MUB Options History — October 2015

In October 2015, MUB traded between $109.30 and $109.72. ATM implied volatility averaged 4.5%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 2.3% (HV 20d: 2.2%). 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 21 of 22 days. Put/call ratio averaged 8.11.

Notable Days

  • 2015-10-02: Highest Volume — 810 contracts
  • 2015-10-12: Largest IV spike — 40.4% change
  • 2015-10-12: Highest IV Rank — 46.4%
  • 2015-10-08: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.55$109.30$109.72$109.57$109.70
Max Pain$109.91$109.00$110.00$109.00$110.00
ATM IV4.5%3.5%5.3%3.9%4.5%
Expected Move1.4%1.1%1.6%1.1%1.3%
HV 20d2.2%1.7%2.8%2.8%1.9%
HV 60d2.5%2.5%2.6%2.5%2.5%
IV Rank25.5%0.0%46.4%10.3%26.2%
IV Percentile25.3%0.0%72.2%4.4%21.8%
Term Structure0.5%-0.1%1.3%0.3%0.4%
VWIV5.3%3.9%6.4%3.9%4.9%
Skew 25d1.3%-0.0%1.9%-0.0%1.0%
Skew 10d3.7%1.2%10.0%7.0%3.3%
Call IV 25d4.1%3.5%5.0%4.1%4.1%
Put IV 25d5.3%4.0%5.9%4.0%5.1%
Bid-Ask Spread %71.8657.3599.9796.3058.87
Gamma HHI0.390.280.710.420.71
Net GEX-1.1M-1.5M-944.9K-1.3M-986.7K
Net DEX2.3M1.4M3.4M2.3M1.4M
Net VEX-13.7K-18.6K-7.4K-14.2K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.110.0013.209.8510.28
Total Volume618.9553810770485
Total OI2,081.0911,9592,1492,0842,043

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$109.57$109.003.9%1.1%2.8%10.3%3.9%-0.0%0.3%-1.3M2.3M-14.2K9.8596.30716991561,928
2015-10-02$109.65$109.004.7%1.3%2.8%29.2%4.7%1.1%-0.1%-1.1M2.4M-16.2K6.3699.971107001561,928
2015-10-05$109.49$110.003.5%1.6%2.8%0.0%0.0%1.8%0.3%-965.5K2.8M-18.0K0.0070.38301981,928
2015-10-06$109.59$110.004.2%1.4%2.7%17.7%5.7%1.8%0.9%-1.0M2.1M-14.2K6.8067.081037002111,928
2015-10-07$109.41$110.004.3%1.5%2.8%21.4%5.4%1.5%0.2%-966.7K2.6M-16.3K6.8075.641037002111,928
2015-10-08$109.30$110.005.0%1.6%2.7%37.7%5.2%1.1%0.1%-981.0K2.8M-16.1K6.8097.371037002111,928
2015-10-09$109.35$110.003.8%1.5%2.7%8.2%5.6%1.0%0.2%-958.8K2.8M-15.6K6.8096.641037002111,928
2015-10-12$109.53$110.005.3%1.5%2.8%46.4%5.2%1.2%0.6%-1.1M1.9M-12.4K6.3494.101036532111,928
2015-10-13$109.45$110.005.0%1.4%2.2%38.7%5.5%1.3%0.5%-944.9K2.5M-15.5K6.3465.281036532111,931
2015-10-14$109.60$110.004.6%1.3%2.2%29.1%4.9%1.3%0.9%-1.0M2.0M-12.8K6.4564.461026582111,931
2015-10-15$109.41$110.004.5%1.3%2.0%26.6%5.4%1.2%0.8%-1.1M2.8M-16.3K6.3279.701026452121,936
2015-10-16$109.52$110.004.6%1.3%1.9%29.4%5.8%1.8%1.3%-1.4M2.4M-15.0K5.8763.941136632121,937
2015-10-19$109.55$110.004.6%1.3%1.8%27.4%4.9%1.4%1.3%-1.4M3.1M-15.6K12.1268.38495941201,839
2015-10-20$109.48$110.004.9%1.4%1.7%37.0%5.5%1.3%0.2%-1.5M2.8M-15.0K12.1257.35495941311,889
2015-10-21$109.67$110.004.5%1.3%1.8%25.9%4.7%1.0%0.1%-1.1M1.8M-10.3K13.2057.75455941311,889
2015-10-22$109.71$110.004.4%1.3%1.8%24.3%4.7%1.4%0.7%-1.3M1.5M-9.0K13.2060.48455941381,889
2015-10-23$109.57$110.004.5%1.3%1.9%24.6%5.8%1.9%0.6%-1.5M3.4M-18.6K7.9161.71453561381,889
2015-10-26$109.67$110.004.4%1.3%1.8%24.6%6.4%1.9%0.7%-1.2M2.2M-11.3K9.1363.09393561381,889
2015-10-27$109.72$110.004.8%1.4%1.7%32.2%5.4%1.2%0.5%-1.0M1.6M-8.8K8.6160.78413531391,889
2015-10-28$109.60$110.004.8%1.4%1.8%32.7%6.1%1.2%0.5%-1.1M2.0M-11.1K8.6159.42413531421,889
2015-10-29$109.53$110.003.9%1.1%1.8%10.5%5.9%0.5%0.0%-1.4M2.3M-12.7K8.6162.28413531421,890
2015-10-30$109.70$110.004.5%1.3%1.9%26.2%4.9%1.0%0.4%-986.7K1.4M-7.4K10.2858.87434421421,901