MUB Options History — May 2016

In May 2016, MUB traded between $112.00 and $112.79. ATM implied volatility averaged 4.1%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 1.2%. IV traded above realized volatility by 2.5% (HV 20d: 1.7%). Max pain ranged from $111.00 to $114.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 3.50.

Notable Days

  • 2016-05-02: Highest Volume — 1,476 contracts
  • 2016-05-31: Largest IV drop — 31.2% change
  • 2016-05-24: Highest IV Rank — 49.6%
  • 2016-05-24: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.44$112.00$112.79$112.00$112.33
Max Pain$113.57$111.00$114.00$111.00$114.00
ATM IV4.1%2.9%5.1%3.9%3.5%
Expected Move1.2%1.0%1.5%1.1%1.0%
HV 20d1.7%1.5%1.9%1.5%1.7%
HV 60d1.8%1.6%2.0%1.9%1.6%
IV Rank28.1%2.4%49.6%23.0%14.6%
IV Percentile22.0%0.8%72.2%7.9%2.8%
Term Structure0.2%-0.9%1.4%0.6%1.4%
VWIV3.7%3.1%4.6%3.8%3.6%
Skew 25d1.4%-3.5%5.0%1.8%5.0%
Skew 10d1.1%-11.0%9.5%2.7%9.5%
Call IV 25d3.4%2.4%8.9%2.8%3.0%
Put IV 25d4.8%3.4%8.0%4.6%8.0%
Bid-Ask Spread %67.6119.06134.2419.0635.18
Gamma HHI0.240.190.430.210.43
Net GEX134.0K-862.1K2.3M-795.8K2.3M
Net DEX-459.4K-1.8M869.9K324.7K296.5K
Net VEX-30.3K-35.6K-25.0K-26.0K-30.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.502.094.622.094.11
Total Volume1,276.7621,0291,4761,4761,118
Total OI2,981.3332,3363,4642,9912,511

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$112.00$111.003.9%1.1%1.5%23.0%3.8%1.8%0.6%-795.8K324.7K-26.0K2.0919.064779999012,090
2016-05-03$112.29$111.004.1%1.2%1.7%27.5%3.8%0.8%0.5%-862.1K-399.2K-25.0K2.3123.684329999132,124
2016-05-04$112.30$111.003.6%1.0%1.7%16.8%3.4%1.5%0.7%-572.0K-551.1K-26.9K2.2730.014401,0009302,124
2016-05-05$112.39$114.004.0%1.3%1.5%24.3%3.9%1.9%0.2%-667.5K-623.0K-26.6K2.3399.484291,0009042,164
2016-05-06$112.36$114.003.7%1.3%1.5%18.5%3.2%1.4%0.4%-509.9K-360.6K-26.4K4.6230.252271,0488932,164
2016-05-09$112.44$114.003.4%1.3%1.5%12.7%3.4%1.2%0.2%-208.8K-483.2K-25.7K3.6771.092831,0388902,200
2016-05-10$112.46$114.002.9%1.2%1.5%2.4%3.1%0.9%0.3%-818.1K869.9K-29.2K4.24100.602441,0348582,199
2016-05-11$112.57$114.003.7%1.1%1.5%19.5%3.3%1.7%0.3%-736.2K471.1K-28.8K2.4653.724201,0348842,200
2016-05-12$112.66$114.003.9%1.1%1.5%22.9%3.4%1.6%0.5%-312.5K-821.8K-31.1K4.53103.152281,0321,0712,201
2016-05-13$112.79$114.004.7%1.4%1.5%40.6%4.6%-3.5%-0.5%-31.6K-867.9K-28.6K4.47134.242311,0321,0982,201
2016-05-16$112.69$114.004.4%1.3%1.6%33.8%3.4%1.4%0.1%-142.1K-1.1M-29.7K4.6142.162221,0231,0742,201
2016-05-17$112.78$114.004.3%1.2%1.5%31.0%3.2%1.6%0.1%-19.8K-1.7M-29.9K4.6195.432221,0231,0882,204
2016-05-18$112.48$114.004.3%1.2%1.8%33.0%3.6%1.3%-0.0%58.9K-1.8M-35.1K2.44103.484201,0231,2532,207
2016-05-19$112.54$114.004.0%1.2%1.8%25.7%4.0%1.4%0.8%259.0K-1.3M-35.2K2.87103.923521,0091,2512,209
2016-05-20$112.50$114.004.6%1.3%1.8%38.0%4.0%2.3%-0.1%817.8K-1.1M-34.3K2.8748.173511,0081,2462,218
2016-05-23$112.42$114.004.2%1.2%1.8%29.6%3.6%1.5%0.3%1.3M220.3K-30.6K2.7238.823008171,0231,313
2016-05-24$112.36$114.005.1%1.5%1.9%49.6%4.1%1.3%-0.4%784.4K-144.2K-32.2K3.85104.482128171,0261,313
2016-05-25$112.36$114.004.6%1.3%1.8%37.3%4.1%2.5%-0.3%1.0M-291.3K-34.2K4.1238.382128731,1361,313
2016-05-26$112.38$114.004.7%1.4%1.8%41.1%4.4%1.3%-0.5%998.7K-141.2K-35.6K4.1040.912138731,1361,363
2016-05-27$112.24$114.005.1%1.5%1.9%48.8%4.4%0.7%-0.9%980.7K-200.1K-34.8K4.15103.702138841,1511,363
2016-05-31$112.33$114.003.5%1.0%1.7%14.6%3.6%5.0%1.4%2.3M296.5K-30.9K4.1135.182198991,1431,368