MUB Options History — December 2017

In December 2017, MUB traded between $109.95 and $111.23. ATM implied volatility averaged 3.2%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 0.9%. IV traded below realized volatility by 0.6% (HV 20d: 3.8%). Max pain ranged from $110.00 to $113.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.98.

Notable Days

2017-12-11: Highest Volume — 505 contracts
2017-12-05: Largest IV drop — 37.2% change
2017-12-04: Highest IV Rank — 18.2%
2017-12-01: Largest Expected Move — 1.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.52	$109.95	$111.23	$110.09	$110.71
Max Pain	$110.15	$110.00	$113.00	$113.00	$110.00
ATM IV	3.2%	2.5%	4.1%	4.0%	2.7%
Expected Move	0.9%	0.6%	1.1%	1.1%	0.8%
HV 20d	3.8%	2.2%	4.6%	2.2%	4.5%
HV 60d	2.7%	2.0%	3.1%	2.0%	3.1%
IV Rank	10.8%	0.0%	18.2%	16.1%	5.0%
IV Percentile	17.2%	0.0%	60.3%	54.4%	2.0%
Term Structure	0.4%	-0.3%	1.7%	-0.3%	0.5%
VWIV	3.1%	2.4%	3.8%	2.9%	2.5%
Skew 25d	1.1%	-0.3%	4.9%	2.1%	-0.3%
Skew 10d	1.9%	0.2%	7.2%	2.4%	3.7%
Call IV 25d	2.6%	1.8%	3.3%	2.6%	2.5%
Put IV 25d	3.6%	2.2%	7.0%	4.7%	2.2%
Bid-Ask Spread %	33.16	12.31	68.86	51.24	26.32
Gamma HHI	0.33	0.25	0.42	0.31	0.36
Net GEX	-1.9M	-2.4M	-1.6M	-2.2M	-1.9M
Net DEX	5.2M	3.5M	6.7M	6.6M	4.4M
Net VEX	-17.8K	-21.2K	-13.5K	-18.8K	-18.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.98	1.92	3.67	1.92	3.21
Total Volume	432.3	400	505	415	400
Total OI	1,480.9	1,405	1,564	1,423	1,463

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
2017-12-01	$110.09	$113.00	4.0%	1.1%	2.2%	16.1%	2.9%	2.1%	-0.3%	-2.2M	6.6M	-18.8K	1.92	51.24	142	273	106	1,317
2017-12-04	$110.19	$110.00	4.1%	1.0%	2.2%	18.2%	3.4%	1.6%	0.2%	-2.1M	6.7M	-20.3K	1.92	39.62	142	273	155	1,327
2017-12-05	$110.58	$110.00	2.6%	0.6%	2.6%	0.0%	2.8%	2.1%	1.7%	-2.3M	5.2M	-21.2K	1.94	39.15	141	274	155	1,327
2017-12-06	$111.23	$110.00	3.3%	0.9%	3.2%	8.6%	3.1%	1.4%	0.5%	-1.7M	3.8M	-20.1K	2.33	53.85	123	286	156	1,349
2017-12-07	$111.14	$110.00	3.8%	0.9%	3.2%	14.8%	3.2%	0.5%	0.2%	-1.9M	3.6M	-16.7K	2.72	36.71	108	294	164	1,355
2017-12-08	$110.52	$110.00	3.4%	0.9%	3.8%	9.5%	3.8%	0.9%	0.4%	-1.9M	5.0M	-17.1K	3.67	36.07	108	396	174	1,361
2017-12-11	$110.45	$110.00	3.2%	1.0%	3.7%	6.9%	3.4%	0.6%	-0.0%	-2.2M	5.9M	-20.0K	3.63	27.85	109	396	174	1,381
2017-12-12	$110.44	$110.00	3.7%	1.0%	3.7%	13.5%	3.6%	1.6%	0.2%	-2.3M	5.5M	-16.3K	3.13	39.25	109	341	172	1,381
2017-12-13	$110.97	$110.00	2.5%	0.7%	4.1%	0.0%	2.4%	4.9%	0.8%	-2.0M	3.5M	-13.5K	3.23	68.86	108	349	172	1,382
2017-12-14	$110.86	$110.00	3.1%	0.9%	4.0%	13.3%	3.0%	0.7%	0.4%	-1.6M	4.5M	-16.9K	3.23	35.16	108	349	172	1,392
2017-12-15	$110.73	$110.00	3.0%	0.9%	4.1%	12.1%	2.9%	0.2%	0.2%	-1.7M	5.0M	-16.2K	3.28	31.00	108	354	172	1,392
2017-12-18	$110.54	$110.00	2.9%	0.8%	4.1%	10.0%	2.7%	-0.0%	0.6%	-1.8M	5.1M	-19.6K	3.16	19.49	102	322	140	1,293
2017-12-19	$110.30	$110.00	3.2%	0.9%	4.2%	16.8%	3.6%	0.8%	0.3%	-1.6M	5.4M	-14.3K	3.06	12.31	102	312	121	1,284
2017-12-20	$109.95	$110.00	3.0%	0.9%	4.3%	13.1%	3.5%	1.0%	0.4%	-1.6M	6.2M	-13.7K	3.06	26.89	102	312	121	1,295
2017-12-21	$109.95	$110.00	3.2%	0.9%	4.3%	17.7%	3.4%	1.3%	0.2%	-2.0M	6.4M	-18.1K	3.06	22.64	102	312	121	1,290
2017-12-22	$110.00	$110.00	3.2%	0.9%	4.2%	16.3%	3.4%	0.2%	0.4%	-2.0M	6.1M	-18.2K	3.23	23.05	102	329	121	1,290
2017-12-26	$110.24	$110.00	3.2%	0.9%	4.3%	17.2%	3.1%	0.4%	0.3%	-2.0M	5.8M	-18.3K	3.36	22.21	102	343	121	1,307
2017-12-27	$110.79	$110.00	2.7%	0.8%	4.6%	4.0%	2.7%	0.7%	0.7%	-2.4M	4.7M	-19.7K	3.35	34.29	95	318	121	1,332
2017-12-28	$110.75	$110.00	2.6%	0.8%	4.5%	3.4%	2.7%	0.6%	0.5%	-1.9M	4.3M	-19.2K	3.21	17.35	95	305	133	1,329
2017-12-29	$110.71	$110.00	2.7%	0.8%	4.5%	5.0%	2.5%	-0.3%	0.5%	-1.9M	4.4M	-18.8K	3.21	26.32	95	305	133	1,330