MUB Options History — March 2016

In March 2016, MUB traded between $110.65 and $111.62. ATM implied volatility averaged 4.3%, placing in the 32.0% 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 $109.00 to $111.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.61.

Notable Days

  • 2016-03-07: Highest Volume — 800 contracts
  • 2016-03-09: Largest IV spike — 49.0% change
  • 2016-03-09: Highest IV Rank — 49.3%
  • 2016-03-08: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.01$110.65$111.62$110.98$111.62
Max Pain$110.82$109.00$111.00$109.00$111.00
ATM IV4.3%2.8%5.1%4.3%2.8%
Expected Move1.3%0.8%1.5%1.2%0.8%
HV 20d2.1%1.4%2.5%2.5%1.4%
HV 60d2.3%2.2%2.5%2.5%2.2%
IV Rank32.0%0.0%49.3%32.0%0.0%
IV Percentile19.6%0.0%68.3%9.9%0.0%
Term Structure0.2%-0.5%2.0%1.0%2.0%
VWIV4.8%4.1%6.2%4.6%4.1%
Skew 25d1.7%-0.6%2.8%-0.6%1.9%
Skew 10d2.4%0.2%4.8%0.3%0.2%
Call IV 25d3.6%2.3%5.7%5.7%2.3%
Put IV 25d5.3%4.2%6.2%5.1%4.2%
Bid-Ask Spread %73.0735.87101.97101.9745.12
Gamma HHI0.800.730.870.730.76
Net GEX8.7M7.7M9.5M7.9M7.8M
Net DEX-51.7M-62.3M-46.0M-48.1M-62.3M
Net VEX-117.9K-136.1K-77.4K-125.4K-77.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.752.770.901.88
Total Volume589.455427800698556
Total OI8,0177,5028,3737,5028,081

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$110.98$109.004.3%1.2%2.5%32.0%4.6%-0.6%1.0%7.9M-48.1M-125.4K0.90101.973683306,552950
2016-03-02$110.86$109.004.3%1.2%2.5%31.2%4.8%1.8%0.8%7.7M-46.1M-135.3K1.1099.923023326,752951
2016-03-03$110.89$111.004.6%1.5%2.3%37.6%4.5%1.0%-0.5%8.2M-47.9M-129.4K1.2391.272713326,805951
2016-03-04$110.68$111.003.5%1.3%2.4%15.1%4.6%0.5%0.0%8.8M-46.0M-136.1K0.8393.234003326,864951
2016-03-07$110.65$111.004.5%1.4%2.4%36.8%5.8%1.3%-0.3%8.8M-46.7M-133.5K0.7581.894583426,992951
2016-03-08$110.80$111.003.4%1.5%2.2%13.1%6.2%1.5%-0.3%8.5M-48.8M-131.3K1.0592.823353526,987961
2016-03-09$110.85$111.005.1%1.5%2.2%49.3%5.1%1.6%-0.1%8.4M-49.2M-132.1K1.0090.653573587,028990
2016-03-10$110.84$111.004.5%1.3%2.2%35.5%4.8%1.3%0.5%8.9M-49.6M-128.2K1.3893.742593587,0871,061
2016-03-11$110.78$111.004.8%1.4%2.0%42.2%4.8%1.6%-0.4%9.1M-48.7M-132.9K1.3795.882583537,1201,081
2016-03-14$110.89$111.004.9%1.4%1.9%43.6%4.6%1.3%-0.2%8.8M-50.7M-124.8K1.8165.491953537,1291,082
2016-03-15$110.82$111.004.5%1.3%1.9%36.2%4.7%1.2%0.1%9.2M-49.7M-124.8K1.2766.762703447,1221,082
2016-03-16$110.93$111.004.6%1.3%2.0%38.8%4.5%2.2%-0.1%8.8M-49.6M-125.8K1.7277.282113627,1891,093
2016-03-17$111.02$111.004.4%1.3%2.0%34.1%4.6%2.3%0.7%8.9M-50.9M-125.8K1.6973.952163657,2091,105
2016-03-18$111.09$111.004.3%1.2%2.0%30.9%4.8%2.8%-0.0%9.1M-54.8M-116.1K1.9469.551883647,2521,121
2016-03-21$111.07$111.004.2%1.2%2.0%29.1%4.6%2.2%0.5%8.9M-53.3M-113.5K2.4462.731243036,993982
2016-03-22$111.09$111.004.5%1.3%2.0%35.3%4.5%2.2%0.3%8.9M-53.6M-112.8K1.8262.611783246,9831,013
2016-03-23$111.18$111.004.3%1.2%2.0%31.1%4.6%2.0%0.5%9.0M-53.4M-107.1K2.5168.511303266,9471,013
2016-03-24$111.15$111.004.2%1.2%2.0%30.5%4.6%2.0%0.4%8.9M-54.1M-107.4K2.7735.871173246,9301,023
2016-03-28$111.20$111.004.3%1.2%1.9%31.4%5.0%2.1%0.1%8.7M-55.2M-100.4K2.3553.181383246,9341,030
2016-03-29$111.43$111.004.5%1.3%2.0%35.5%5.1%2.5%0.3%8.1M-57.9M-94.1K1.9645.651883686,9561,034
2016-03-30$111.46$111.004.5%1.3%1.4%35.1%4.9%2.6%0.0%9.5M-61.3M-78.6K1.5739.572353686,9481,089
2016-03-31$111.62$111.002.8%0.8%1.4%0.0%4.1%1.9%2.0%7.8M-62.3M-77.4K1.8845.121933636,9921,089