MUB Options History — February 2016

In February 2016, MUB traded between $111.16 and $112.17. ATM implied volatility averaged 5.0%, placing in the 47.6% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 2.7% (HV 20d: 2.4%). Max pain ranged from $109.00 to $112.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.92.

Notable Days

2016-02-03: Highest Volume — 1,602 contracts
2016-02-08: Largest IV spike — 18.1% change
2016-02-12: Highest IV Rank — 70.6%
2016-02-12: Largest Expected Move — 1.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.65	$111.16	$112.17	$111.16	$111.42
Max Pain	$109.40	$109.00	$112.00	$112.00	$109.00
ATM IV	5.0%	4.1%	6.1%	4.8%	5.0%
Expected Move	1.5%	1.2%	1.7%	1.4%	1.4%
HV 20d	2.4%	2.2%	2.6%	2.6%	2.4%
HV 60d	2.3%	2.2%	2.3%	2.3%	2.3%
IV Rank	47.6%	27.1%	70.6%	43.0%	47.3%
IV Percentile	54.4%	5.6%	93.7%	39.7%	56.0%
Term Structure	0.1%	-0.7%	0.8%	0.5%	0.3%
VWIV	5.5%	4.3%	6.4%	4.4%	5.1%
Skew 25d	0.5%	-5.9%	2.5%	0.0%	0.5%
Skew 10d	1.2%	-16.2%	3.4%	1.7%	0.8%
Call IV 25d	5.2%	4.0%	12.1%	5.1%	5.0%
Put IV 25d	5.7%	5.1%	6.6%	5.1%	5.5%
Bid-Ask Spread %	75.03	31.70	120.97	31.70	100.55
Gamma HHI	0.78	0.69	0.88	0.77	0.70
Net GEX	6.0M	5.1M	7.0M	5.7M	7.0M
Net DEX	-47.5M	-51.1M	-42.5M	-42.5M	-47.4M
Net VEX	-139.9K	-157.1K	-125.6K	-157.1K	-125.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.92	0.75	2.71	2.15	0.75
Total Volume	1,196.8	501	1,602	1,487	771
Total OI	8,640	7,229	9,339	8,986	7,464

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
2016-02-01	$111.16	$112.00	4.8%	1.4%	2.6%	43.0%	4.4%	0.0%	0.5%	5.7M	-42.5M	-157.1K	2.15	31.70	472	1,015	6,861	2,125
2016-02-02	$111.32	$112.00	4.8%	1.4%	2.6%	42.4%	4.3%	0.3%	0.8%	5.5M	-44.5M	-156.2K	2.71	33.88	375	1,015	6,955	2,145
2016-02-03	$111.53	$111.00	4.3%	1.2%	2.6%	31.6%	4.4%	1.1%	0.5%	5.5M	-46.3M	-155.1K	1.70	45.39	593	1,009	7,059	2,145
2016-02-04	$111.56	$109.00	4.1%	1.3%	2.2%	27.1%	6.2%	0.6%	0.4%	6.1M	-46.9M	-152.2K	2.24	40.24	450	1,009	7,152	2,159
2016-02-05	$111.61	$109.00	4.3%	1.4%	2.2%	31.0%	6.1%	0.8%	0.0%	6.3M	-47.9M	-148.7K	2.28	39.44	430	982	7,168	2,163
2016-02-08	$111.91	$109.00	5.0%	1.6%	2.3%	47.5%	6.4%	2.5%	0.0%	5.8M	-50.1M	-145.2K	1.93	39.21	508	982	7,172	2,167
2016-02-09	$111.93	$109.00	5.5%	1.6%	2.2%	58.3%	6.3%	1.0%	-0.4%	5.6M	-49.6M	-147.1K	2.06	31.82	477	982	7,110	2,176
2016-02-10	$111.96	$109.00	5.5%	1.6%	2.2%	57.2%	5.1%	0.1%	0.5%	5.7M	-49.0M	-145.2K	1.94	39.00	507	982	7,067	2,184
2016-02-11	$112.17	$109.00	5.5%	1.6%	2.3%	57.8%	5.4%	0.3%	0.0%	5.2M	-51.1M	-135.9K	1.87	95.47	521	976	7,035	2,184
2016-02-12	$111.89	$109.00	6.1%	1.7%	2.4%	70.6%	5.5%	-5.9%	-0.2%	5.1M	-47.7M	-143.9K	2.42	120.97	403	976	6,970	2,184
2016-02-16	$111.90	$109.00	5.6%	1.6%	2.3%	59.1%	5.8%	1.0%	-0.5%	5.5M	-50.6M	-126.1K	2.20	99.84	443	976	6,961	2,184
2016-02-17	$111.76	$109.00	5.1%	1.5%	2.3%	48.3%	6.1%	0.7%	0.1%	5.7M	-47.7M	-134.8K	2.46	96.19	400	986	6,998	2,184
2016-02-18	$111.77	$109.00	4.8%	1.4%	2.3%	42.9%	5.4%	1.0%	-0.1%	6.0M	-48.2M	-136.4K	2.12	97.75	477	1,010	7,036	2,130
2016-02-19	$111.68	$109.00	5.1%	1.5%	2.3%	48.7%	5.4%	0.6%	-0.7%	5.8M	-47.8M	-132.3K	2.09	96.76	483	1,010	7,008	2,160
2016-02-22	$111.60	$109.00	4.9%	1.4%	2.3%	44.5%	5.5%	2.3%	-0.4%	6.5M	-46.9M	-129.5K	1.81	98.30	203	368	6,308	921
2016-02-23	$111.58	$109.00	5.1%	1.5%	2.3%	48.4%	5.5%	1.5%	0.4%	6.3M	-45.9M	-132.3K	1.46	97.28	208	304	6,353	924
2016-02-24	$111.43	$109.00	5.0%	1.4%	2.3%	46.0%	6.0%	1.1%	0.5%	6.5M	-46.2M	-129.6K	1.54	98.64	197	304	6,372	924
2016-02-25	$111.54	$109.00	5.1%	1.5%	2.3%	48.4%	5.4%	0.8%	-0.2%	6.7M	-46.6M	-131.8K	1.47	97.83	216	318	6,391	924
2016-02-26	$111.36	$109.00	5.2%	1.5%	2.4%	51.4%	5.5%	0.7%	0.3%	6.6M	-46.2M	-132.4K	1.24	100.44	267	331	6,438	939
2016-02-29	$111.42	$109.00	5.0%	1.4%	2.4%	47.3%	5.1%	0.5%	0.3%	7.0M	-47.4M	-125.6K	0.75	100.55	440	331	6,514	950