MUB Options History — October 2016

In October 2016, MUB traded between $111.32 and $112.51. ATM implied volatility averaged 4.1%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 1.2%. IV traded above realized volatility by 2.5% (HV 20d: 1.6%). Max pain ranged from $112.00 to $113.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.76.

Notable Days

2016-10-31: Highest Volume — 901 contracts
2016-10-24: Largest IV spike — 53.1% change
2016-10-24: Highest IV Rank — 70.6%
2016-10-24: Largest Expected Move — 1.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.66	$111.32	$112.51	$112.51	$111.44
Max Pain	$112.14	$112.00	$113.00	$113.00	$112.00
ATM IV	4.1%	3.0%	5.0%	3.1%	4.9%
Expected Move	1.2%	0.9%	1.4%	0.9%	1.4%
HV 20d	1.6%	1.5%	1.7%	1.5%	1.6%
HV 60d	1.7%	1.7%	1.8%	1.8%	1.7%
IV Rank	49.5%	20.3%	70.6%	22.8%	68.0%
IV Percentile	46.1%	5.2%	84.9%	7.5%	81.3%
Term Structure	0.2%	-0.5%	1.0%	1.0%	-0.5%
VWIV	4.9%	2.7%	5.7%	3.5%	5.1%
Skew 25d	1.5%	-1.1%	2.3%	1.6%	1.5%
Skew 10d	2.9%	1.3%	5.1%	1.7%	1.3%
Call IV 25d	3.5%	2.3%	4.3%	2.7%	4.2%
Put IV 25d	5.0%	3.2%	6.1%	4.2%	5.6%
Bid-Ask Spread %	96.11	87.67	106.72	106.72	95.02
Gamma HHI	0.21	0.18	0.26	0.25	0.21
Net GEX	-1.7M	-2.2M	-929.7K	-929.7K	-1.9M
Net DEX	7.1M	2.8M	10.0M	2.8M	7.1M
Net VEX	-25.0K	-27.5K	-21.7K	-26.2K	-23.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.76	1.80	5.09	2.99	5.09
Total Volume	642.905	482	901	578	901
Total OI	2,787.19	2,650	3,047	2,650	2,769

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2016-10-03	$112.51	$113.00	3.1%	0.9%	1.5%	22.8%	3.5%	1.6%	1.0%	-929.7K	2.8M	-26.2K	2.99	106.72	145	433	671	1,979
2016-10-04	$112.33	$113.00	3.2%	0.9%	1.6%	25.2%	2.7%	1.3%	1.0%	-1.1M	3.8M	-25.2K	2.45	105.41	148	362	675	1,979
2016-10-05	$112.07	$113.00	4.5%	1.3%	1.7%	58.8%	4.3%	-1.1%	-0.1%	-1.1M	4.5M	-25.9K	2.19	104.49	154	337	674	1,988
2016-10-06	$111.96	$112.00	3.6%	1.2%	1.7%	34.9%	5.1%	2.2%	0.5%	-1.2M	5.7M	-27.5K	2.32	93.57	145	337	681	1,989
2016-10-07	$111.98	$112.00	3.3%	1.2%	1.6%	27.5%	4.9%	2.3%	0.5%	-1.9M	6.5M	-27.2K	1.91	93.88	182	347	679	2,089
2016-10-10	$111.86	$112.00	3.8%	1.1%	1.6%	40.1%	5.1%	1.3%	0.5%	-2.0M	7.2M	-25.4K	1.82	87.67	191	347	681	2,109
2016-10-11	$111.72	$112.00	3.0%	1.1%	1.5%	20.3%	5.3%	2.0%	0.8%	-2.0M	7.3M	-24.2K	1.80	91.22	193	347	688	2,109
2016-10-12	$111.59	$112.00	4.2%	1.2%	1.5%	51.2%	5.3%	1.5%	0.7%	-1.9M	8.2M	-23.7K	1.83	96.33	193	353	691	2,109
2016-10-13	$111.59	$112.00	3.8%	1.1%	1.6%	39.5%	4.9%	2.0%	0.5%	-1.9M	7.6M	-24.1K	1.83	94.10	193	353	694	2,126
2016-10-14	$111.47	$112.00	4.7%	1.3%	1.6%	63.3%	5.2%	1.9%	-0.0%	-1.8M	7.9M	-23.0K	1.83	95.06	193	353	694	2,076
2016-10-17	$111.47	$112.00	4.8%	1.4%	1.6%	65.7%	5.3%	1.5%	-0.1%	-1.8M	8.2M	-21.7K	2.40	90.95	196	470	699	2,076
2016-10-18	$111.45	$112.00	4.4%	1.3%	1.5%	55.4%	5.0%	1.7%	0.2%	-2.0M	9.0M	-25.2K	2.64	92.34	199	526	705	2,198
2016-10-19	$111.39	$112.00	4.7%	1.3%	1.5%	63.1%	5.1%	1.3%	0.0%	-2.1M	10.0M	-25.2K	2.44	92.52	209	511	714	2,309
2016-10-20	$111.53	$112.00	4.2%	1.2%	1.6%	51.5%	4.4%	1.3%	0.4%	-2.2M	9.2M	-25.9K	2.10	102.50	211	444	723	2,324
2016-10-21	$111.60	$112.00	3.2%	0.9%	1.6%	26.5%	5.6%	1.5%	0.8%	-2.1M	9.1M	-26.0K	2.79	101.67	221	616	720	2,325
2016-10-24	$111.36	$112.00	5.0%	1.4%	1.7%	70.6%	4.8%	1.1%	-0.1%	-1.5M	6.8M	-25.5K	3.58	98.56	153	548	598	2,083
2016-10-25	$111.50	$112.00	4.8%	1.4%	1.7%	67.4%	5.7%	2.3%	-0.3%	-1.6M	7.5M	-25.1K	4.10	93.66	153	628	599	2,095
2016-10-26	$111.46	$112.00	4.8%	1.4%	1.7%	66.4%	5.5%	1.4%	-0.4%	-1.4M	6.9M	-25.1K	4.30	92.42	153	658	603	2,120
2016-10-27	$111.32	$112.00	4.6%	1.3%	1.7%	62.4%	4.5%	1.2%	-0.2%	-1.6M	6.7M	-24.7K	3.82	95.99	144	550	603	2,132
2016-10-28	$111.36	$112.00	4.5%	1.3%	1.7%	59.8%	5.6%	1.1%	-0.0%	-1.9M	7.5M	-24.7K	3.76	94.26	148	556	602	2,153
2016-10-31	$111.44	$112.00	4.9%	1.4%	1.6%	68.0%	5.1%	1.5%	-0.5%	-1.9M	7.1M	-23.4K	5.09	95.02	148	753	606	2,163