MUB Options History — June 2016

In June 2016, MUB traded between $112.17 and $114.11. ATM implied volatility averaged 4.3%, placing in the 32.3% 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 $112.00 to $114.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 5.28.

Notable Days

  • 2016-06-10: Highest Volume — 1,470 contracts
  • 2016-06-06: Largest IV spike — 19.1% change
  • 2016-06-27: Highest IV Rank — 48.2%
  • 2016-06-27: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$113.13$112.17$114.11$112.17$113.94
Max Pain$112.11$112.00$114.00$114.00$112.00
ATM IV4.3%3.6%5.1%4.3%4.4%
Expected Move1.3%1.0%1.4%1.2%1.3%
HV 20d2.1%1.5%3.2%1.5%3.2%
HV 60d1.8%1.6%2.3%1.6%2.3%
IV Rank32.3%17.0%48.2%32.9%34.6%
IV Percentile30.2%4.8%71.8%25.0%33.7%
Term Structure0.2%-0.5%1.0%0.1%0.1%
VWIV4.3%3.7%5.0%3.7%4.4%
Skew 25d1.3%0.5%3.4%0.9%0.5%
Skew 10d1.4%0.2%3.4%2.5%0.4%
Call IV 25d3.5%2.7%4.3%3.0%4.1%
Put IV 25d4.7%3.9%6.8%3.9%4.7%
Bid-Ask Spread %78.0838.42104.76102.19101.58
Gamma HHI0.320.260.440.320.36
Net GEX888.8K-382.8K1.8M1.4M1.2M
Net DEX-1.7M-4.2M911.8K545.9K-3.7M
Net VEX-34.9K-39.2K-29.8K-34.7K-30.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.283.919.474.095.05
Total Volume1,169.8648881,4701,1191,107
Total OI2,805.9552,5233,1382,5233,014

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$112.17$114.004.3%1.2%1.5%32.9%3.7%0.9%0.1%1.4M545.9K-34.7K4.09102.192208991,1301,393
2016-06-02$112.25$0.003.8%1.2%1.6%21.9%0.0%0.7%-0.1%1.8M389.3K-33.2K3.9153.652288911,1471,393
2016-06-03$112.46$0.003.7%1.3%1.7%18.1%0.0%0.7%-0.2%1.6M-286.5K-34.7K4.0466.192168731,1501,393
2016-06-06$112.41$0.004.4%1.2%1.7%33.1%4.4%1.2%-0.0%1.5M-777.1K-29.8K4.0544.722168741,1501,395
2016-06-07$112.48$112.004.0%1.2%1.7%25.4%4.2%1.2%0.1%1.7M-614.6K-31.5K5.7961.522161,2511,1501,396
2016-06-08$112.60$112.003.6%1.0%1.7%17.0%4.2%1.2%1.0%1.1M911.8K-36.6K5.7939.242161,2501,1501,642
2016-06-09$112.78$112.004.0%1.1%1.8%25.0%3.7%1.5%0.7%671.6K334.5K-37.6K5.8138.862151,2501,1501,668
2016-06-10$112.97$112.004.0%1.2%1.9%25.8%3.8%1.3%0.4%651.8K-510.8K-37.4K5.8438.422151,2551,1491,668
2016-06-13$113.04$112.004.2%1.2%1.8%29.3%4.5%1.6%0.4%381.1K-1.2M-34.1K9.4743.611181,1171,1791,676
2016-06-14$113.20$112.004.6%1.3%1.8%37.3%4.4%1.3%-0.3%-106.7K-1.1M-36.8K5.6498.601981,1171,1781,797
2016-06-15$113.27$112.004.3%1.2%1.8%32.1%4.3%1.5%0.3%68.8K-1.9M-37.3K4.92101.862271,1171,2611,796
2016-06-16$113.50$112.004.5%1.3%1.6%36.6%5.0%0.9%0.3%-382.8K-3.4M-31.7K7.0674.971571,1081,2671,817
2016-06-17$113.49$112.004.6%1.3%1.6%38.2%3.8%1.7%-0.2%985.0K-3.0M-34.2K7.5174.791481,1111,3111,827
2016-06-20$113.26$112.004.7%1.3%1.8%39.6%4.6%0.7%-0.2%859.0K-2.6M-35.6K5.4098.581397501,0941,593
2016-06-21$113.23$112.004.7%1.3%1.8%40.1%3.9%0.8%-0.0%828.9K-2.2M-36.5K5.2199.301437451,1211,612
2016-06-22$113.19$112.004.3%1.2%1.8%31.5%4.7%0.8%0.2%871.1K-1.9M-36.9K5.3565.111437651,1181,622
2016-06-23$112.97$112.004.9%1.4%2.0%44.3%3.7%1.5%-0.5%868.8K-1.1M-39.2K3.97104.551897501,1181,642
2016-06-24$113.73$112.004.5%1.3%3.0%35.7%5.0%3.4%0.8%700.0K-3.3M-37.3K4.41104.761948551,1091,664
2016-06-27$114.11$112.005.1%1.4%3.1%48.2%4.8%1.7%0.2%865.0K-3.9M-32.6K4.36101.291978581,1291,769
2016-06-28$114.04$112.004.3%1.2%3.1%31.4%4.6%1.6%0.7%1.2M-4.2M-31.9K4.42102.131948581,1831,772
2016-06-29$113.82$112.004.3%1.2%3.2%32.3%4.7%1.0%0.5%722.7K-2.7M-37.7K4.14101.862239241,1631,775
2016-06-30$113.94$112.004.4%1.3%3.2%34.6%4.4%0.5%0.1%1.2M-3.7M-30.7K5.05101.581839241,1651,849