MUB Options History — October 2017

In October 2017, MUB traded between $110.59 and $111.32. ATM implied volatility averaged 3.7%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 1.1%. IV traded above realized volatility by 2.0% (HV 20d: 1.8%). Max pain ranged from $112.00 to $117.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 3.33.

Notable Days

  • 2017-10-11: Highest Volume — 1,035 contracts
  • 2017-10-11: Largest IV spike — 33.2% change
  • 2017-10-31: Highest IV Rank — 18.1%
  • 2017-10-31: Largest Expected Move — 1.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.89$110.59$111.32$110.66$110.76
Max Pain$116.32$112.00$117.00$112.00$117.00
ATM IV3.7%2.9%4.1%3.8%4.1%
Expected Move1.1%1.0%1.2%1.1%1.2%
HV 20d1.8%1.6%2.1%2.1%1.8%
HV 60d1.8%1.7%1.9%1.8%1.8%
IV Rank13.4%3.2%18.1%15.4%18.1%
IV Percentile34.3%2.8%51.6%35.3%51.6%
Term Structure0.2%-0.3%0.5%0.3%-0.3%
VWIV4.1%3.6%5.0%3.8%4.2%
Skew 25d1.1%0.4%2.3%1.0%0.5%
Skew 10d2.7%-0.4%7.4%7.4%0.7%
Call IV 25d3.3%2.8%4.3%3.4%3.8%
Put IV 25d4.5%3.9%5.2%4.4%4.3%
Bid-Ask Spread %65.4021.23112.8233.0062.49
Gamma HHI0.320.220.380.310.36
Net GEX-1.5M-1.8M-1.3M-1.6M-1.8M
Net DEX9.1M7.9M10.4M9.2M9.3M
Net VEX-18.1K-23.9K-14.7K-18.5K-16.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.331.784.971.784.97
Total Volume835.2736951,035695973
Total OI2,216.4091,9972,4541,9972,250

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$110.66$112.003.8%1.1%2.1%15.4%3.8%1.0%0.3%-1.6M9.2M-18.5K1.7833.002504453621,635
2017-10-03$110.69$112.003.4%1.0%1.7%9.2%3.6%0.5%0.0%-1.7M9.0M-16.2K1.8021.232785003671,635
2017-10-04$110.71$112.003.7%1.1%1.7%13.3%3.8%0.9%-0.1%-1.5M9.1M-15.5K1.8045.512785004111,705
2017-10-05$110.75$117.003.6%1.2%1.6%11.5%4.0%1.7%0.4%-1.6M9.1M-17.5K2.2634.102174914111,705
2017-10-06$110.68$117.003.5%1.1%1.6%11.0%3.8%1.4%0.3%-1.8M9.3M-18.0K2.4533.142085104231,706
2017-10-09$110.78$117.003.3%1.1%1.6%8.4%3.8%1.5%0.4%-1.5M9.1M-18.9K2.3525.832084884261,717
2017-10-10$110.81$117.002.9%1.2%1.6%3.2%3.9%1.8%0.4%-1.3M8.8M-16.7K2.3535.682084884261,733
2017-10-11$110.83$117.003.9%1.1%1.6%14.7%4.0%1.8%0.5%-1.5M8.9M-17.0K3.9840.482088274261,733
2017-10-12$110.94$117.003.9%1.1%1.7%14.9%3.9%1.5%0.4%-1.5M9.8M-23.9K3.98106.942088274261,915
2017-10-13$111.10$117.003.7%1.1%1.7%13.0%3.7%1.1%0.4%-1.5M9.6M-22.4K3.89109.892088094261,915
2017-10-16$111.14$117.003.7%1.1%1.7%13.3%3.8%1.2%0.3%-1.7M9.4M-20.0K3.89106.752088094261,989
2017-10-17$111.32$117.004.0%1.2%1.8%16.7%3.9%0.9%0.0%-1.4M7.9M-14.7K3.85106.421837054411,989
2017-10-18$111.22$117.003.8%1.1%1.7%14.1%4.1%0.4%0.4%-1.4M8.4M-15.0K3.54111.201836474501,999
2017-10-19$111.28$117.004.0%1.1%1.7%16.3%3.9%0.8%0.1%-1.3M8.3M-19.7K3.46112.821876474501,999
2017-10-20$111.03$117.003.8%1.1%1.8%14.4%5.0%0.9%0.1%-1.7M9.2M-17.5K3.1996.041875974502,004
2017-10-23$111.11$117.004.0%1.1%1.8%16.0%4.8%2.3%0.2%-1.4M8.0M-17.4K3.4449.191675742641,791
2017-10-24$111.01$117.003.9%1.1%1.9%15.8%4.1%1.4%-0.1%-1.3M8.4M-16.2K3.5050.271675842641,797
2017-10-25$110.71$117.004.0%1.2%1.9%17.0%4.5%0.5%0.3%-1.4M8.8M-15.4K4.1867.641636822641,807
2017-10-26$110.59$117.003.3%1.0%1.9%8.6%4.6%0.6%0.4%-1.7M10.4M-23.0K4.1868.691636822901,918
2017-10-27$110.67$117.003.9%1.1%1.9%15.7%4.3%1.3%-0.2%-1.8M10.3M-21.6K4.1866.511636822901,918
2017-10-30$110.78$117.003.8%1.1%1.8%14.5%4.4%1.1%0.2%-1.6M9.6M-17.0K4.3254.961637042901,918
2017-10-31$110.76$117.004.1%1.2%1.8%18.1%4.2%0.5%-0.3%-1.8M9.3M-16.0K4.9762.491638102901,960