MUB Options History — April 2016

In April 2016, MUB traded between $111.38 and $112.31. ATM implied volatility averaged 4.1%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 1.1%. IV traded above realized volatility by 2.4% (HV 20d: 1.6%). Max pain ranged from $109.00 to $111.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.77.

Notable Days

  • 2016-04-19: Highest Volume — 6,744 contracts
  • 2016-04-13: Largest IV drop — 22.2% change
  • 2016-04-12: Highest IV Rank — 52.9%
  • 2016-04-07: Largest Expected Move — 1.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.04$111.38$112.31$111.38$112.23
Max Pain$109.19$109.00$111.00$111.00$110.00
ATM IV4.1%3.6%5.3%4.2%3.9%
Expected Move1.1%1.0%1.3%1.2%1.1%
HV 20d1.6%1.4%1.8%1.6%1.4%
HV 60d2.1%1.9%2.3%2.3%1.9%
IV Rank26.9%16.3%52.9%29.5%22.8%
IV Percentile12.0%3.2%77.4%8.7%7.1%
Term Structure0.5%0.1%1.2%0.3%0.5%
VWIV4.6%3.6%7.8%4.0%3.6%
Skew 25d0.9%-0.1%2.4%0.3%1.3%
Skew 10d1.6%-0.1%4.0%-0.1%3.4%
Call IV 25d3.7%2.8%4.3%3.9%2.8%
Put IV 25d4.5%4.0%5.2%4.1%4.2%
Bid-Ask Spread %46.7333.9867.4934.8739.48
Gamma HHI0.430.200.750.750.24
Net GEX2.9M-1.5M7.5M7.5M-660.4K
Net DEX-43.8M-72.0M-5.4M-60.6M-5.7M
Net VEX-44.7K-87.8K-21.8K-81.9K-26.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.124.791.462.23
Total Volume1,233.9525106,7446321,455
Total OI6,365.6193,2808,2438,0683,531

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$111.38$111.004.2%1.2%1.6%29.5%4.0%0.3%0.3%7.5M-60.6M-81.9K1.4634.872573756,9741,094
2016-04-04$111.56$109.004.3%1.2%1.5%31.6%4.4%0.9%0.4%7.5M-62.5M-76.7K1.5767.492523957,0651,121
2016-04-05$111.71$109.004.0%1.2%1.5%25.6%4.8%1.2%0.5%7.3M-59.0M-87.8K1.3664.392783777,0811,141
2016-04-06$111.80$109.004.3%1.2%1.5%32.9%4.0%0.5%0.4%5.2M-68.7M-51.0K1.0756.563513767,0801,141
2016-04-07$112.10$109.003.9%1.3%1.7%22.6%4.3%0.9%0.4%7.5M-60.9M-86.3K0.9450.504023767,0961,147
2016-04-08$112.15$109.004.3%1.2%1.7%32.3%4.8%1.1%0.5%6.8M-62.3M-77.9K1.0040.403753767,0521,153
2016-04-11$112.17$109.004.5%1.1%1.6%35.5%4.4%0.4%0.6%5.0M-69.2M-46.5K1.0055.123763767,0281,153
2016-04-12$112.15$109.005.3%1.2%1.7%52.9%4.6%0.7%0.3%5.4M-68.0M-50.8K1.1941.283163766,9941,153
2016-04-13$112.18$109.004.1%1.2%1.6%27.7%4.7%0.5%0.4%6.4M-69.0M-44.7K1.1941.513193817,0031,183
2016-04-14$112.16$109.004.2%1.2%1.6%29.1%4.5%-0.1%0.3%3.2M-71.8M-27.2K1.0541.803273436,9961,194
2016-04-15$112.26$109.004.1%1.2%1.6%28.2%4.1%0.9%0.1%3.9M-72.0M-26.4K1.2143.063223896,9811,198
2016-04-18$112.31$109.003.9%1.1%1.6%23.6%3.7%0.9%0.5%48.3K-71.1M-21.8K1.6441.431933176,8271,134
2016-04-19$112.20$109.003.8%1.1%1.7%21.8%7.8%0.7%0.7%2.5M-68.6M-32.5K0.1233.986,0447006,7501,136
2016-04-20$112.13$109.003.9%1.1%1.7%23.0%6.0%0.5%0.8%-306.9K-12.7M-28.4K1.3053.247349572,0111,679
2016-04-21$112.09$109.003.6%1.0%1.7%17.9%5.2%0.6%0.8%-787.7K-7.9M-28.8K3.4353.572899911,6181,765
2016-04-22$112.04$109.003.8%1.1%1.8%21.1%4.8%2.4%0.9%-658.1K-5.6M-32.4K3.4639.662187551,4851,805
2016-04-25$112.03$109.004.0%1.1%1.8%25.5%4.3%1.4%0.6%-930.3K-6.0M-28.1K4.7939.672101,0051,4731,807
2016-04-26$111.99$109.003.6%1.0%1.7%16.3%4.5%0.9%1.2%-1.5M-5.4M-26.5K2.3343.294361,0141,4152,057
2016-04-27$112.08$109.003.8%1.1%1.7%21.1%4.1%1.4%0.6%-950.3K-6.3M-28.4K2.0852.994881,0141,5762,070
2016-04-28$112.18$110.004.0%1.1%1.6%24.7%4.1%1.1%0.4%-878.3K-5.4M-27.9K2.6847.103741,0041,4412,070
2016-04-29$112.23$110.003.9%1.1%1.4%22.8%3.6%1.3%0.5%-660.4K-5.7M-26.5K2.2339.484511,0041,4412,090