MUB Options History — November 2016

In November 2016, MUB traded between $106.78 and $111.50. ATM implied volatility averaged 6.0%, placing in the 85.6% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 2.0% (HV 20d: 4.0%). Max pain ranged from $108.00 to $115.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.68.

Notable Days

  • 2016-11-18: Highest Volume — 3,667 contracts
  • 2016-11-14: Largest IV spike — 34.5% change
  • 2016-11-14: Highest IV Rank — 100.0%
  • 2016-11-14: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.24$106.78$111.50$111.21$106.78
Max Pain$112.38$108.00$115.00$112.00$108.00
ATM IV6.0%4.5%7.0%5.0%6.2%
Expected Move1.7%1.3%2.0%1.4%1.8%
HV 20d4.0%1.7%5.3%1.7%5.2%
HV 60d2.7%1.7%3.4%1.7%3.4%
IV Rank85.6%58.8%100.0%72.2%83.8%
IV Percentile94.7%58.7%100.0%86.5%95.6%
Term Structure-0.4%-1.3%0.8%-0.5%-0.7%
VWIV6.0%3.9%8.0%3.9%5.2%
Skew 25d2.0%0.2%4.9%1.4%2.3%
Skew 10d4.6%1.6%7.5%6.0%3.7%
Call IV 25d5.1%3.5%6.8%4.4%5.7%
Put IV 25d7.1%5.2%9.0%5.8%7.9%
Bid-Ask Spread %94.0785.91103.0893.2298.82
Gamma HHI0.260.200.360.290.28
Net GEX-2.0M-4.0M-620.0K-1.9M-1.6M
Net DEX21.6M7.3M34.0M8.1M29.5M
Net VEX-25.4K-29.2K-21.2K-27.9K-22.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.681.046.176.041.04
Total Volume2,437.9058613,6671,0702,936
Total OI4,271.5712,9995,6932,9994,890

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$111.21$112.005.0%1.4%1.7%72.2%3.9%1.4%-0.5%-1.9M8.1M-27.9K6.0493.221529186062,393
2016-11-02$111.38$112.005.1%1.5%1.7%74.7%4.1%1.6%-0.2%-1.6M7.8M-28.3K6.1797.911509256122,432
2016-11-03$111.38$115.005.4%1.3%1.7%81.9%5.2%2.6%-0.2%-2.3M8.3M-29.2K6.1791.311509256162,434
2016-11-04$111.50$115.005.1%1.4%1.7%74.0%5.1%1.7%-0.3%-1.6M7.4M-26.8K5.9792.431559256162,434
2016-11-07$111.38$115.005.9%1.4%1.7%95.3%5.0%1.5%-0.3%-1.7M7.8M-27.4K5.4893.021558506212,434
2016-11-08$111.33$115.005.3%1.4%1.7%78.6%5.1%1.5%-0.3%-1.4M7.3M-27.0K4.5597.081557066212,446
2016-11-09$110.39$115.004.5%1.3%3.4%58.8%5.1%0.2%0.8%-2.6M11.4M-27.7K3.1497.692307226212,436
2016-11-10$109.86$115.005.5%1.6%3.7%83.9%5.7%0.9%-0.1%-3.6M13.8M-21.6K1.85103.081,2172,2556142,439
2016-11-11$109.62$115.005.2%1.5%3.7%76.6%5.7%3.0%-0.0%-4.0M29.4M-26.6K1.67100.561,2232,0391,6013,822
2016-11-14$108.46$115.007.0%2.0%5.1%100.0%6.5%0.8%-0.8%-3.1M32.7M-21.2K1.4093.271,2491,7481,6013,848
2016-11-15$108.78$115.006.8%1.9%5.3%95.8%7.3%4.9%-1.3%-3.5M31.7M-21.3K1.4392.101,2321,7671,6593,795
2016-11-16$108.58$115.006.6%1.9%5.3%91.7%8.0%3.1%-0.7%-3.2M32.7M-22.4K1.5386.481,2361,8861,6593,924
2016-11-17$108.38$115.006.9%2.0%5.2%97.3%7.2%3.0%-0.8%-3.1M34.0M-25.7K1.7988.701,2362,2171,6634,030
2016-11-18$108.46$115.006.4%1.8%5.2%87.4%6.3%2.4%-0.6%-2.4M33.4M-22.3K1.4285.911,5182,1491,6633,945
2016-11-21$108.35$108.006.9%2.0%5.2%98.2%7.0%2.5%-0.8%-915.5K25.5M-27.9K1.0592.031,4471,5181,4772,948
2016-11-22$108.08$108.006.4%1.8%5.1%87.5%6.4%2.3%-0.1%-737.7K25.5M-27.8K1.0689.241,4471,5281,5072,949
2016-11-23$107.73$108.006.4%1.8%5.2%88.5%6.9%2.2%-0.5%-664.3K26.2M-27.8K1.1193.211,4431,5961,5072,977
2016-11-25$107.78$108.006.3%1.8%5.2%85.5%6.6%1.9%-0.3%-620.0K27.0M-21.7K1.1196.481,4431,5961,5233,089
2016-11-28$107.61$108.006.5%1.9%5.2%90.3%6.5%1.0%0.1%-788.0K26.6M-27.2K1.0897.131,4491,5711,5233,089
2016-11-29$107.09$108.006.8%1.9%5.2%95.4%7.0%1.5%-1.2%-857.5K27.6M-23.6K1.1695.761,4491,6831,5393,100
2016-11-30$106.78$108.006.2%1.8%5.2%83.8%5.2%2.3%-0.7%-1.6M29.5M-22.6K1.0498.821,4421,4941,5693,321