MUB Options History — March 2017

In March 2017, MUB traded between $107.67 and $109.09. ATM implied volatility averaged 4.6%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 1.8% (HV 20d: 2.8%). Max pain ranged from $106.00 to $109.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.45.

Notable Days

  • 2017-03-21: Highest Volume — 2,091 contracts
  • 2017-03-15: Largest IV drop — 34.7% change
  • 2017-03-14: Highest IV Rank — 52.1%
  • 2017-03-07: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.31$107.67$109.09$108.26$108.92
Max Pain$107.35$106.00$109.00$108.00$106.00
ATM IV4.6%3.4%6.8%4.8%3.5%
Expected Move1.3%1.0%1.5%1.4%1.0%
HV 20d2.8%1.9%3.4%3.4%2.0%
HV 60d3.0%2.8%3.7%3.7%2.8%
IV Rank27.3%13.2%52.1%29.8%15.3%
IV Percentile52.8%11.1%94.8%69.4%15.1%
Term Structure0.4%-0.3%1.3%0.5%0.6%
VWIV4.9%3.6%6.7%4.7%3.6%
Skew 25d1.6%0.4%3.0%1.4%0.4%
Skew 10d2.8%0.6%6.3%2.5%0.7%
Call IV 25d3.8%2.5%4.9%4.9%3.4%
Put IV 25d5.4%3.8%6.4%6.2%3.8%
Bid-Ask Spread %84.0430.23103.14103.1444.41
Gamma HHI0.650.180.880.650.70
Net GEX5.1M83.6K17.2M4.5M3.8M
Net DEX2.0M-2.2M6.7M-2.2M1.5M
Net VEX-33.8K-42.3K-21.9K-36.7K-40.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.160.880.380.41
Total Volume1,361.139582,0911,1781,152
Total OI3,541.3482,7063,9033,3523,709

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$108.26$108.004.8%1.4%3.4%29.8%4.7%1.4%0.5%4.5M-2.2M-36.7K0.38103.148533252,1501,202
2017-03-02$108.14$108.005.2%1.5%3.1%34.3%4.7%2.4%-0.3%4.3M-1.5M-36.0K0.4043.738533402,1531,229
2017-03-03$108.08$108.004.7%1.3%3.1%28.4%4.6%1.5%0.2%5.1M-706.7K-35.6K0.3680.358533112,1531,244
2017-03-06$108.00$109.005.7%1.5%3.1%39.6%5.3%1.4%-0.1%4.6M-117.8K-34.4K0.4875.256483132,1531,254
2017-03-07$108.01$109.005.4%1.5%3.0%36.5%5.5%1.5%-0.3%5.1M-73.1K-32.9K0.4997.696483192,1431,260
2017-03-08$107.85$109.005.6%1.5%3.0%39.1%5.4%1.7%-0.1%5.0M1.4M-32.3K0.4895.236483102,1431,313
2017-03-09$107.67$109.005.7%1.5%2.9%39.3%5.4%1.5%-0.1%4.9M2.4M-32.5K0.5097.776483272,1431,341
2017-03-10$107.78$109.004.7%1.4%2.9%28.3%5.1%1.1%0.6%6.3M2.5M-33.0K0.4495.196853032,1431,359
2017-03-13$107.72$108.005.9%1.4%2.9%42.2%5.0%0.7%0.3%6.3M2.1M-29.3K0.8789.346855952,1901,365
2017-03-14$107.80$108.006.8%1.4%2.9%52.1%4.7%2.0%0.3%6.9M5.6M-28.5K0.8886.436856042,1901,665
2017-03-15$108.07$108.004.4%1.3%3.0%25.3%5.0%3.0%0.9%8.9M3.6M-27.3K0.8387.267065852,1901,679
2017-03-16$108.07$108.004.6%1.3%2.9%27.4%4.8%1.2%0.6%14.1M1.1M-27.1K0.87100.466835942,1881,683
2017-03-17$108.15$108.004.5%1.3%2.7%25.8%6.3%2.2%0.6%17.2M289.3K-27.1K0.7087.058636072,2031,700
2017-03-20$108.22$106.004.3%1.2%2.7%23.5%6.7%2.3%0.8%178.5K6.7M-27.4K0.3374.088492821,1731,533
2017-03-21$108.47$106.004.6%1.3%2.8%27.1%4.8%1.1%0.5%83.6K6.4M-21.9K0.1680.091,8092821,1881,555
2017-03-22$108.62$106.003.5%1.0%2.8%15.0%4.3%2.3%1.3%2.7M3.0M-38.0K0.1757.571,6132822,1581,555
2017-03-23$108.75$106.003.8%1.1%2.8%17.6%4.1%1.3%0.8%2.5M1.3M-36.7K0.19101.841,6083012,1561,555
2017-03-24$108.75$106.003.5%1.0%2.6%14.9%4.2%1.8%1.0%3.0M2.9M-42.3K0.20101.611,6163162,1741,581
2017-03-27$108.94$106.004.3%1.2%2.6%23.3%4.6%1.2%-0.3%3.2M2.0M-41.2K0.19100.871,6643232,1741,574
2017-03-28$108.89$106.003.6%1.0%2.6%15.9%5.5%1.9%0.6%3.0M1.7M-40.4K0.20101.081,6863292,1241,591
2017-03-29$109.09$106.003.5%1.0%1.9%14.9%3.9%0.9%0.6%3.3M2.4M-38.7K0.44102.257263232,0301,595
2017-03-30$108.92$106.003.4%1.0%2.0%13.2%3.9%1.6%1.1%3.2M3.2M-39.2K0.4130.238203341,9951,595
2017-03-31$108.92$106.003.5%1.0%2.0%15.3%3.6%0.4%0.6%3.8M1.5M-40.2K0.4144.418183342,1041,605