MUB Options History — July 2017

In July 2017, MUB traded between $109.86 and $110.99. ATM implied volatility averaged 3.4%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 1.0%. IV traded above realized volatility by 1.3% (HV 20d: 2.1%). Max pain ranged from $109.00 to $110.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.84.

Notable Days

2017-07-03: Highest Volume — 1,407 contracts
2017-07-18: Largest IV drop — 27.0% change
2017-07-05: Highest IV Rank — 22.6%
2017-07-05: Largest Expected Move — 1.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.42	$109.86	$110.99	$109.86	$110.84
Max Pain	$109.10	$109.00	$110.00	$110.00	$109.00
ATM IV	3.4%	2.7%	4.2%	4.1%	3.5%
Expected Move	1.0%	0.8%	1.2%	1.2%	1.0%
HV 20d	2.1%	1.8%	2.4%	1.9%	1.9%
HV 60d	2.1%	1.9%	2.2%	2.2%	1.9%
IV Rank	13.9%	5.7%	22.6%	21.7%	14.8%
IV Percentile	21.3%	2.0%	42.9%	40.5%	23.0%
Term Structure	0.9%	-0.6%	2.2%	-0.6%	1.8%
VWIV	5.9%	3.8%	9.9%	4.9%	5.5%
Skew 25d	2.1%	1.2%	3.1%	1.2%	2.3%
Skew 10d	3.1%	0.2%	7.0%	5.0%	1.3%
Call IV 25d	2.4%	1.8%	3.4%	3.4%	2.3%
Put IV 25d	4.5%	3.9%	5.0%	4.7%	4.6%
Bid-Ask Spread %	47.02	13.42	116.70	76.93	36.81
Gamma HHI	0.39	0.23	0.48	0.41	0.23
Net GEX	993.9K	-465.7K	1.9M	1.7M	-465.7K
Net DEX	496.7K	-3.3M	4.3M	3.6M	-277.7K
Net VEX	-27.9K	-41.3K	-15.2K	-37.1K	-29.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.72	0.95	0.95	0.77
Total Volume	1,353.55	1,296	1,407	1,407	1,323
Total OI	4,030.75	3,898	4,177	3,898	4,172

Daily Data (20 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
2017-07-03	$109.86	$110.00	4.1%	1.2%	1.9%	21.7%	4.9%	1.2%	-0.6%	1.7M	3.6M	-37.1K	0.95	76.93	721	686	1,852	2,046
2017-07-05	$109.99	$110.00	4.2%	1.2%	1.9%	22.6%	5.7%	1.9%	-0.3%	1.4M	3.5M	-40.2K	0.94	116.70	721	678	1,858	2,118
2017-07-06	$109.89	$109.00	3.8%	1.1%	1.9%	17.8%	5.2%	2.0%	0.5%	1.8M	3.1M	-35.8K	0.91	54.70	720	656	1,858	2,124
2017-07-07	$109.87	$109.00	3.4%	1.1%	1.8%	13.6%	4.1%	1.9%	0.5%	1.5M	4.3M	-41.3K	0.90	37.52	720	650	1,859	2,130
2017-07-10	$109.91	$109.00	3.6%	1.1%	1.8%	15.6%	5.5%	2.2%	0.5%	1.8M	2.7M	-31.5K	0.90	46.23	722	650	1,859	2,133
2017-07-11	$109.92	$109.00	3.9%	1.2%	1.9%	19.0%	9.7%	1.8%	0.3%	1.5M	3.6M	-34.9K	0.90	31.86	722	650	1,861	2,133
2017-07-12	$110.08	$109.00	3.7%	1.1%	2.0%	17.4%	8.4%	1.9%	0.5%	1.9M	1.6M	-31.1K	0.90	74.41	722	650	1,861	2,133
2017-07-13	$110.06	$109.00	3.8%	1.1%	1.9%	18.4%	5.6%	2.1%	0.7%	1.5M	2.7M	-37.6K	0.90	22.40	722	650	1,861	2,133
2017-07-14	$110.34	$109.00	3.8%	1.1%	2.1%	18.3%	5.3%	2.2%	0.4%	1.5M	221.1K	-27.7K	0.90	41.23	722	650	1,862	2,133
2017-07-17	$110.36	$109.00	3.7%	1.1%	2.1%	17.1%	5.8%	2.2%	0.7%	1.2M	431.1K	-27.9K	0.90	13.42	725	650	1,863	2,133
2017-07-18	$110.58	$109.00	2.7%	0.8%	2.3%	5.7%	6.0%	2.3%	1.7%	1.5M	-1.3M	-22.5K	0.82	18.79	726	596	1,867	2,133
2017-07-19	$110.71	$109.00	2.9%	0.8%	2.3%	7.8%	4.4%	2.1%	2.2%	896.2K	-2.2M	-22.3K	0.78	18.27	755	591	1,867	2,133
2017-07-20	$110.84	$109.00	2.8%	0.8%	2.3%	6.2%	5.4%	2.4%	1.7%	840.9K	-2.5M	-19.4K	0.72	54.09	755	541	1,838	2,134
2017-07-21	$110.99	$109.00	3.3%	0.9%	2.3%	12.2%	3.8%	1.2%	0.8%	990.7K	-3.3M	-15.2K	0.84	19.57	755	635	1,837	2,223
2017-07-24	$110.94	$109.00	2.8%	0.8%	2.3%	6.3%	4.1%	2.1%	1.5%	266.4K	-1.9M	-18.1K	0.77	36.19	747	578	1,810	2,247
2017-07-25	$110.79	$109.00	3.0%	0.9%	2.4%	9.6%	7.4%	1.9%	0.6%	255.9K	-532.1K	-23.2K	0.77	48.26	746	573	1,816	2,301
2017-07-26	$110.88	$109.00	3.3%	1.0%	2.4%	12.7%	9.9%	3.1%	1.5%	103.3K	-770.8K	-23.5K	0.77	90.36	746	573	1,819	2,306
2017-07-27	$110.82	$109.00	3.0%	0.9%	2.3%	9.6%	4.8%	2.2%	1.2%	108.3K	-1.6M	-19.5K	0.77	44.10	746	576	1,819	2,306
2017-07-28	$110.82	$109.00	3.2%	0.9%	1.9%	10.9%	7.3%	2.7%	1.1%	-444.8K	-1.7M	-19.2K	0.77	58.49	746	576	1,819	2,358
2017-07-31	$110.84	$109.00	3.5%	1.0%	1.9%	14.8%	5.5%	2.3%	1.8%	-465.7K	-277.7K	-29.5K	0.77	36.81	747	576	1,813	2,359