MUB Options History — April 2017

In April 2017, MUB traded between $108.79 and $109.94. ATM implied volatility averaged 4.3%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 2.4% (HV 20d: 1.9%). Max pain ranged from $107.00 to $110.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.22.

Notable Days

2017-04-20: Highest Volume — 2,560 contracts
2017-04-28: Largest IV drop — 23.0% change
2017-04-27: Highest IV Rank — 36.8%
2017-04-27: Largest Expected Move — 1.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$109.38	$108.79	$109.94	$108.79	$109.32
Max Pain	$109.16	$107.00	$110.00	$109.00	$110.00
ATM IV	4.3%	3.4%	5.4%	3.7%	4.2%
Expected Move	1.3%	1.0%	1.6%	1.1%	1.2%
HV 20d	1.9%	1.6%	2.3%	2.0%	2.1%
HV 60d	2.6%	2.4%	2.8%	2.8%	2.4%
IV Rank	24.2%	14.0%	36.8%	17.2%	22.6%
IV Percentile	46.0%	11.9%	86.5%	21.4%	36.5%
Term Structure	0.2%	-0.8%	0.9%	0.8%	0.2%
VWIV	4.5%	2.6%	5.7%	3.7%	2.6%
Skew 25d	1.4%	-0.2%	4.1%	0.8%	4.1%
Skew 10d	3.1%	-0.2%	8.9%	8.9%	7.5%
Call IV 25d	3.9%	2.7%	4.7%	3.4%	3.3%
Put IV 25d	5.3%	3.4%	7.4%	4.2%	7.4%
Bid-Ask Spread %	59.47	24.67	97.62	42.07	70.19
Gamma HHI	0.59	0.41	0.78	0.70	0.49
Net GEX	2.4M	-660.9K	4.9M	3.6M	3.0M
Net DEX	3.8M	-3.2M	13.5M	3.5M	12.0M
Net VEX	-41.4K	-53.8K	-33.3K	-36.3K	-42.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.39	2.36	0.39	2.36
Total Volume	1,687.474	1,093	2,560	1,224	2,375
Total OI	4,120.421	3,601	5,147	3,601	4,798

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
2017-04-03	$108.79	$109.00	3.7%	1.1%	2.0%	17.2%	3.7%	0.8%	0.8%	3.6M	3.5M	-36.3K	0.39	42.07	880	344	1,996	1,605
2017-04-04	$108.85	$107.00	3.7%	1.0%	2.0%	16.5%	3.8%	0.9%	0.9%	3.6M	2.2M	-40.8K	0.40	43.57	855	344	2,063	1,605
2017-04-05	$108.95	$107.00	3.8%	1.1%	1.9%	18.4%	3.8%	-0.2%	0.3%	4.1M	1.7M	-37.3K	0.45	46.94	769	344	2,090	1,605
2017-04-06	$109.05	$109.00	3.8%	1.3%	1.7%	17.9%	4.9%	2.4%	0.0%	3.8M	638.0K	-40.2K	0.45	56.70	769	344	2,085	1,605
2017-04-07	$109.13	$109.00	3.5%	1.3%	1.7%	14.2%	4.8%	1.3%	0.7%	4.0M	239.5K	-40.4K	0.47	97.62	777	369	2,085	1,605
2017-04-10	$109.20	$109.00	3.4%	1.2%	1.7%	14.0%	4.9%	1.2%	0.6%	4.6M	-266.8K	-39.8K	0.51	97.46	724	369	2,095	1,631
2017-04-11	$109.39	$109.00	3.7%	1.3%	1.7%	16.6%	4.5%	1.2%	0.6%	4.9M	-1.2M	-33.7K	0.52	56.29	724	377	2,067	1,641
2017-04-12	$109.54	$109.00	4.2%	1.2%	1.6%	22.9%	5.0%	1.5%	0.2%	3.8M	-2.3M	-34.5K	0.49	46.53	764	371	2,077	1,651
2017-04-13	$109.63	$109.00	4.8%	1.4%	1.6%	28.9%	5.1%	0.8%	0.3%	3.3M	-2.2M	-36.2K	0.44	24.67	824	363	2,032	1,667
2017-04-17	$109.59	$109.00	4.2%	1.2%	1.6%	22.7%	5.6%	1.3%	0.7%	3.2M	-1.3M	-36.5K	0.46	56.76	791	363	1,997	1,672
2017-04-18	$109.94	$109.00	5.1%	1.5%	1.8%	33.0%	5.0%	1.0%	-0.4%	2.7M	-3.2M	-33.3K	0.51	39.93	747	383	1,998	1,692
2017-04-19	$109.87	$109.00	4.6%	1.3%	1.8%	27.0%	4.6%	1.0%	0.3%	2.5M	-2.3M	-34.5K	2.29	42.77	747	1,707	1,965	1,699
2017-04-20	$109.74	$110.00	5.1%	1.5%	1.9%	33.0%	5.7%	0.6%	-0.1%	-354.0K	7.7M	-52.2K	2.02	51.20	847	1,713	1,965	3,001
2017-04-21	$109.74	$110.00	4.6%	1.3%	1.9%	26.8%	4.5%	1.4%	0.1%	-352.3K	6.8M	-53.8K	2.07	84.17	829	1,713	2,111	3,036
2017-04-24	$109.48	$110.00	4.7%	1.4%	2.1%	28.8%	4.6%	1.6%	0.4%	-660.9K	11.5M	-51.2K	2.25	63.73	743	1,672	1,831	2,947
2017-04-25	$109.22	$110.00	4.9%	1.4%	2.3%	31.0%	4.6%	1.4%	-0.4%	-322.1K	13.5M	-47.2K	2.33	65.07	716	1,668	1,831	2,950
2017-04-26	$109.31	$110.00	5.0%	1.4%	2.3%	31.6%	3.4%	0.9%	-0.1%	-139.4K	12.8M	-47.8K	2.35	66.28	709	1,669	1,841	2,951
2017-04-27	$109.39	$110.00	5.4%	1.6%	2.2%	36.8%	5.4%	3.2%	-0.8%	-228.0K	12.0M	-47.4K	2.33	78.03	709	1,650	1,843	2,955
2017-04-28	$109.32	$110.00	4.2%	1.2%	2.1%	22.6%	2.6%	4.1%	0.2%	3.0M	12.0M	-42.6K	2.36	70.19	706	1,669	1,843	2,955