MUB Options History — December 2016

In December 2016, MUB traded between $106.59 and $108.29. ATM implied volatility averaged 6.6%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 1.2% (HV 20d: 5.4%). Max pain ranged from $106.00 to $108.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 3.00.

Notable Days

  • 2016-12-30: Highest Volume — 13,145 contracts
  • 2016-12-14: Largest IV drop — 39.9% change
  • 2016-12-01: Highest IV Rank — 100.0%
  • 2016-12-01: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.63$106.59$108.29$106.59$108.29
Max Pain$107.71$106.00$108.00$108.00$108.00
ATM IV6.6%4.1%11.0%7.0%5.0%
Expected Move1.7%1.2%2.0%2.0%1.4%
HV 20d5.4%4.5%7.0%5.0%4.5%
HV 60d4.2%3.4%4.4%3.4%4.4%
IV Rank61.3%21.1%100.0%100.0%31.8%
IV Percentile87.0%33.3%100.0%100.0%74.6%
Term Structure0.2%-0.6%0.9%-0.6%0.5%
VWIV6.5%3.9%8.5%7.6%5.0%
Skew 25d2.2%1.1%2.8%1.3%2.8%
Skew 10d4.9%1.6%8.2%2.7%1.6%
Call IV 25d5.2%2.6%7.2%7.2%2.6%
Put IV 25d7.3%5.2%9.4%8.5%5.4%
Bid-Ask Spread %96.3087.10114.4496.75114.44
Gamma HHI0.490.250.810.270.72
Net GEX-18.3M-30.9M-1.3M-1.4M-9.3M
Net DEX56.7M29.1M78.1M29.4M29.1M
Net VEX-106.0K-169.1K-22.1K-22.3K-44.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.001.039.631.038.52
Total Volume5,055.5242,69713,1452,95913,145
Total OI12,250.8574,91515,4074,9158,936

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$106.59$108.007.0%2.0%5.0%100.0%7.6%1.3%-0.6%-1.4M29.4M-22.3K1.0396.751,4561,5031,5783,337
2016-12-02$106.82$108.006.6%1.9%5.2%91.5%8.5%2.6%-0.5%-1.3M29.5M-22.1K5.5897.951,2957,2251,5903,377
2016-12-05$106.63$106.008.4%1.9%5.1%100.0%7.5%2.3%0.4%-10.7M56.4M-107.3K5.5987.101,2957,2451,7149,014
2016-12-06$107.36$106.007.8%1.9%6.0%89.4%7.3%2.8%-0.5%-10.5M49.3M-100.9K1.3488.091,2971,7321,7149,014
2016-12-07$108.24$106.007.3%1.8%7.0%81.4%6.3%2.6%-0.2%-9.2M40.8M-93.6K5.2490.801,1856,2081,7309,026
2016-12-08$108.06$108.008.3%1.8%6.5%97.3%7.8%2.1%-0.0%-19.6M69.3M-159.3K1.4490.641,1851,7091,73413,673
2016-12-09$107.82$108.008.4%1.9%6.3%100.0%7.9%2.8%0.0%-16.3M67.5M-169.1K1.3592.581,1861,6051,23413,174
2016-12-12$107.71$108.009.3%1.9%6.3%100.0%7.7%1.9%-0.5%-18.0M68.6M-154.0K1.3291.501,1851,5681,23613,134
2016-12-13$107.82$108.0011.0%1.8%5.2%100.0%7.6%1.9%0.3%-19.6M67.2M-151.9K1.3587.301,1901,6021,23613,131
2016-12-14$107.70$108.006.6%1.9%5.0%50.1%7.8%2.2%-0.2%-17.8M68.0M-151.2K1.3492.811,1921,6011,24613,162
2016-12-15$107.31$108.006.9%2.0%5.1%53.1%7.7%2.1%-0.5%-19.1M76.6M-145.9K1.3694.731,1771,6011,25313,157
2016-12-16$107.28$108.006.4%1.8%5.1%47.3%6.9%1.7%0.5%-21.0M78.1M-140.5K1.4192.341,2061,7021,25013,156
2016-12-19$107.61$108.004.9%1.4%5.2%30.7%5.4%2.6%0.9%-27.3M68.6M-120.3K1.2598.071,2001,49990312,643
2016-12-20$107.56$108.005.3%1.5%5.2%35.7%5.7%1.1%0.3%-24.5M72.3M-125.4K1.3598.431,2001,62493212,654
2016-12-21$107.66$108.004.1%1.2%5.2%21.1%3.9%1.4%0.4%-30.9M67.7M-111.3K1.25100.451,2001,49793212,779
2016-12-22$107.71$108.004.9%1.4%5.1%30.1%4.8%2.4%0.4%-28.2M61.0M-108.7K1.38100.691,2041,66692712,778
2016-12-23$107.84$108.005.0%1.4%5.1%31.7%5.1%1.6%0.7%-27.9M51.0M-70.7K1.36101.511,2231,66792812,797
2016-12-27$107.83$108.005.4%1.5%5.1%36.0%5.6%2.4%0.4%-27.9M57.6M-102.5K1.36101.361,2251,67294812,814
2016-12-28$108.07$108.005.1%1.5%4.7%33.4%5.3%2.4%0.6%-28.0M47.8M-66.0K9.63101.641,21011,65595212,824
2016-12-29$108.27$108.004.7%1.3%4.6%27.8%5.7%2.8%0.9%-16.4M35.2M-59.4K8.53103.111,37711,7529577,694
2016-12-30$108.29$108.005.0%1.4%4.5%31.8%5.0%2.8%0.5%-9.3M29.1M-44.4K8.52114.441,38111,7641,1597,777