MUB Options History — September 2015

In September 2015, MUB traded between $108.18 and $109.54. ATM implied volatility averaged 5.4%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 2.6% (HV 20d: 2.8%). Max pain ranged from $107.00 to $109.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 8.27.

Notable Days

2015-09-16: Highest Volume — 1,027 contracts
2015-09-28: Largest IV spike — 17.4% change
2015-09-01: Highest IV Rank — 74.1%
2015-09-08: Largest Expected Move — 1.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$108.88	$108.18	$109.54	$108.97	$109.54
Max Pain	$108.33	$107.00	$109.00	$109.00	$109.00
ATM IV	5.4%	4.4%	6.2%	6.2%	4.5%
Expected Move	1.5%	1.3%	1.8%	1.8%	1.3%
HV 20d	2.8%	2.3%	3.1%	2.8%	2.9%
HV 60d	2.6%	2.5%	2.8%	2.6%	2.6%
IV Rank	48.0%	23.7%	74.1%	74.1%	26.2%
IV Percentile	67.1%	19.4%	96.0%	95.2%	26.2%
Term Structure	0.3%	-0.6%	1.5%	-0.6%	0.3%
VWIV	5.8%	4.0%	7.1%	5.8%	4.5%
Skew 25d	2.2%	1.3%	5.4%	1.3%	5.4%
Skew 10d	3.8%	1.0%	10.4%	8.8%	10.4%
Call IV 25d	4.5%	3.2%	6.1%	5.4%	4.5%
Put IV 25d	6.8%	4.7%	9.9%	6.7%	9.9%
Bid-Ask Spread %	102.28	93.83	133.16	105.56	102.69
Gamma HHI	0.34	0.22	0.78	0.22	0.78
Net GEX	-1.7M	-2.0M	-833.8K	-1.9M	-1.3M
Net DEX	4.9M	1.9M	6.6M	5.7M	1.9M
Net VEX	-21.5K	-30.2K	-11.9K	-27.6K	-12.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.27	4.43	11.19	6.17	9.77
Total Volume	793.381	4	1,027	767	765
Total OI	2,230.333	1,983	2,471	2,455	2,085

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
2015-09-01	$108.97	$109.00	6.2%	1.8%	2.8%	74.1%	5.8%	1.3%	-0.6%	-1.9M	5.7M	-27.6K	6.17	105.56	107	660	154	2,301
2015-09-02	$108.78	$109.00	5.7%	1.6%	2.9%	59.6%	6.3%	2.4%	-0.3%	-2.0M	6.2M	-30.2K	5.89	98.82	112	660	164	2,301
2015-09-03	$108.86	$107.00	6.2%	1.5%	2.9%	72.1%	7.1%	1.9%	1.3%	-1.9M	5.8M	-29.5K	5.89	98.09	112	660	170	2,301
2015-09-04	$108.97	$107.00	5.8%	1.6%	2.9%	62.5%	6.7%	1.7%	0.6%	-1.9M	5.4M	-26.7K	7.79	93.83	115	896	170	2,301
2015-09-08	$108.70	$107.00	5.9%	1.8%	2.8%	59.2%	6.5%	1.6%	-0.2%	-1.8M	6.1M	-28.7K	0.00	95.64	0	4	164	2,091
2015-09-09	$108.74	$108.00	5.7%	1.6%	2.3%	56.1%	7.1%	1.5%	0.2%	-1.7M	5.3M	-22.9K	7.83	96.76	115	900	173	2,095
2015-09-10	$108.59	$108.00	6.2%	1.8%	2.3%	67.3%	6.5%	2.9%	0.1%	-1.8M	6.0M	-25.5K	7.83	95.72	115	900	173	2,095
2015-09-11	$108.62	$108.00	5.8%	1.7%	2.3%	57.6%	6.7%	3.6%	-0.1%	-1.9M	6.0M	-25.2K	7.83	95.36	115	900	173	2,095
2015-09-14	$108.63	$108.00	5.7%	1.6%	2.3%	55.1%	6.5%	2.7%	-0.0%	-1.9M	5.8M	-24.2K	7.83	101.45	115	900	173	2,095
2015-09-15	$108.18	$108.00	5.9%	1.7%	2.7%	59.4%	5.8%	1.4%	-0.1%	-1.9M	6.6M	-23.7K	4.43	100.35	7	31	164	2,095
2015-09-16	$108.20	$108.00	5.5%	1.6%	2.7%	50.8%	5.8%	1.6%	0.7%	-1.9M	6.5M	-23.5K	7.63	101.64	119	908	170	2,104
2015-09-17	$108.63	$108.00	5.1%	1.5%	3.0%	40.7%	6.0%	2.3%	0.6%	-1.9M	4.9M	-16.3K	6.61	102.38	130	859	170	2,108
2015-09-18	$108.91	$108.00	4.5%	1.3%	3.1%	24.7%	5.9%	2.1%	0.6%	-2.0M	3.4M	-11.9K	6.33	101.96	138	873	184	2,108
2015-09-21	$108.80	$109.00	4.7%	1.3%	3.1%	29.0%	6.2%	2.1%	0.2%	-1.7M	4.9M	-18.7K	9.37	101.85	79	740	118	1,865
2015-09-22	$109.00	$109.00	4.4%	1.3%	3.0%	23.7%	5.6%	2.4%	1.5%	-1.8M	4.8M	-20.2K	11.19	103.90	67	750	133	1,930
2015-09-23	$109.11	$109.00	4.9%	1.4%	3.0%	36.0%	5.2%	1.6%	0.7%	-1.7M	4.5M	-20.8K	8.89	101.19	79	702	138	1,930
2015-09-24	$109.17	$109.00	5.0%	1.4%	2.9%	38.8%	5.0%	2.3%	0.6%	-1.3M	4.2M	-20.9K	11.02	107.36	63	694	157	1,932
2015-09-25	$109.17	$109.00	4.6%	1.3%	2.8%	27.5%	4.0%	1.3%	0.7%	-833.8K	2.7M	-12.5K	11.02	133.16	63	694	158	1,928
2015-09-28	$109.38	$109.00	5.4%	1.5%	2.9%	47.6%	4.1%	2.2%	-0.1%	-1.3M	3.3M	-15.5K	11.02	105.84	63	694	158	1,928
2015-09-29	$109.52	$109.00	5.1%	1.5%	2.9%	40.1%	5.0%	2.2%	-0.2%	-1.7M	2.5M	-13.8K	11.02	104.24	63	694	157	1,928
2015-09-30	$109.54	$109.00	4.5%	1.3%	2.9%	26.2%	4.5%	5.4%	0.3%	-1.3M	1.9M	-12.3K	9.77	102.69	71	694	157	1,928