MUB Options History — August 2017

In August 2017, MUB traded between $110.72 and $111.55. ATM implied volatility averaged 3.4%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 1.0%. IV traded above realized volatility by 1.9% (HV 20d: 1.5%). Max pain ranged from $109.00 to $112.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 2.08.

Notable Days

  • 2017-08-15: Highest Volume — 1,533 contracts
  • 2017-08-09: Largest IV spike — 34.4% change
  • 2017-08-11: Highest IV Rank — 19.7%
  • 2017-08-29: Largest Expected Move — 1.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.13$110.72$111.55$110.72$111.55
Max Pain$111.74$109.00$112.00$109.00$112.00
ATM IV3.4%2.6%4.0%3.0%3.8%
Expected Move1.0%0.8%1.1%0.8%1.1%
HV 20d1.5%1.2%1.8%1.7%1.2%
HV 60d1.9%1.7%2.0%2.0%1.7%
IV Rank13.4%4.7%19.7%8.5%16.4%
IV Percentile25.1%2.0%44.4%6.7%40.9%
Term Structure0.5%-0.1%1.3%1.0%0.4%
VWIV4.1%3.5%5.0%3.9%4.8%
Skew 25d1.8%1.1%2.5%2.0%2.5%
Skew 10d2.8%0.4%9.3%9.3%0.5%
Call IV 25d2.4%2.0%2.9%2.2%2.0%
Put IV 25d4.2%3.9%4.6%4.2%4.4%
Bid-Ask Spread %48.3316.41108.7346.0126.51
Gamma HHI0.370.240.520.520.36
Net GEX-1.8M-2.7M-999.6K-2.5M-1.7M
Net DEX1.1M-3.9M8.1M-2.9M6.5M
Net VEX-15.6K-21.3K-10.6K-16.0K-10.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.764.310.762.68
Total Volume1,158.5225711,5331,323571
Total OI3,330.3041,6704,6034,2061,711

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$110.72$109.003.0%0.8%1.7%8.5%3.9%2.0%1.0%-2.5M-2.9M-16.0K0.7646.017525711,8432,363
2017-08-02$110.77$109.002.8%0.8%1.6%6.8%3.7%1.9%1.3%-2.2M-3.0M-17.5K0.8261.917526191,8482,372
2017-08-03$110.99$112.002.9%1.0%1.7%8.3%3.6%1.8%0.5%-1.4M-3.9M-14.1K0.8154.267526091,8482,442
2017-08-04$110.86$112.003.0%0.9%1.7%8.9%3.6%1.7%0.5%-999.6K-2.1M-17.8K0.8129.107526091,8482,462
2017-08-07$110.95$112.002.9%1.0%1.8%7.7%3.5%2.1%0.7%-1.3M-2.1M-21.3K0.8125.457506091,8482,472
2017-08-08$110.91$112.002.6%1.0%1.8%4.7%4.0%2.1%0.4%-2.7M-2.9M-17.7K0.8742.587506491,8482,506
2017-08-09$111.00$112.003.5%1.0%1.7%14.9%3.6%1.9%0.5%-2.1M-3.4M-16.3K0.8741.697466481,8482,511
2017-08-10$111.14$112.003.8%1.1%1.7%17.9%3.8%1.5%0.5%-1.5M-3.7M-16.8K0.8652.027466431,8482,530
2017-08-11$111.23$112.003.9%1.1%1.6%19.7%3.7%1.6%0.2%-1.6M-3.9M-15.4K0.8853.717466531,8482,530
2017-08-14$111.16$112.003.6%1.0%1.6%16.5%3.8%1.8%0.6%-1.2M-2.3M-17.8K0.8138.037466021,8482,540
2017-08-15$111.05$112.003.6%1.0%1.6%15.7%4.2%1.5%0.5%-1.8M-3.1M-15.7K1.0555.177467871,8482,550
2017-08-16$111.06$112.003.6%1.0%1.5%15.9%4.0%1.1%0.8%-2.5M-2.4M-21.2K1.0582.207467871,8482,755
2017-08-17$111.11$112.003.5%1.0%1.5%15.3%4.1%1.5%0.6%-2.6M-2.8M-16.9K1.0461.267467781,8482,755
2017-08-18$111.13$112.003.5%1.0%1.4%14.1%4.3%1.9%0.6%-2.6M-3.1M-16.3K1.05108.737467811,8472,754
2017-08-21$111.18$112.003.6%1.0%1.4%15.9%4.2%1.6%0.7%-1.6M8.1M-16.3K4.2120.301546481361,534
2017-08-22$111.15$112.003.3%0.9%1.3%10.5%4.3%1.6%0.6%-1.7M7.8M-16.0K4.2159.971546481361,534
2017-08-23$111.31$112.003.6%1.0%1.4%14.0%4.2%1.8%0.0%-1.5M7.2M-12.6K4.2860.041546591361,534
2017-08-24$111.27$112.003.8%1.1%1.3%16.5%4.4%2.0%-0.1%-1.5M7.4M-12.9K4.3163.821546641361,549
2017-08-25$111.29$112.003.6%1.0%1.3%14.2%4.7%1.9%0.2%-1.6M7.4M-12.6K4.3144.411546641361,554
2017-08-28$111.30$112.003.6%1.0%1.3%14.3%4.4%1.7%0.1%-1.5M7.4M-12.1K4.3129.441546641361,554
2017-08-29$111.47$112.004.0%1.1%1.3%18.5%5.0%2.5%-0.0%-1.4M7.3M-13.5K4.2438.541556571361,561
2017-08-30$111.47$112.003.5%1.0%1.3%12.2%3.8%2.0%0.3%-1.3M7.2M-12.1K2.6816.411554161371,569
2017-08-31$111.55$112.003.8%1.1%1.2%16.4%4.8%2.5%0.4%-1.7M6.5M-10.6K2.6826.511554161371,574