MUB Options History — July 2016

In July 2016, MUB traded between $113.26 and $114.08. ATM implied volatility averaged 4.4%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 1.5% (HV 20d: 2.9%). Max pain ranged from $112.00 to $113.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.17.

Notable Days

  • 2016-07-06: Highest Volume — 1,272 contracts
  • 2016-07-29: Largest IV drop — 19.1% change
  • 2016-07-14: Highest IV Rank — 46.4%
  • 2016-07-06: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$113.60$113.26$114.08$113.87$113.60
Max Pain$112.95$112.00$113.00$112.00$113.00
ATM IV4.4%3.5%4.9%4.2%3.5%
Expected Move1.3%1.0%1.4%1.2%1.0%
HV 20d2.9%1.5%3.3%3.2%1.6%
HV 60d2.3%2.2%2.4%2.2%2.3%
IV Rank37.6%18.6%46.4%28.6%18.6%
IV Percentile36.8%3.6%67.1%18.7%3.6%
Term Structure0.2%-0.4%0.7%0.5%0.4%
VWIV4.6%3.9%5.3%4.2%4.8%
Skew 25d1.1%0.2%2.0%1.5%1.5%
Skew 10d2.9%1.1%4.3%1.5%2.3%
Call IV 25d4.0%3.4%4.6%3.9%3.4%
Put IV 25d5.2%4.2%5.9%5.4%4.9%
Bid-Ask Spread %92.9489.88102.45102.4594.46
Gamma HHI0.290.240.390.320.28
Net GEX363.2K-472.8K1.5M794.7K-371.4K
Net DEX-1.1M-4.3M1.6M-2.7M191.1K
Net VEX-35.3K-39.2K-30.8K-36.0K-36.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.171.504.134.132.10
Total Volume957.67071,2721,123964
Total OI3,329.32,9643,6882,9703,688

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$113.87$112.004.2%1.2%3.2%28.6%4.2%1.5%0.5%794.7K-2.7M-36.0K4.13102.452199041,1211,849
2016-07-05$114.05$113.004.9%1.3%3.2%45.4%4.7%1.0%0.4%843.1K-3.7M-32.9K4.1393.182199041,1211,849
2016-07-06$114.08$113.004.7%1.4%3.2%40.2%4.9%1.1%-0.2%939.6K-4.1M-30.8K2.4693.583689041,1151,849
2016-07-07$114.07$113.004.8%1.4%3.2%41.7%4.8%1.2%-0.0%1.3M-4.3M-32.5K2.4092.113688841,2461,849
2016-07-08$114.05$113.004.7%1.3%3.2%39.4%5.2%1.3%0.1%1.2M-4.2M-31.0K1.6590.693405611,2461,859
2016-07-11$113.82$113.004.6%1.4%3.3%37.8%4.6%0.5%-0.4%1.3M-4.3M-31.0K1.6697.803405631,2681,870
2016-07-12$113.66$113.004.9%1.3%3.3%45.2%5.0%1.0%-0.3%1.5M-3.0M-34.4K1.8690.673406341,2681,873
2016-07-13$113.70$113.004.6%1.3%3.3%44.4%4.7%1.4%-0.3%1.1M-2.7M-33.8K1.9689.943416691,2681,993
2016-07-14$113.56$113.004.6%1.3%3.3%46.4%5.1%1.4%-0.3%967.6K-1.2M-37.7K2.0090.723416811,2692,020
2016-07-15$113.37$113.004.3%1.2%3.3%38.5%4.8%2.0%0.6%76.5K-231.2K-39.2K2.4791.413428451,2712,211
2016-07-18$113.35$113.004.5%1.3%3.3%42.8%4.6%1.5%0.5%-231.0K617.5K-38.6K2.6493.262767301,1092,259
2016-07-19$113.39$113.004.5%1.3%3.2%42.8%3.9%1.5%0.1%-347.9K823.6K-38.2K1.6093.312794471,1092,269
2016-07-20$113.26$113.004.3%1.2%3.3%38.5%4.1%0.6%0.4%-331.4K619.2K-35.9K1.5093.262834241,1102,338
2016-07-21$113.32$113.003.8%1.1%3.3%24.8%4.0%1.0%0.6%-287.8K1.4M-38.9K1.7193.052844861,1302,350
2016-07-22$113.30$113.004.1%1.2%3.2%32.2%4.1%0.9%0.5%-262.3K1.6M-37.6K1.6291.132904711,1322,374
2016-07-25$113.29$113.004.0%1.1%2.0%29.2%4.0%0.6%0.5%-193.2K1.1M-36.8K1.6389.882914751,1402,383
2016-07-26$113.31$113.004.1%1.2%1.5%32.3%4.2%0.2%0.7%13.8K679.4K-34.0K1.6392.992924751,1612,391
2016-07-27$113.50$113.004.5%1.3%1.7%43.4%5.3%1.4%-0.1%-472.8K1.0M-33.9K2.2593.782926571,1622,391
2016-07-28$113.50$113.004.4%1.3%1.6%39.9%4.4%0.9%-0.0%-234.0K617.8K-36.9K2.0791.103166531,1622,513
2016-07-29$113.60$113.003.5%1.0%1.6%18.6%4.8%1.5%0.4%-371.4K191.1K-36.6K2.1094.463116531,1712,517