MUB Options History — January 2018

In January 2018, MUB traded between $109.30 and $110.70. ATM implied volatility averaged 3.3%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 1.0%. IV traded above realized volatility by 0.4% (HV 20d: 3.0%). Max pain ranged from $110.00 to $111.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 4.15.

Notable Days

2018-01-31: Highest Volume — 1,104 contracts
2018-01-10: Largest IV spike — 33.5% change
2018-01-30: Highest IV Rank — 56.1%
2018-01-30: Largest Expected Move — 1.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.07	$109.30	$110.70	$110.55	$109.47
Max Pain	$110.90	$110.00	$111.00	$110.00	$111.00
ATM IV	3.3%	2.2%	4.8%	2.5%	4.2%
Expected Move	1.0%	0.7%	1.4%	0.7%	1.2%
HV 20d	3.0%	1.6%	4.5%	4.5%	2.0%
HV 60d	3.1%	3.0%	3.1%	3.1%	3.1%
IV Rank	24.1%	0.0%	56.1%	0.8%	43.4%
IV Percentile	32.5%	0.0%	90.5%	0.4%	77.0%
Term Structure	0.1%	-0.6%	0.6%	0.3%	-0.0%
VWIV	4.0%	2.6%	6.0%	2.6%	3.9%
Skew 25d	1.1%	-0.7%	2.3%	-0.6%	2.3%
Skew 10d	2.0%	0.1%	10.9%	0.1%	10.9%
Call IV 25d	2.9%	2.1%	4.2%	2.8%	2.8%
Put IV 25d	3.9%	2.2%	5.1%	2.2%	5.1%
Bid-Ask Spread %	57.39	21.52	124.96	32.06	74.41
Gamma HHI	0.31	0.21	0.38	0.34	0.33
Net GEX	-1.8M	-2.1M	-608.6K	-2.0M	-1.2M
Net DEX	6.1M	4.1M	10.2M	4.8M	6.6M
Net VEX	-15.7K	-22.8K	-9.5K	-18.8K	-12.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.15	2.35	9.22	3.21	9.22
Total Volume	507.19	313	1,104	400	1,104
Total OI	1,559.714	1,454	1,878	1,463	1,772

Daily Data (21 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
2018-01-02	$110.55	$110.00	2.5%	0.7%	4.5%	0.8%	2.6%	-0.6%	0.3%	-2.0M	4.8M	-18.8K	3.21	32.06	95	305	133	1,330
2018-01-03	$110.70	$110.00	3.1%	0.9%	4.5%	14.3%	2.7%	-0.7%	0.2%	-2.0M	4.1M	-15.5K	3.35	61.22	91	305	133	1,330
2018-01-04	$110.50	$111.00	2.3%	1.1%	4.4%	0.0%	3.8%	1.1%	0.1%	-2.0M	4.7M	-17.4K	3.35	31.00	91	305	141	1,340
2018-01-05	$110.40	$111.00	2.2%	1.0%	3.8%	0.0%	3.8%	0.9%	0.3%	-2.1M	5.2M	-18.2K	3.33	28.27	91	303	141	1,340
2018-01-08	$110.48	$111.00	2.4%	1.0%	3.8%	3.9%	6.0%	0.9%	0.1%	-2.1M	5.1M	-17.6K	3.38	52.93	91	308	141	1,340
2018-01-09	$110.36	$111.00	2.5%	1.0%	3.3%	6.4%	4.0%	0.8%	0.2%	-2.1M	5.2M	-16.0K	3.38	33.63	91	308	136	1,350
2018-01-10	$110.16	$111.00	3.4%	1.0%	3.4%	24.9%	4.2%	0.9%	0.6%	-2.0M	6.2M	-16.2K	3.02	32.15	99	299	136	1,350
2018-01-11	$110.17	$111.00	3.4%	1.0%	3.4%	24.8%	4.0%	1.7%	0.4%	-2.1M	5.9M	-16.7K	3.18	33.01	94	299	154	1,353
2018-01-12	$110.04	$111.00	3.1%	0.9%	2.8%	20.4%	3.8%	1.6%	0.6%	-1.9M	6.4M	-16.2K	3.10	55.37	98	304	164	1,353
2018-01-16	$110.09	$111.00	3.4%	1.0%	2.9%	26.0%	4.0%	1.4%	0.1%	-1.9M	6.1M	-16.4K	3.10	67.09	98	304	168	1,363
2018-01-17	$110.14	$111.00	3.3%	1.0%	2.8%	24.3%	3.9%	1.8%	0.2%	-1.7M	6.1M	-15.6K	2.92	28.76	104	304	168	1,363
2018-01-18	$110.06	$111.00	3.6%	1.0%	2.8%	29.9%	3.9%	1.2%	-0.0%	-1.6M	6.3M	-15.9K	2.35	25.51	128	301	176	1,363
2018-01-19	$110.04	$111.00	3.3%	1.0%	2.7%	24.4%	4.2%	1.4%	0.4%	-608.6K	5.7M	-12.6K	2.94	106.94	100	294	206	1,365
2018-01-22	$110.02	$111.00	3.7%	1.1%	2.5%	33.0%	4.1%	1.7%	-0.4%	-1.8M	5.9M	-12.4K	2.44	33.07	91	222	162	1,292
2018-01-23	$110.00	$111.00	3.5%	1.0%	2.5%	27.8%	4.2%	1.5%	0.1%	-1.9M	6.4M	-15.3K	2.75	21.52	91	250	167	1,292
2018-01-24	$109.85	$111.00	3.7%	1.1%	2.5%	31.8%	4.1%	1.0%	-0.4%	-1.7M	6.8M	-15.4K	2.60	45.18	96	250	167	1,305
2018-01-25	$110.00	$111.00	3.7%	1.1%	2.4%	31.8%	4.1%	1.1%	0.1%	-1.8M	6.9M	-15.7K	6.75	116.22	96	648	157	1,305
2018-01-26	$109.78	$111.00	3.6%	1.0%	1.6%	30.5%	4.3%	1.5%	0.1%	-1.4M	6.5M	-9.5K	6.75	101.22	96	648	157	1,703
2018-01-29	$109.43	$111.00	4.6%	1.3%	1.9%	51.3%	4.2%	0.9%	-0.4%	-1.4M	7.9M	-12.4K	6.84	100.68	96	657	157	1,703
2018-01-30	$109.30	$111.00	4.8%	1.4%	1.9%	56.1%	4.3%	0.7%	-0.6%	-1.4M	10.2M	-22.8K	9.15	124.96	108	988	157	1,721
2018-01-31	$109.47	$111.00	4.2%	1.2%	2.0%	43.4%	3.9%	2.3%	-0.0%	-1.2M	6.6M	-12.7K	9.22	74.41	108	996	169	1,603