7%0.9%6.7%0.9%3.6%
Skew 10d3.6%1.5%10.1%3.0%7.4%
Call IV 25d4.8%3.3%5.9%5.9%4.4%
Put IV 25d6.5%5.4%10.0%6.8%8.0%
Bid-Ask Spread %63.4730.2283.5482.8183.54
Gamma HHI0.310.240.440.260.35
Net GEX-2.4M-3.9M-651.9K-3.7M-651.9K
Net DEX6.5M3.2M11.0M9.5M3.2M
Net VEX-25.9K-51.4K-13.3K-37.0K-13.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.263.437.957.533.92
Total Volume710.409592955955615
Total OI3,995.6363,8814,0943,8814,076

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$108.01$109.006.1%1.8%2.9%98.7%6.3%0.9%-0.2%-3.7M9.5M-37.0K7.5382.811128432713,610
2015-07-02$108.10$109.006.2%1.8%2.9%100.0%6.3%0.9%-0.4%-3.9M8.9M-33.1K7.9580.531068432713,688
2015-07-06$108.37$110.006.4%1.7%2.9%100.0%6.2%1.2%0.2%-3.6M8.3M-31.8K5.6359.241116252753,688
2015-07-07$108.38$110.006.3%1.7%2.8%98.2%6.1%1.1%0.2%-3.0M8.0M-32.8K5.6362.891116252853,678
2015-07-08$108.70$110.006.3%1.7%2.8%98.0%6.0%0.9%0.2%-3.1M6.9M-30.3K5.6361.041116252853,678
2015-07-09$108.55$110.006.9%1.7%2.9%100.0%6.3%1.1%0.2%-3.2M6.8M-28.5K5.5463.381116152853,678
2015-07-10$108.39$110.006.9%1.7%2.9%100.0%6.6%1.7%0.1%-3.0M11.0M-51.4K5.5459.441116152853,679
2015-07-13$108.35$110.007.5%1.7%2.9%100.0%6.1%1.3%0.3%-3.4M10.3M-46.8K5.5467.521116152853,679
2015-07-14$108.48$110.005.7%1.7%2.9%65.6%5.9%1.2%0.0%-2.4M7.3M-27.1K4.8866.521115422853,679
2015-07-15$108.41$110.005.8%1.7%2.8%67.2%6.2%1.6%-0.0%-2.5M7.8M-28.0K6.0165.611116672853,680
2015-07-16$108.50$110.005.4%1.5%2.8%59.1%5.3%1.0%0.3%-2.5M6.2M-22.0K5.9667.551116612853,805
2015-07-17$108.69$110.004.9%1.4%2.9%49.1%5.0%1.9%0.0%-2.7M5.6M-19.8K6.0635.351106672853,809
2015-07-20$108.70$110.004.8%1.4%2.8%47.3%5.6%1.9%0.1%-2.6M6.9M-24.8K5.3073.22944982333,648
2015-07-21$108.80$110.004.7%1.3%2.6%44.3%4.7%1.7%0.4%-1.5M4.9M-17.0K5.8934.66945542333,649
2015-07-22$108.87$110.005.1%1.4%2.6%52.3%5.7%1.9%-0.2%-2.4M6.7M-24.3K6.1273.20945752343,714
2015-07-23$109.05$110.004.7%1.3%2.6%45.0%5.3%2.3%0.4%-2.2M5.4M-20.3K4.1446.281345552453,791
2015-07-24$109.06$110.004.9%1.4%2.6%48.8%5.0%1.0%0.1%-1.1M3.8M-14.6K4.1430.221345552653,799
2015-07-27$109.16$110.004.8%1.4%2.5%47.7%5.1%1.3%0.3%-2.0M4.5M-17.9K3.8443.761345152653,799
2015-07-28$109.09$110.004.9%1.4%2.3%49.3%5.0%1.3%0.4%-1.0M3.7M-14.0K3.4377.101344592663,804
2015-07-29$108.95$110.004.5%1.3%2.2%41.5%5.0%1.7%1.0%-1.9M4.5M-16.2K3.4681.071344632663,809
2015-07-30$109.01$110.004.1%1.2%1.9%33.8%3.7%6.7%0.4%-1.1M3.9M-17.6K3.6181.431344842663,809
2015-07-31$109.25$110.003.7%1.1%2.0%24.9%3.5%3.6%1.3%-651.9K3.2M-13.3K3.9283.541254902663,810