MUB Options History — November 2015

In November 2015, MUB traded between $108.84 and $110.03. ATM implied volatility averaged 4.9%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 2.7% (HV 20d: 2.1%). Max pain ranged from $107.00 to $110.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 3.75.

Notable Days

2015-11-12: Highest Volume — 8,822 contracts
2015-11-20: Largest IV spike — 10.1% change
2015-11-16: Highest IV Rank — 48.5%
2015-11-16: Largest Expected Move — 1.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$109.39	$108.84	$110.03	$109.40	$110.03
Max Pain	$108.95	$107.00	$110.00	$110.00	$109.00
ATM IV	4.9%	4.5%	5.4%	4.8%	4.8%
Expected Move	1.4%	1.3%	1.5%	1.4%	1.4%
HV 20d	2.1%	1.9%	2.3%	2.0%	2.1%
HV 60d	2.4%	2.3%	2.6%	2.6%	2.3%
IV Rank	35.3%	25.7%	48.5%	32.9%	34.2%
IV Percentile	43.5%	18.7%	75.8%	38.5%	38.5%
Term Structure	0.4%	-0.1%	1.2%	0.0%	0.5%
VWIV	5.6%	4.3%	7.1%	6.0%	5.1%
Skew 25d	1.3%	0.1%	2.5%	0.8%	1.1%
Skew 10d	2.8%	1.1%	7.8%	4.4%	7.8%
Call IV 25d	4.3%	3.3%	5.2%	5.0%	3.9%
Put IV 25d	5.6%	4.5%	6.5%	5.8%	5.0%
Bid-Ask Spread %	62.21	28.06	102.71	71.20	102.71
Gamma HHI	0.70	0.34	0.89	0.34	0.85
Net GEX	4.7M	-1.7M	12.2M	-1.3M	12.2M
Net DEX	-15.0M	-33.9M	3.7M	2.8M	-33.9M
Net VEX	-89.2K	-160.6K	-8.2K	-13.5K	-141.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.75	0.04	9.10	9.10	0.25
Total Volume	992.5	5	8,822	485	10
Total OI	5,618.2	2,012	9,270	2,014	7,874

Daily Data (20 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
2015-11-02	$109.40	$110.00	4.8%	1.4%	2.0%	32.9%	6.0%	0.8%	0.0%	-1.3M	2.8M	-13.5K	9.10	71.20	48	437	139	1,875
2015-11-03	$109.32	$110.00	4.6%	1.3%	2.0%	28.9%	5.5%	0.1%	0.5%	-1.1M	1.9M	-10.8K	9.10	64.25	48	437	146	1,875
2015-11-04	$109.27	$110.00	4.8%	1.4%	2.0%	33.4%	5.5%	0.1%	0.3%	-1.2M	2.1M	-11.1K	9.10	57.24	48	437	146	1,876
2015-11-05	$109.26	$107.00	4.7%	1.4%	1.9%	30.7%	5.7%	0.9%	0.0%	-993.4K	1.9M	-9.4K	9.10	71.48	48	437	146	1,876
2015-11-06	$108.91	$107.00	4.9%	1.3%	2.2%	36.2%	5.0%	1.1%	0.4%	-1.7M	3.7M	-13.3K	2.00	71.31	2	4	136	1,876
2015-11-09	$108.84	$109.00	4.5%	1.4%	2.1%	25.7%	0.0%	1.4%	-0.1%	-1.4M	2.8M	-11.0K	0.50	97.05	6	3	138	1,880
2015-11-10	$108.96	$109.00	4.7%	1.4%	2.2%	31.2%	5.5%	0.5%	0.2%	-1.5M	2.1M	-8.2K	7.46	69.71	46	343	154	1,878
2015-11-11	$108.90	$109.00	5.0%	1.4%	2.1%	38.3%	5.8%	2.2%	0.2%	-1.4M	2.5M	-10.1K	7.46	68.58	46	343	154	1,878
2015-11-12	$108.99	$109.00	5.2%	1.5%	2.1%	42.6%	5.9%	2.5%	0.4%	-1.3M	2.0M	-9.6K	0.10	96.72	8,009	813	155	1,878
2015-11-13	$109.16	$109.00	5.1%	1.5%	2.1%	42.1%	7.1%	1.6%	0.6%	7.7M	-24.9M	-154.7K	1.88	28.06	428	803	6,590	2,296
2015-11-16	$109.09	$109.00	5.4%	1.5%	2.1%	48.5%	5.4%	1.4%	0.1%	8.7M	-25.3M	-160.6K	0.04	37.82	344	15	6,765	2,468
2015-11-17	$109.29	$109.00	5.3%	1.5%	2.2%	46.7%	5.9%	0.5%	0.6%	8.5M	-25.0M	-157.3K	3.43	36.68	237	812	6,728	2,466
2015-11-18	$109.48	$109.00	5.0%	1.4%	2.2%	39.2%	5.9%	1.2%	0.7%	9.8M	-26.7M	-157.2K	3.91	31.42	221	865	6,763	2,466
2015-11-19	$109.66	$109.00	4.7%	1.3%	2.3%	29.7%	6.0%	1.9%	1.2%	9.0M	-29.8M	-157.4K	3.91	39.03	221	865	6,751	2,519
2015-11-20	$109.74	$109.00	5.1%	1.5%	2.3%	41.3%	5.5%	1.8%	0.2%	9.6M	-30.4M	-155.6K	2.47	35.23	353	872	6,751	2,519
2015-11-23	$109.80	$109.00	4.8%	1.4%	2.2%	33.0%	4.7%	0.9%	0.4%	9.8M	-30.7M	-151.5K	0.60	31.49	84	50	6,524	1,200
2015-11-24	$109.88	$109.00	4.8%	1.4%	2.3%	33.5%	4.3%	2.0%	0.9%	9.2M	-30.8M	-151.0K	0.25	36.76	4	1	6,538	1,250
2015-11-25	$109.93	$109.00	4.6%	1.3%	2.2%	29.1%	5.9%	2.1%	0.9%	10.0M	-31.5M	-152.0K	2.20	99.92	339	747	6,542	1,251
2015-11-27	$109.96	$109.00	4.6%	1.3%	2.2%	29.4%	5.9%	2.3%	0.8%	11.3M	-33.2M	-148.3K	2.16	97.44	324	700	6,642	1,255
2015-11-30	$110.03	$109.00	4.8%	1.4%	2.1%	34.2%	5.1%	1.1%	0.5%	12.2M	-33.9M	-141.2K	0.25	102.71	8	2	6,617	1,257