MUB Options History — February 2017

In February 2017, MUB traded between $107.85 and $108.87. ATM implied volatility averaged 4.9%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.9% (HV 20d: 3.0%). Max pain ranged from $108.00 to $113.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.76.

Notable Days

2017-02-14: Highest Volume — 3,665 contracts
2017-02-08: Largest IV spike — 26.2% change
2017-02-09: Highest IV Rank — 36.2%
2017-02-07: Largest Expected Move — 1.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$108.37	$107.85	$108.87	$108.07	$108.79
Max Pain	$110.95	$108.00	$113.00	$111.00	$108.00
ATM IV	4.9%	4.0%	5.4%	5.2%	4.4%
Expected Move	1.4%	1.3%	1.6%	1.5%	1.3%
HV 20d	3.0%	2.7%	3.3%	3.3%	2.9%
HV 60d	4.0%	3.5%	4.7%	4.7%	3.5%
IV Rank	30.2%	21.0%	36.2%	34.2%	25.0%
IV Percentile	68.5%	32.5%	87.7%	82.1%	48.8%
Term Structure	0.1%	-1.1%	0.9%	0.4%	-0.6%
VWIV	5.1%	4.3%	5.8%	4.8%	4.3%
Skew 25d	1.3%	0.5%	1.9%	0.5%	0.7%
Skew 10d	2.5%	-6.1%	5.6%	3.8%	4.9%
Call IV 25d	4.3%	3.7%	5.1%	5.1%	4.4%
Put IV 25d	5.7%	5.0%	6.2%	5.6%	5.0%
Bid-Ask Spread %	89.45	50.54	131.25	102.63	53.86
Gamma HHI	0.52	0.17	0.74	0.41	0.74
Net GEX	2.1M	-1.3M	7.9M	962.7K	7.9M
Net DEX	13.0M	-6.8M	22.8M	19.7M	-6.8M
Net VEX	-31.9K	-42.6K	-23.5K	-36.2K	-30.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.18	0.98	0.97	0.41
Total Volume	2,817.526	986	3,665	3,411	1,195
Total OI	4,804	1,923	5,709	5,675	3,370

Daily Data (19 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
2017-02-01	$108.07	$111.00	5.2%	1.5%	3.3%	34.2%	4.8%	0.5%	0.4%	962.7K	19.7M	-36.2K	0.97	102.63	1,733	1,678	2,639	3,036
2017-02-02	$108.19	$113.00	4.7%	1.5%	3.3%	28.5%	5.8%	1.2%	0.0%	1.7M	19.2M	-37.1K	0.95	92.56	1,733	1,638	2,614	3,045
2017-02-03	$108.17	$113.00	4.5%	1.5%	3.2%	25.9%	5.6%	1.3%	0.0%	1.7M	19.7M	-35.7K	0.98	95.20	1,733	1,698	2,614	3,074
2017-02-06	$108.37	$113.00	4.4%	1.5%	3.2%	25.4%	5.3%	1.8%	-0.0%	2.8M	19.0M	-33.7K	0.97	93.72	1,733	1,684	2,614	3,091
2017-02-07	$108.49	$113.00	4.0%	1.6%	3.1%	21.0%	5.4%	1.7%	0.1%	3.0M	18.1M	-34.6K	0.97	96.18	1,733	1,685	2,614	3,092
2017-02-08	$108.66	$113.00	5.1%	1.5%	3.1%	33.1%	5.5%	1.5%	0.1%	3.8M	16.8M	-35.6K	0.98	94.51	1,733	1,699	2,614	3,071
2017-02-09	$108.41	$113.00	5.4%	1.5%	3.1%	36.2%	5.3%	1.8%	-0.2%	2.5M	18.0M	-34.1K	0.87	99.14	1,933	1,688	2,614	3,071
2017-02-10	$108.44	$113.00	4.8%	1.4%	2.8%	29.3%	5.0%	1.6%	0.4%	2.2M	19.1M	-30.8K	0.87	96.22	1,933	1,689	2,464	3,071
2017-02-13	$108.31	$113.00	5.1%	1.5%	2.8%	33.5%	5.2%	1.6%	0.4%	2.4M	19.9M	-25.6K	0.89	95.05	1,898	1,696	2,464	3,072
2017-02-14	$108.07	$113.00	5.3%	1.5%	2.9%	35.8%	5.5%	1.5%	0.1%	1.1M	20.9M	-25.8K	0.93	96.15	1,898	1,767	2,461	3,129
2017-02-15	$107.85	$113.00	4.9%	1.4%	2.9%	30.9%	5.1%	1.0%	0.7%	-476.5K	22.8M	-23.5K	0.91	65.44	1,906	1,729	2,461	3,198
2017-02-16	$108.15	$109.00	5.4%	1.5%	2.9%	36.1%	5.0%	0.7%	0.1%	-1.3M	22.5M	-24.7K	0.89	71.88	1,922	1,702	2,469	3,199
2017-02-17	$108.27	$109.00	4.8%	1.4%	2.9%	29.2%	4.8%	1.1%	0.4%	-1.3M	22.2M	-25.0K	0.88	50.54	1,920	1,697	2,489	3,220
2017-02-21	$108.32	$109.00	5.1%	1.5%	2.8%	33.2%	5.3%	1.6%	0.0%	-785.3K	6.0M	-24.4K	0.18	98.75	1,770	327	754	1,169
2017-02-22	$108.41	$108.00	5.0%	1.4%	2.7%	32.0%	4.7%	1.2%	0.0%	3.2M	-1.1M	-34.3K	0.49	102.27	662	324	1,874	1,169
2017-02-23	$108.57	$108.00	4.6%	1.3%	2.7%	27.2%	4.6%	1.9%	0.9%	3.2M	-1.7M	-36.8K	0.49	88.20	664	324	1,878	1,172
2017-02-24	$108.87	$108.00	4.8%	1.4%	2.9%	29.2%	4.4%	1.7%	0.1%	3.3M	-3.1M	-34.4K	0.35	76.09	899	314	1,880	1,177
2017-02-27	$108.70	$108.00	4.7%	1.4%	2.9%	28.8%	4.9%	0.9%	-1.1%	3.9M	-3.8M	-42.6K	0.39	131.25	863	333	2,150	1,183
2017-02-28	$108.79	$108.00	4.4%	1.3%	2.9%	25.0%	4.3%	0.7%	-0.6%	7.9M	-6.8M	-30.5K	0.41	53.86	849	346	2,168	1,202