MUB Options History — September 2017

In September 2017, MUB traded between $110.82 and $111.63. ATM implied volatility averaged 3.7%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 1.1%. IV traded above realized volatility by 1.8% (HV 20d: 2.0%). Max pain ranged from $111.00 to $112.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.46.

Notable Days

2017-09-15: Highest Volume — 736 contracts
2017-09-11: Largest IV spike — 42.4% change
2017-09-11: Highest IV Rank — 28.9%
2017-09-06: Largest Expected Move — 1.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.22	$110.82	$111.63	$111.23	$110.86
Max Pain	$111.90	$111.00	$112.00	$112.00	$112.00
ATM IV	3.7%	3.0%	4.9%	3.3%	3.3%
Expected Move	1.1%	0.9%	1.2%	0.9%	1.0%
HV 20d	2.0%	1.6%	2.2%	1.6%	2.2%
HV 60d	1.9%	1.8%	1.9%	1.8%	1.8%
IV Rank	15.3%	6.9%	28.9%	9.8%	10.5%
IV Percentile	32.1%	7.9%	69.8%	15.9%	15.1%
Term Structure	0.3%	-0.1%	0.8%	0.3%	0.5%
VWIV	3.8%	3.3%	4.4%	3.3%	3.5%
Skew 25d	1.6%	0.3%	5.8%	5.8%	1.1%
Skew 10d	3.3%	-0.5%	11.1%	11.1%	6.7%
Call IV 25d	2.9%	2.2%	3.6%	2.5%	2.9%
Put IV 25d	4.5%	3.9%	8.3%	8.3%	4.0%
Bid-Ask Spread %	40.05	15.37	84.05	38.91	33.28
Gamma HHI	0.31	0.21	0.41	0.22	0.40
Net GEX	-1.2M	-1.6M	-908.6K	-1.1M	-1.5M
Net DEX	7.8M	6.5M	8.9M	7.3M	8.9M
Net VEX	-16.2K	-21.5K	-12.4K	-14.1K	-14.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.46	1.36	3.31	2.67	1.82
Total Volume	634.3	544	736	565	690
Total OI	1,911.75	1,711	2,133	1,711	1,975

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
2017-09-01	$111.23	$112.00	3.3%	0.9%	1.6%	9.8%	3.3%	5.8%	0.3%	-1.1M	7.3M	-14.1K	2.67	38.91	154	411	137	1,574
2017-09-05	$111.54	$111.00	3.9%	1.2%	1.8%	17.1%	3.7%	1.5%	0.3%	-1.6M	7.3M	-18.8K	1.36	84.05	269	365	132	1,579
2017-09-06	$111.47	$111.00	3.9%	1.2%	1.8%	16.7%	3.9%	1.0%	0.1%	-934.6K	6.5M	-13.8K	2.21	63.22	174	385	247	1,579
2017-09-07	$111.63	$112.00	3.0%	1.1%	1.9%	6.9%	4.0%	1.2%	0.8%	-1.4M	7.2M	-21.5K	2.42	29.64	159	385	267	1,600
2017-09-08	$111.63	$112.00	3.4%	1.2%	1.8%	11.8%	4.1%	1.3%	0.1%	-1.4M	7.2M	-21.2K	2.10	33.56	179	376	272	1,620
2017-09-11	$111.44	$112.00	4.9%	1.2%	1.9%	28.9%	3.7%	1.3%	0.1%	-908.6K	7.4M	-19.0K	2.02	26.97	185	374	297	1,632
2017-09-12	$111.32	$112.00	4.3%	1.2%	2.0%	22.5%	3.9%	1.1%	-0.1%	-1.3M	7.9M	-19.2K	2.52	48.85	180	454	303	1,636
2017-09-13	$111.24	$112.00	4.0%	1.2%	1.9%	18.8%	4.4%	1.3%	0.0%	-1.5M	8.2M	-18.1K	3.31	51.08	170	563	310	1,706
2017-09-14	$111.23	$112.00	4.0%	1.1%	1.9%	18.4%	3.9%	1.8%	0.3%	-1.5M	8.2M	-17.6K	3.26	40.93	170	554	310	1,822
2017-09-15	$111.21	$112.00	4.0%	1.1%	1.9%	18.2%	4.2%	2.2%	0.4%	-993.8K	8.2M	-17.0K	3.04	38.81	182	554	310	1,823
2017-09-18	$111.17	$112.00	4.2%	1.2%	1.9%	20.1%	4.2%	2.1%	-0.0%	-1.0M	7.5M	-15.2K	2.83	73.55	172	486	312	1,566
2017-09-19	$111.15	$112.00	3.6%	1.0%	1.9%	13.2%	4.2%	1.0%	0.1%	-1.1M	8.2M	-15.3K	2.81	19.17	172	483	316	1,579
2017-09-20	$110.93	$112.00	3.7%	1.1%	2.1%	14.9%	4.1%	0.3%	0.4%	-1.2M	8.2M	-15.9K	3.04	72.17	172	523	316	1,581
2017-09-21	$111.04	$112.00	3.6%	1.0%	2.0%	13.8%	3.6%	1.8%	0.1%	-1.1M	8.3M	-14.9K	2.44	40.90	172	420	316	1,570
2017-09-22	$111.18	$112.00	3.4%	1.0%	2.1%	11.6%	3.4%	1.7%	0.1%	-1.2M	7.6M	-14.0K	2.44	34.25	172	420	316	1,571
2017-09-25	$111.25	$112.00	3.5%	1.0%	2.1%	12.7%	3.6%	1.7%	0.5%	-962.4K	7.7M	-13.3K	2.55	15.89	172	438	316	1,571
2017-09-26	$111.20	$112.00	3.5%	1.0%	2.1%	12.3%	3.5%	1.8%	0.5%	-1.1M	7.5M	-12.4K	2.55	21.99	172	438	316	1,592
2017-09-27	$110.90	$112.00	3.7%	1.1%	2.2%	14.9%	3.8%	1.0%	0.2%	-1.3M	8.6M	-14.3K	1.91	18.37	229	438	316	1,592
2017-09-28	$110.82	$112.00	3.5%	1.0%	2.2%	12.2%	3.6%	0.9%	0.3%	-1.5M	8.9M	-14.6K	1.94	15.37	229	445	346	1,612
2017-09-29	$110.86	$112.00	3.3%	1.0%	2.2%	10.5%	3.5%	1.1%	0.5%	-1.5M	8.9M	-14.6K	1.82	33.28	245	445	346	1,629