MUB Options History — January 2016

In January 2016, MUB traded between $110.52 and $111.53. ATM implied volatility averaged 4.9%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 2.4% (HV 20d: 2.4%). Max pain ranged from $109.00 to $109.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 2.77.

Notable Days

2016-01-19: Highest Volume — 5,843 contracts
2016-01-06: Largest IV spike — 65.7% change
2016-01-12: Highest IV Rank — 61.5%
2016-01-21: Largest Expected Move — 1.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.21	$110.52	$111.53	$110.52	$111.53
Max Pain	$109.00	$109.00	$109.00	$109.00	$109.00
ATM IV	4.9%	3.2%	5.7%	4.3%	4.8%
Expected Move	1.3%	1.1%	1.5%	1.2%	1.4%
HV 20d	2.4%	2.1%	2.7%	2.2%	2.3%
HV 60d	2.2%	2.1%	2.3%	2.1%	2.2%
IV Rank	43.9%	7.7%	61.5%	32.5%	41.9%
IV Percentile	47.1%	0.4%	85.3%	8.7%	36.1%
Term Structure	0.6%	0.0%	1.3%	0.9%	0.4%
VWIV	4.5%	3.8%	5.1%	4.5%	4.3%
Skew 25d	0.8%	-0.1%	1.9%	1.0%	0.8%
Skew 10d	1.8%	-1.6%	4.6%	1.8%	0.9%
Call IV 25d	4.2%	2.9%	5.3%	3.6%	4.6%
Put IV 25d	5.0%	4.3%	5.8%	4.6%	5.3%
Bid-Ask Spread %	57.29	35.51	77.32	62.47	46.31
Gamma HHI	0.62	0.37	0.85	0.57	0.82
Net GEX	3.2M	537.7K	6.7M	1.8M	6.2M
Net DEX	-22.0M	-49.2M	-4.3M	-5.7M	-49.2M
Net VEX	-80.2K	-169.8K	-18.7K	-29.3K	-162.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.77	0.22	4.78	2.07	2.25
Total Volume	1,629.842	1,004	5,843	1,030	1,435
Total OI	5,448.737	2,688	9,591	2,904	9,587

Daily Data (19 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
2016-01-04	$110.52	$109.00	4.3%	1.2%	2.2%	32.5%	4.5%	1.0%	0.9%	1.8M	-5.7M	-29.3K	2.07	62.47	336	694	1,522	1,382
2016-01-05	$110.60	$109.00	3.2%	1.2%	2.1%	7.7%	4.6%	1.4%	1.0%	2.1M	-6.2M	-26.9K	2.08	42.09	373	774	1,520	1,387
2016-01-06	$111.06	$109.00	5.3%	1.1%	2.5%	52.7%	4.5%	1.9%	1.3%	1.8M	-7.8M	-22.5K	2.35	47.45	365	856	1,521	1,447
2016-01-07	$111.23	$109.00	4.9%	1.2%	2.5%	44.7%	3.8%	0.7%	1.0%	938.2K	-7.2M	-23.1K	3.96	58.47	216	856	1,467	1,547
2016-01-08	$111.35	$109.00	5.1%	1.2%	2.5%	48.8%	4.6%	0.8%	1.0%	1.3M	-7.6M	-22.1K	4.41	39.38	194	856	1,464	1,547
2016-01-11	$111.14	$109.00	5.5%	1.2%	2.7%	57.6%	4.6%	1.0%	0.9%	1.1M	-5.9M	-26.2K	4.58	35.51	187	856	1,436	1,547
2016-01-12	$111.13	$109.00	5.7%	1.2%	2.7%	61.5%	4.8%	1.0%	0.6%	848.4K	-5.6M	-24.2K	4.78	46.86	179	856	1,345	1,547
2016-01-13	$111.17	$109.00	4.3%	1.2%	2.4%	30.9%	4.7%	0.5%	0.9%	1.1M	-6.6M	-18.7K	4.78	45.70	179	856	1,337	1,547
2016-01-14	$111.01	$109.00	4.4%	1.3%	2.5%	33.7%	4.3%	0.2%	0.8%	994.1K	-5.4M	-23.5K	4.14	43.49	200	828	1,337	1,547
2016-01-15	$111.28	$109.00	4.2%	1.2%	2.6%	29.4%	3.9%	1.0%	0.6%	760.7K	-5.7M	-19.8K	4.77	42.46	174	830	1,313	1,544
2016-01-19	$111.33	$109.00	5.1%	1.5%	2.4%	49.2%	4.7%	1.7%	0.6%	537.7K	-4.3M	-24.9K	0.22	77.32	4,785	1,058	1,258	1,430
2016-01-20	$111.47	$109.00	5.0%	1.4%	2.3%	47.6%	5.1%	-0.1%	0.2%	3.9M	-34.5M	-121.1K	0.60	75.80	1,922	1,153	5,182	1,796
2016-01-21	$111.42	$109.00	5.3%	1.5%	2.4%	53.5%	4.9%	0.3%	0.0%	5.4M	-42.1M	-154.7K	1.43	70.85	824	1,175	6,655	1,965
2016-01-22	$111.28	$109.00	5.0%	1.4%	2.4%	47.5%	5.0%	0.7%	0.3%	5.8M	-41.8M	-159.3K	1.90	66.94	612	1,165	6,823	1,997
2016-01-25	$111.36	$109.00	5.1%	1.5%	2.4%	49.8%	4.2%	0.4%	0.4%	6.4M	-44.7M	-164.4K	2.17	74.44	475	1,031	7,119	2,066
2016-01-26	$111.28	$109.00	5.1%	1.5%	2.3%	49.8%	4.2%	0.9%	0.2%	6.2M	-44.5M	-164.9K	1.74	73.16	599	1,041	7,180	2,122
2016-01-27	$111.38	$109.00	5.0%	1.4%	2.3%	47.3%	4.5%	1.2%	0.3%	6.4M	-46.2M	-166.0K	2.10	75.29	495	1,041	7,319	2,132
2016-01-28	$111.39	$109.00	5.0%	1.4%	2.3%	47.1%	4.6%	0.8%	0.3%	6.7M	-46.9M	-169.8K	2.38	64.43	441	1,050	7,456	2,135
2016-01-29	$111.53	$109.00	4.8%	1.4%	2.3%	41.9%	4.3%	0.8%	0.4%	6.2M	-49.2M	-162.5K	2.25	46.31	441	994	7,456	2,131