MUB Options History — December 2015

In December 2015, MUB traded between $109.65 and $110.70. ATM implied volatility averaged 4.4%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 2.3% (HV 20d: 2.1%). Max pain ranged from $107.00 to $109.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.42.

Notable Days

  • 2015-12-01: Highest Volume — 5,162 contracts
  • 2015-12-31: Largest IV spike — 41.8% change
  • 2015-12-03: Highest IV Rank — 46.9%
  • 2015-12-02: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.25$109.65$110.70$109.95$110.70
Max Pain$107.86$107.00$109.00$109.00$108.00
ATM IV4.4%2.8%5.3%5.0%4.0%
Expected Move1.3%0.8%1.4%1.4%1.1%
HV 20d2.1%1.8%2.4%1.9%2.4%
HV 60d2.1%2.0%2.3%2.3%2.1%
IV Rank24.5%0.0%46.9%37.2%25.4%
IV Percentile19.1%0.0%73.4%46.0%4.8%
Term Structure-0.2%-0.9%1.1%0.0%-0.8%
VWIV4.8%3.4%6.5%5.1%4.8%
Skew 25d1.2%0.1%3.8%1.7%0.8%
Skew 10d2.5%-0.1%9.7%1.1%1.5%
Call IV 25d3.8%2.8%4.8%3.9%4.2%
Put IV 25d5.1%4.2%6.6%5.7%5.0%
Bid-Ask Spread %51.7530.66104.36101.90104.36
Gamma HHI0.660.490.860.860.49
Net GEX5.3M938.7K12.8M12.8M2.2M
Net DEX-13.9M-34.5M-6.1M-34.5M-7.3M
Net VEX-57.1K-141.2K-11.4K-141.2K-29.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.420.033.740.031.93
Total Volume1,244.6361995,1625,1621,047
Total OI4,333.5913,0057,8667,8663,005

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$109.95$109.005.0%1.4%1.9%37.2%5.1%1.7%0.0%12.8M-34.5M-141.2K0.03101.905,0201426,6081,258
2015-12-02$109.99$109.005.0%1.4%1.9%38.4%4.9%1.2%-0.4%6.8M-14.4M-74.9K1.0834.927167763,3741,332
2015-12-03$109.65$107.005.3%1.3%2.2%46.9%3.4%0.1%-0.2%5.6M-10.4M-75.6K2.2742.833427763,2471,382
2015-12-04$109.88$107.004.4%1.3%2.3%23.7%4.6%1.8%-0.2%6.7M-13.0M-71.8K2.4548.843197803,2481,392
2015-12-07$109.94$107.004.4%1.3%1.9%22.4%0.0%1.6%-0.0%6.6M-12.7M-71.3K0.0547.11189103,2391,396
2015-12-08$110.05$107.004.1%1.3%1.9%16.2%4.4%0.6%-0.2%6.8M-13.8M-69.4K2.3852.813317893,2491,406
2015-12-09$110.12$107.004.4%1.3%1.8%23.3%4.8%0.7%0.1%6.8M-14.6M-67.5K2.3245.133648443,2521,406
2015-12-10$110.23$108.004.5%1.3%1.8%26.8%5.9%1.2%-0.1%6.4M-15.2M-66.8K2.0552.414128443,2421,461
2015-12-11$110.33$108.004.8%1.4%1.8%34.2%6.5%1.0%-0.6%5.7M-15.4M-65.2K2.3751.113618553,1451,461
2015-12-14$110.05$108.004.8%1.4%2.1%32.3%6.4%0.6%-0.6%5.3M-13.0M-67.4K3.3591.712548503,1351,471
2015-12-15$110.01$108.004.8%1.4%2.1%33.8%5.5%0.7%-0.6%5.4M-13.1M-66.9K3.3453.132548493,1261,473
2015-12-16$109.99$108.004.4%1.3%2.0%24.4%5.0%1.9%-0.2%5.6M-12.3M-66.5K3.6551.942338513,1261,482
2015-12-17$110.33$108.004.6%1.3%2.2%29.4%4.3%2.1%-0.5%938.7K-26.4M-11.4K3.5353.142418513,1241,496
2015-12-18$110.58$108.003.6%1.0%2.2%3.5%4.1%1.0%-0.2%5.2M-16.1M-58.2K3.7447.822258423,1171,496
2015-12-21$110.60$108.003.6%1.0%2.2%4.4%4.5%0.9%0.1%4.4M-13.9M-53.6K3.0054.002437282,8311,363
2015-12-22$110.58$108.004.4%1.3%2.3%23.2%4.3%1.2%0.0%6.5M-15.9M-35.9K3.0035.132437282,5561,373
2015-12-23$110.61$108.004.3%1.2%2.2%21.6%4.4%1.3%0.2%7.1M-16.6M-33.6K3.0036.412437282,5561,373
2015-12-24$110.39$108.004.2%1.2%2.4%18.2%4.1%0.8%0.0%2.7M-6.2M-34.4K3.0032.202437281,6781,373
2015-12-28$110.45$108.004.6%1.3%2.4%28.7%4.8%1.2%-0.9%2.6M-6.9M-32.4K2.0636.493547281,6781,373
2015-12-29$110.47$108.004.5%1.3%2.4%24.9%4.3%0.6%-0.2%2.6M-6.1M-32.4K2.0630.663547281,6451,373
2015-12-30$110.53$108.002.8%0.8%2.4%0.0%3.9%3.8%1.1%2.8M-7.0M-29.2K2.4934.382776901,6451,373
2015-12-31$110.70$108.004.0%1.1%2.4%25.4%4.8%0.8%-0.8%2.2M-7.3M-29.9K1.93104.363576901,6231,382