MUB Options History — January 2017

In January 2017, MUB traded between $108.10 and $109.26. ATM implied volatility averaged 5.1%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 2.0% (HV 20d: 3.1%). Max pain ranged from $108.00 to $111.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 3.63.

Notable Days

  • 2017-01-13: Highest Volume — 14,741 contracts
  • 2017-01-06: Largest IV spike — 23.6% change
  • 2017-01-20: Highest IV Rank — 41.5%
  • 2017-01-20: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.56$108.10$109.26$108.10$108.49
Max Pain$110.70$108.00$111.00$108.00$111.00
ATM IV5.1%3.8%5.9%5.0%3.8%
Expected Move1.5%1.1%1.7%1.4%1.1%
HV 20d3.1%2.3%4.6%4.6%3.0%
HV 60d4.6%4.4%4.7%4.4%4.7%
IV Rank32.5%18.5%41.5%31.7%18.5%
IV Percentile74.7%23.4%89.7%73.8%23.4%
Term Structure0.3%-0.3%1.9%0.8%1.9%
VWIV5.4%4.2%6.1%4.9%4.2%
Skew 25d1.3%-0.3%2.6%1.8%0.3%
Skew 10d3.5%1.2%6.0%5.2%1.2%
Call IV 25d4.7%3.3%5.7%4.0%4.5%
Put IV 25d6.0%4.3%7.0%5.8%4.8%
Bid-Ask Spread %96.8290.82106.08106.0899.80
Gamma HHI0.470.330.730.730.54
Net GEX-2.8M-10.7M2.1M-9.8M2.1M
Net DEX19.8M13.5M30.7M30.7M18.3M
Net VEX-47.8K-58.9K-33.7K-43.5K-33.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.630.947.004.690.97
Total Volume10,516.33,41314,74114,2703,413
Total OI8,780.35,60010,9828,9465,725

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$108.10$108.005.0%1.4%4.6%31.7%4.9%1.8%0.8%-9.8M30.7M-43.5K4.69106.082,50611,7641,1497,797
2017-01-04$108.25$108.005.1%1.5%4.5%33.2%5.2%0.1%0.5%-7.6M26.5M-56.3K4.79103.392,45611,7622,3787,797
2017-01-05$108.50$111.004.3%1.6%3.9%24.2%5.0%1.8%-0.1%-5.9M24.6M-57.6K4.8195.452,45611,8022,5327,817
2017-01-06$108.36$111.005.3%1.6%2.7%35.8%5.4%1.6%-0.3%-6.8M24.8M-58.9K4.8190.822,45611,8122,5327,847
2017-01-09$108.65$111.004.8%1.5%2.8%29.5%5.4%1.1%0.0%-5.5M23.0M-55.9K4.8192.132,45611,8122,5327,857
2017-01-10$108.65$111.005.0%1.5%2.7%31.2%5.4%2.6%0.1%-6.7M21.5M-52.9K4.8892.872,45611,9902,5327,857
2017-01-11$108.90$111.005.3%1.5%2.7%35.6%5.7%1.7%-0.3%-8.1M17.8M-50.2K4.9192.682,48112,1732,4968,057
2017-01-12$109.26$111.005.3%1.5%2.9%35.3%5.6%1.7%-0.1%1.2M13.5M-50.0K4.7194.642,57912,1602,4718,118
2017-01-13$109.17$111.005.3%1.5%2.8%34.7%5.6%1.7%0.0%1.2M13.5M-51.8K4.7197.082,58112,1602,5618,153
2017-01-17$109.19$111.005.7%1.6%2.3%39.3%6.1%1.9%-0.3%-2.4M14.7M-52.9K4.6792.912,58112,0422,6128,153
2017-01-18$108.99$111.005.0%1.4%2.5%31.4%5.3%1.5%0.5%-3.0M16.5M-51.5K4.7092.072,55912,0232,6128,172
2017-01-19$108.60$111.004.9%1.4%2.8%30.7%5.9%0.5%0.7%-2.1M17.6M-47.4K7.0095.061,69311,8492,6488,179
2017-01-20$108.39$111.005.9%1.7%2.9%41.5%5.8%1.0%-0.2%-10.7M19.3M-46.0K6.5396.891,80511,7802,7018,281
2017-01-23$108.52$111.005.0%1.4%2.9%31.9%5.7%1.8%0.3%1.5M17.8M-42.9K0.9499.321,7631,6642,6412,959
2017-01-24$108.30$111.004.9%1.4%3.0%30.9%5.8%0.5%1.2%1.1M18.6M-42.1K0.9698.741,7631,6892,6512,978
2017-01-25$108.12$111.005.0%1.4%3.1%32.1%5.7%1.2%0.9%900.2K19.8M-40.7K0.9497.871,7791,6812,6513,003
2017-01-26$108.13$111.005.5%1.6%3.1%37.5%5.0%-0.3%0.2%664.1K18.9M-42.8K0.9599.741,7791,6842,6913,020
2017-01-27$108.32$111.005.3%1.5%3.1%35.2%5.3%2.2%0.2%1.3M19.6M-40.1K0.94100.941,7791,6752,6913,025
2017-01-30$108.34$111.004.9%1.4%3.0%30.6%5.0%2.3%0.4%1.5M19.3M-38.9K0.9597.881,7791,6842,6893,041
2017-01-31$108.49$111.003.8%1.1%3.0%18.5%4.2%0.3%1.9%2.1M18.3M-33.7K0.9799.801,7291,6842,6893,036