MUB Options History — May 2017

In May 2017, MUB traded between $108.95 and $110.78. ATM implied volatility averaged 4.0%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 1.1%. IV traded above realized volatility by 1.7% (HV 20d: 2.2%). Max pain ranged from $110.00 to $113.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2017-05-02: Highest Volume — 4,764 contracts
  • 2017-05-31: Largest IV spike — 29.7% change
  • 2017-05-08: Highest IV Rank — 28.5%
  • 2017-05-02: Largest Expected Move — 1.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.75$108.95$110.78$108.95$110.78
Max Pain$112.59$110.00$113.00$110.00$113.00
ATM IV4.0%3.1%4.7%4.3%4.2%
Expected Move1.1%0.9%1.3%1.2%1.2%
HV 20d2.2%1.2%2.5%2.5%1.3%
HV 60d2.3%2.0%2.5%2.5%2.0%
IV Rank20.0%9.7%28.5%23.3%22.1%
IV Percentile30.4%6.0%60.3%38.5%35.7%
Term Structure0.5%-0.1%2.0%0.7%1.7%
VWIV4.4%3.0%10.4%3.0%10.4%
Skew 25d1.9%1.3%3.6%1.4%3.6%
Skew 10d2.8%0.9%4.8%4.8%0.9%
Call IV 25d2.9%2.1%4.0%3.6%2.5%
Put IV 25d4.8%4.0%6.1%4.9%6.1%
Bid-Ask Spread %57.0024.66100.4285.5860.56
Gamma HHI0.440.230.620.440.23
Net GEX-1.9M-6.2M1.3M1.3M-553.3K
Net DEX12.7M3.7M19.7M15.3M6.4M
Net VEX-43.6K-56.7K-19.8K-40.5K-19.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.442.692.690.48
Total Volume2,842.9091,0254,7642,6991,094
Total OI4,4792,8125,3354,7732,832

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$108.95$110.004.3%1.2%2.5%23.3%3.0%1.4%0.7%1.3M15.3M-40.5K2.6985.587311,9681,7982,975
2017-05-02$109.06$110.004.5%1.3%2.5%26.6%3.9%1.5%0.0%1.0M17.3M-41.4K0.7880.792,6772,0871,8193,288
2017-05-03$109.17$110.004.5%1.3%2.5%25.7%4.0%1.8%0.2%-2.5M17.7M-55.4K0.6781.862,6771,7971,8603,348
2017-05-04$109.12$113.004.6%1.3%2.5%27.5%5.8%1.5%0.1%-2.1M18.5M-53.9K0.6870.712,6771,8071,8603,363
2017-05-05$109.21$113.004.4%1.3%2.5%25.3%4.0%1.5%0.3%-2.5M18.1M-56.7K0.6867.312,6731,8171,8603,373
2017-05-08$109.17$113.004.7%1.2%2.5%28.5%4.2%1.4%0.2%-2.4M19.2M-56.0K0.6851.792,6731,8241,8603,393
2017-05-09$109.14$113.004.3%1.1%2.4%23.4%3.9%2.5%0.5%-2.3M19.7M-56.0K0.6853.262,6731,8051,8603,403
2017-05-10$109.25$113.004.1%1.2%2.4%21.7%4.0%2.2%0.4%-2.7M18.8M-53.8K0.6651.622,6731,7671,8603,418
2017-05-11$109.34$113.004.2%1.2%2.4%22.5%4.3%2.5%0.2%-2.9M18.0M-50.3K0.6561.002,6741,7411,8603,452
2017-05-12$109.51$113.003.1%0.9%2.4%9.7%4.1%2.7%2.0%-3.8M17.7M-49.7K0.5841.932,6741,5591,8603,462
2017-05-15$109.53$113.003.9%1.1%2.4%19.0%4.2%1.4%0.5%-4.0M19.0M-52.0K0.9048.601,7041,5261,8483,462
2017-05-16$109.68$113.003.6%1.0%2.2%15.3%4.0%1.3%0.7%-5.5M15.6M-45.7K0.5755.671,7049761,8513,484
2017-05-17$110.02$113.004.4%1.3%2.4%24.6%4.5%2.1%-0.1%-3.2M8.6M-47.5K0.57100.421,7521,0021,8502,954
2017-05-18$110.13$113.003.5%1.0%2.4%14.9%3.7%1.4%0.7%-4.9M6.7M-48.9K1.3424.667671,0251,9602,933
2017-05-19$110.13$113.003.5%1.0%2.4%14.7%3.9%1.7%0.9%-6.2M5.7M-49.5K1.3435.047641,0251,9462,986
2017-05-22$110.20$113.003.6%1.0%2.2%15.6%3.9%1.7%0.6%1.3M3.7M-37.6K0.4925.256893361,6401,793
2017-05-23$110.28$113.003.8%1.1%2.0%18.6%3.8%1.6%0.2%780.9K3.8M-43.9K0.4858.497123401,6301,825
2017-05-24$110.33$113.003.6%1.0%2.0%15.7%3.6%1.7%0.3%85.9K6.9M-28.1K0.4565.177123201,1401,857
2017-05-25$110.37$113.003.8%1.1%2.0%17.9%3.9%2.1%0.1%-254.3K7.6M-26.6K0.4440.977123161,0631,868
2017-05-26$110.46$113.003.6%1.0%1.9%15.4%3.5%2.1%0.6%-440.9K8.4M-24.5K0.4734.447123369431,869
2017-05-30$110.57$113.003.2%0.9%1.2%11.3%5.2%3.0%0.9%-547.6K7.6M-20.9K0.5158.956943529431,889
2017-05-31$110.78$113.004.2%1.2%1.3%22.1%10.4%3.6%1.7%-553.3K6.4M-19.8K0.4860.567413539431,889