MUB Options History — August 2016

In August 2016, MUB traded between $113.10 and $113.69. ATM implied volatility averaged 3.3%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 1.0%. IV traded above realized volatility by 1.4% (HV 20d: 1.9%). Max pain ranged from $113.00 to $113.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 2.63.

Notable Days

  • 2016-08-03: Highest Volume — 1,125 contracts
  • 2016-08-22: Largest IV spike — 42.5% change
  • 2016-08-03: Highest IV Rank — 33.3%
  • 2016-08-03: Largest Expected Move — 1.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$113.42$113.10$113.69$113.22$113.64
Max Pain$113.00$113.00$113.00$113.00$113.00
ATM IV3.3%2.2%4.1%3.5%2.8%
Expected Move1.0%0.6%1.2%1.0%0.8%
HV 20d1.9%1.6%2.1%1.9%1.6%
HV 60d2.4%2.4%2.4%2.4%2.4%
IV Rank17.9%0.0%33.3%17.0%15.2%
IV Percentile5.9%0.0%20.2%2.8%1.6%
Term Structure0.6%-0.3%1.5%1.2%0.9%
VWIV3.8%3.4%4.3%4.0%3.6%
Skew 25d1.0%0.2%1.9%0.4%1.2%
Skew 10d1.0%-0.1%2.4%1.7%1.0%
Call IV 25d2.9%2.1%4.1%4.1%2.7%
Put IV 25d4.0%3.1%4.9%4.5%3.9%
Bid-Ask Spread %76.4023.93104.4596.9033.31
Gamma HHI0.330.200.460.380.21
Net GEX134.3K-617.1K968.0K130.9K-570.8K
Net DEX-69.4K-2.3M1.4M97.7K874.9K
Net VEX-27.1K-35.5K-20.2K-30.1K-27.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.630.484.602.253.46
Total Volume748.652251,1251,008557
Total OI3,309.4351,9654,1603,6772,166

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$113.22$113.003.5%1.0%1.9%17.0%4.0%0.4%1.2%130.9K97.7K-30.1K2.2596.903106981,1562,521
2016-08-02$113.16$113.004.0%1.2%1.8%31.0%4.1%0.6%0.1%-185.6K1.4M-35.5K2.2794.833086981,1632,586
2016-08-03$113.18$113.004.1%1.2%1.8%33.3%4.2%1.3%-0.3%-55.0K656.9K-31.6K1.6699.404237021,1642,586
2016-08-04$113.29$113.003.7%1.1%1.9%21.9%4.3%1.1%0.2%527.2K-822.6K-30.7K1.2799.894816121,2462,597
2016-08-05$113.10$113.003.5%1.1%1.9%16.5%4.0%1.1%0.6%708.7K-9.8K-30.3K2.1099.893176661,2382,662
2016-08-08$113.18$113.003.5%1.1%1.9%18.1%3.8%1.9%0.7%824.6K514.1K-31.6K2.1399.483126661,2412,809
2016-08-09$113.25$113.003.9%1.1%1.8%28.0%3.9%1.8%0.3%626.4K-687.1K-27.2K2.18101.253126801,2422,809
2016-08-10$113.31$113.003.6%1.0%1.8%20.1%3.7%0.8%0.3%968.0K-512.2K-29.3K2.18102.563126801,2422,828
2016-08-11$113.21$113.003.4%1.0%1.8%15.2%3.5%0.4%0.8%956.6K-534.3K-28.7K2.16102.973166821,2422,828
2016-08-12$113.44$113.003.7%1.1%1.9%21.5%3.8%1.0%0.5%227.6K-824.5K-32.6K2.20100.033166961,2472,850
2016-08-15$113.33$113.003.7%1.1%1.9%22.3%3.8%0.9%0.3%936.3K-946.0K-26.9K2.08101.463166561,2472,887
2016-08-16$113.44$113.003.9%1.1%1.9%26.8%3.9%1.1%0.3%-230.9K-829.6K-27.5K2.08102.723166561,2472,892
2016-08-17$113.45$113.003.6%1.0%1.9%21.0%0.0%0.8%0.5%-297.8K859.6K-24.9K0.00104.340251,0722,892
2016-08-18$113.62$113.002.5%0.7%2.0%0.0%0.0%0.9%1.4%-617.1K-205.5K-21.6K0.48104.4523111,0372,917
2016-08-19$113.51$113.002.2%0.6%2.0%0.0%3.4%1.1%1.5%100.3K-2.3M-20.5K2.32102.192926781,2352,925
2016-08-22$113.68$113.003.1%0.9%2.1%20.7%3.7%0.7%0.6%137.8K-372.3K-20.2K4.4434.491185244991,466
2016-08-23$113.65$113.002.9%0.8%2.1%14.2%3.9%1.1%0.1%110.8K-359.4K-20.6K3.9423.931194695131,484
2016-08-24$113.62$113.002.4%0.7%2.0%3.2%3.7%1.4%1.4%-112.3K608.9K-23.7K4.6032.025234631,539
2016-08-25$113.60$113.002.4%0.7%2.0%4.2%3.4%1.7%1.5%-94.8K170.3K-24.6K3.6234.341244495181,554
2016-08-26$113.51$113.003.2%0.9%2.0%22.7%4.3%0.9%0.3%-146.8K186.1K-23.6K3.5930.701244455181,564
2016-08-29$113.69$113.003.0%0.9%1.6%18.5%3.7%1.5%1.4%-525.2K1.1M-28.7K3.3624.131254205221,589
2016-08-30$113.60$113.003.1%0.9%1.6%19.8%3.6%0.2%-0.1%-328.9K316.9K-24.3K3.4631.951254325221,592
2016-08-31$113.64$113.002.8%0.8%1.6%15.2%3.6%1.2%0.9%-570.8K874.9K-27.8K3.4633.311254325151,651