MUB Options History — September 2016

In September 2016, MUB traded between $112.52 and $113.36. ATM implied volatility averaged 3.5%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 1.0%. IV traded above realized volatility by 1.8% (HV 20d: 1.7%). Max pain ranged from $113.00 to $113.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.77.

Notable Days

  • 2016-09-09: Highest Volume — 711 contracts
  • 2016-09-08: Largest IV spike — 29.8% change
  • 2016-09-13: Highest IV Rank — 66.0%
  • 2016-09-12: Largest Expected Move — 1.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.85$112.52$113.36$113.36$112.78
Max Pain$113.00$113.00$113.00$113.00$113.00
ATM IV3.5%2.4%4.8%3.6%2.4%
Expected Move1.0%0.7%1.2%1.0%0.7%
HV 20d1.7%1.4%1.9%1.9%1.4%
HV 60d2.1%1.7%2.4%2.4%1.7%
IV Rank32.4%5.6%66.0%33.7%5.6%
IV Percentile17.0%1.2%72.2%9.5%1.2%
Term Structure0.4%-0.8%1.4%0.9%1.4%
VWIV3.5%2.8%4.0%3.7%2.8%
Skew 25d1.5%0.5%3.7%3.7%1.6%
Skew 10d1.8%0.5%8.9%8.9%1.8%
Call IV 25d3.2%2.3%4.1%4.1%2.3%
Put IV 25d4.7%3.0%7.8%7.8%3.9%
Bid-Ask Spread %84.1425.03106.7437.62105.79
Gamma HHI0.280.190.410.250.27
Net GEX-748.5K-1.2M-284.8K-496.5K-878.8K
Net DEX2.1M590.4K3.2M590.4K2.4M
Net VEX-25.7K-29.7K-22.3K-24.2K-24.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.771.763.513.343.07
Total Volume574.762465711556574
Total OI2,4032,1722,6422,1722,642

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$113.36$113.003.6%1.0%1.9%33.7%3.7%3.7%0.9%-496.5K590.4K-24.2K3.3437.621284285211,651
2016-09-02$113.23$113.002.8%0.8%1.8%13.5%2.8%0.5%1.2%-676.7K753.3K-25.3K3.4325.031254295311,652
2016-09-06$113.29$113.003.1%1.1%1.8%21.7%3.7%1.3%0.3%-787.5K1.2M-27.7K3.5169.071254395341,653
2016-09-07$113.31$113.003.0%1.0%1.8%21.2%3.6%0.8%0.6%-661.3K676.9K-24.3K3.5164.241254395341,683
2016-09-08$113.15$113.004.0%1.1%1.9%44.1%3.8%1.6%0.0%-686.0K604.9K-24.2K3.4467.101605505341,683
2016-09-09$112.95$113.004.4%1.1%1.9%54.2%3.8%1.0%0.3%-1.2M2.0M-29.7K3.4264.661615505741,784
2016-09-12$112.89$113.004.6%1.2%1.8%62.4%3.9%0.8%-0.0%-1.1M2.0M-26.3K2.8766.251604595781,784
2016-09-13$112.65$113.004.8%1.1%1.9%66.0%3.4%1.5%0.5%-1.2M2.6M-26.2K1.9372.472154165811,794
2016-09-14$112.61$113.003.9%1.1%1.8%44.0%3.5%1.6%0.2%-1.0M2.9M-27.0K1.9568.802134166401,816
2016-09-15$112.56$113.003.8%1.1%1.8%41.0%3.5%1.7%0.2%-829.9K3.0M-26.9K1.95100.102134166381,816
2016-09-16$112.58$113.003.8%1.1%1.7%40.5%3.5%1.6%0.4%-873.4K3.2M-26.8K1.76101.442233936381,826
2016-09-19$112.52$113.003.2%0.9%1.7%24.3%3.4%1.7%-0.0%-584.8K2.9M-24.8K2.01101.831653316111,768
2016-09-20$112.58$113.003.5%1.0%1.5%33.1%3.7%0.9%0.5%-811.5K3.2M-29.1K2.4798.141343316141,778
2016-09-21$112.58$113.004.1%1.2%1.5%48.1%4.0%2.6%-0.8%-623.4K2.8M-27.1K2.82102.731333756231,778
2016-09-22$112.68$113.003.3%0.9%1.6%28.0%3.6%2.4%0.4%-402.9K2.4M-23.1K2.86102.351243556241,824
2016-09-23$112.69$113.003.1%0.9%1.6%22.0%3.5%2.1%0.5%-651.9K3.0M-26.8K2.9899.021243696251,844
2016-09-26$112.74$113.003.0%0.9%1.6%20.1%3.2%1.4%0.3%-467.1K2.3M-24.7K2.62104.431413696251,866
2016-09-27$112.86$113.003.0%0.9%1.6%20.9%3.1%1.1%0.7%-284.8K1.7M-22.3K2.68105.361564186461,866
2016-09-28$112.89$113.003.0%0.9%1.6%20.6%3.2%1.1%0.6%-694.9K2.2M-23.7K2.81103.771564386661,976
2016-09-29$112.85$113.002.8%0.8%1.6%16.2%2.8%1.5%0.2%-797.4K2.3M-25.2K2.81106.741564386661,976
2016-09-30$112.78$113.002.4%0.7%1.4%5.6%2.8%1.6%1.4%-878.8K2.4M-24.8K3.07105.791414336661,976