MUB Options History — August 2015

In August 2015, MUB traded between $108.62 and $109.18. ATM implied volatility averaged 5.4%, placing in the 60.1% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 2.9% (HV 20d: 2.6%). Max pain ranged from $108.00 to $110.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 6.22.

Notable Days

2015-08-13: Highest Volume — 1,760 contracts
2015-08-24: Largest IV spike — 22.3% change
2015-08-31: Highest IV Rank — 85.8%
2015-08-31: Largest Expected Move — 1.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$108.90	$108.62	$109.18	$109.10	$108.84
Max Pain	$108.71	$108.00	$110.00	$110.00	$109.00
ATM IV	5.4%	4.5%	6.8%	5.0%	6.8%
Expected Move	1.6%	1.3%	1.9%	1.4%	1.9%
HV 20d	2.6%	1.8%	3.0%	2.0%	2.9%
HV 60d	2.7%	2.6%	2.9%	2.7%	2.6%
IV Rank	60.1%	41.1%	85.8%	50.8%	85.8%
IV Percentile	75.0%	28.2%	98.8%	61.1%	98.8%
Term Structure	0.1%	-1.1%	0.8%	0.2%	-1.1%
VWIV	6.1%	4.7%	7.4%	4.9%	7.1%
Skew 25d	1.6%	0.2%	3.4%	0.4%	1.6%
Skew 10d	3.9%	1.2%	5.9%	4.7%	1.2%
Call IV 25d	5.2%	4.7%	7.3%	5.0%	7.3%
Put IV 25d	6.8%	5.1%	8.8%	5.4%	8.8%
Bid-Ask Spread %	78.53	28.51	124.67	86.51	100.04
Gamma HHI	0.26	0.22	0.33	0.25	0.29
Net GEX	-1.1M	-1.9M	-14.0K	-1.6M	-1.5M
Net DEX	5.2M	3.3M	7.2M	4.5M	5.2M
Net VEX	-24.5K	-35.9K	-14.9K	-18.7K	-21.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.22	0.00	10.73	0.00	7.50
Total Volume	861.143	5	1,760	5	748
Total OI	3,540.476	2,348	4,267	4,063	2,461

Daily Data (21 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
2015-08-03	$109.10	$110.00	5.0%	1.4%	2.0%	50.8%	4.9%	0.4%	0.2%	-1.6M	4.5M	-18.7K	0.00	86.51	5	0	239	3,824
2015-08-04	$108.84	$110.00	4.5%	1.3%	2.2%	41.1%	4.8%	0.4%	0.7%	-1.9M	5.1M	-20.5K	3.21	85.23	150	482	267	3,824
2015-08-05	$108.80	$109.00	4.7%	1.3%	2.0%	44.3%	4.7%	0.2%	0.5%	-999.8K	3.9M	-14.9K	3.47	28.51	139	482	304	3,822
2015-08-06	$108.86	$109.00	5.0%	1.5%	1.9%	52.0%	5.8%	1.4%	-0.2%	-1.8M	4.7M	-19.9K	3.32	44.24	152	504	330	3,822
2015-08-07	$108.98	$109.00	4.7%	1.4%	1.8%	44.5%	5.7%	1.3%	0.8%	-1.3M	5.0M	-25.2K	2.90	66.16	175	508	343	3,845
2015-08-10	$108.63	$108.00	4.9%	1.5%	2.2%	49.0%	6.3%	1.9%	0.0%	-1.8M	7.2M	-35.9K	3.34	68.53	150	501	406	3,845
2015-08-11	$109.09	$108.00	5.5%	1.5%	2.6%	61.5%	6.0%	1.2%	0.2%	-704.5K	3.3M	-15.0K	0.00	67.77	0	142	381	3,841
2015-08-12	$108.92	$108.00	5.5%	1.6%	2.7%	61.9%	7.0%	1.7%	-0.1%	-1.3M	6.3M	-35.1K	3.91	63.10	150	587	404	3,856
2015-08-13	$108.88	$108.00	5.3%	1.5%	2.7%	57.5%	6.4%	1.3%	0.1%	-1.2M	6.0M	-32.9K	10.73	73.40	150	1,610	404	3,863
2015-08-14	$108.91	$108.00	5.0%	1.4%	2.6%	50.9%	5.1%	1.1%	0.1%	-432.1K	3.9M	-18.1K	10.65	72.47	150	1,598	404	3,305
2015-08-17	$108.90	$108.00	5.3%	1.5%	2.6%	56.7%	6.4%	1.3%	-0.0%	-588.1K	5.2M	-27.0K	10.67	76.39	150	1,600	404	3,302
2015-08-18	$108.80	$108.00	5.1%	1.5%	2.6%	53.2%	5.9%	1.5%	0.6%	-464.6K	5.2M	-25.4K	10.71	74.88	150	1,607	404	3,269
2015-08-19	$109.03	$108.00	5.1%	1.5%	2.7%	53.5%	5.6%	1.7%	0.2%	-278.8K	5.2M	-25.4K	0.00	68.43	0	72	381	3,277
2015-08-20	$108.99	$109.00	5.7%	1.6%	2.7%	65.6%	6.2%	2.0%	-0.4%	-114.2K	4.9M	-25.6K	9.61	72.85	165	1,586	404	3,331
2015-08-21	$109.18	$109.00	5.4%	1.5%	2.7%	58.7%	5.8%	1.5%	0.4%	-14.0K	4.1M	-25.0K	3.54	76.46	205	726	424	3,344
2015-08-24	$108.92	$109.00	6.6%	1.9%	2.8%	82.4%	7.4%	1.6%	0.2%	-1.6M	5.9M	-28.7K	5.87	124.67	86	505	148	2,201
2015-08-25	$108.75	$109.00	6.0%	1.7%	2.9%	71.3%	6.9%	2.0%	0.1%	-1.3M	5.0M	-20.4K	7.05	102.52	86	606	151	2,197
2015-08-26	$108.62	$109.00	5.9%	1.7%	2.9%	69.2%	7.0%	2.0%	-0.2%	-1.8M	6.6M	-29.4K	7.06	101.76	86	607	151	2,279
2015-08-27	$108.90	$109.00	6.2%	1.8%	3.0%	74.9%	6.2%	3.4%	-0.4%	-1.4M	5.2M	-21.4K	7.32	98.08	88	644	151	2,282
2015-08-28	$108.92	$109.00	6.3%	1.8%	2.9%	76.7%	6.4%	3.2%	-0.1%	-1.9M	6.5M	-29.2K	7.32	97.13	88	644	153	2,307
2015-08-31	$108.84	$109.00	6.8%	1.9%	2.9%	85.8%	7.1%	1.6%	-1.1%	-1.5M	5.2M	-21.0K	7.50	100.04	88	660	154	2,307