MUB Options History — March 2018

In March 2018, MUB traded between $108.26 and $108.92. ATM implied volatility averaged 4.1%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 1.2%. IV traded above realized volatility by 2.0% (HV 20d: 2.1%). Max pain ranged from $108.00 to $109.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 8.61.

Notable Days

2018-03-21: Highest Volume — 1,154 contracts
2018-03-08: Largest IV drop — 47.5% change
2018-03-02: Highest IV Rank — 82.7%
2018-03-02: Largest Expected Move — 1.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$108.52	$108.26	$108.92	$108.67	$108.92
Max Pain	$108.10	$108.00	$109.00	$109.00	$108.00
ATM IV	4.1%	2.7%	6.0%	4.9%	3.5%
Expected Move	1.2%	0.9%	1.7%	1.4%	1.0%
HV 20d	2.1%	1.7%	3.0%	3.0%	2.0%
HV 60d	2.7%	2.3%	3.4%	3.3%	2.4%
IV Rank	45.7%	10.3%	82.7%	58.3%	33.2%
IV Percentile	63.0%	4.0%	99.6%	91.7%	33.3%
Term Structure	0.2%	-1.0%	0.8%	0.4%	0.5%
VWIV	4.1%	2.0%	5.1%	5.1%	3.5%
Skew 25d	1.3%	-0.1%	2.6%	2.6%	0.4%
Skew 10d	1.7%	0.2%	4.2%	2.9%	0.2%
Call IV 25d	3.5%	1.9%	4.5%	4.0%	3.1%
Put IV 25d	4.8%	3.1%	6.6%	6.6%	3.5%
Bid-Ask Spread %	71.53	17.00	114.09	109.01	42.33
Gamma HHI	0.37	0.32	0.43	0.33	0.37
Net GEX	-1.4M	-2.1M	258.7K	-1.7M	55.0K
Net DEX	6.2M	3.9M	7.5M	6.4M	3.9M
Net VEX	-28.4K	-31.2K	-23.9K	-29.3K	-28.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.61	0.61	15.06	15.06	3.89
Total Volume	832.81	372	1,154	835	372
Total OI	1,780.429	1,581	2,065	1,602	2,065

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
2018-03-01	$108.67	$109.00	4.9%	1.4%	3.0%	58.3%	5.1%	2.6%	0.4%	-1.7M	6.4M	-29.3K	15.06	109.01	52	783	144	1,458
2018-03-02	$108.39	$109.00	6.0%	1.7%	2.4%	82.7%	4.8%	0.4%	-1.0%	-1.7M	6.8M	-29.4K	11.17	114.09	70	782	154	1,435
2018-03-05	$108.40	$108.00	5.5%	1.4%	2.4%	71.1%	4.7%	1.6%	0.1%	-1.8M	7.0M	-29.7K	12.60	68.88	70	882	172	1,438
2018-03-06	$108.38	$108.00	5.1%	1.4%	2.1%	64.3%	4.7%	2.3%	-0.4%	-2.0M	7.1M	-30.0K	12.60	51.41	70	882	172	1,539
2018-03-07	$108.47	$108.00	5.1%	1.4%	2.1%	63.6%	4.6%	1.8%	0.3%	-1.9M	7.0M	-29.5K	12.49	82.90	70	874	172	1,537
2018-03-08	$108.58	$108.00	2.7%	1.3%	2.1%	10.3%	4.6%	2.1%	0.2%	-2.0M	6.7M	-29.4K	12.77	71.26	70	894	172	1,549
2018-03-09	$108.41	$108.00	3.2%	1.3%	2.1%	21.9%	4.3%	1.4%	-0.0%	-2.1M	7.2M	-28.5K	12.77	83.08	70	894	172	1,569
2018-03-12	$108.26	$108.00	3.7%	1.2%	2.2%	31.8%	4.2%	1.2%	0.4%	-2.1M	7.5M	-28.6K	12.04	86.10	70	843	172	1,569
2018-03-13	$108.39	$108.00	3.2%	1.2%	2.2%	21.1%	4.1%	1.5%	0.2%	-2.1M	6.8M	-25.6K	11.86	56.62	71	842	172	1,569
2018-03-14	$108.45	$108.00	4.1%	1.2%	2.2%	42.0%	4.1%	1.2%	0.4%	-2.0M	6.6M	-25.5K	10.40	90.32	81	842	182	1,570
2018-03-15	$108.45	$108.00	4.4%	1.3%	1.9%	56.8%	4.2%	1.5%	0.2%	-2.0M	6.7M	-26.5K	10.40	69.23	81	842	194	1,570
2018-03-16	$108.53	$108.00	4.0%	1.2%	1.9%	48.0%	4.3%	1.3%	0.1%	-1.9M	6.0M	-26.9K	10.93	79.43	76	831	194	1,570
2018-03-19	$108.51	$108.00	4.3%	1.2%	1.9%	54.4%	4.3%	1.7%	0.2%	-1.9M	5.9M	-27.6K	11.54	68.40	59	681	158	1,423
2018-03-20	$108.36	$108.00	4.5%	1.3%	1.9%	59.2%	4.2%	1.2%	0.2%	-2.0M	6.9M	-26.9K	9.09	17.00	76	691	159	1,423
2018-03-21	$108.40	$108.00	4.2%	1.2%	1.8%	52.6%	3.3%	1.2%	-0.1%	-2.0M	6.4M	-23.9K	1.49	98.53	463	691	176	1,433
2018-03-22	$108.60	$108.00	3.6%	1.0%	1.9%	35.4%	3.4%	1.6%	0.3%	-420.4K	4.5M	-29.4K	1.49	101.96	463	691	573	1,433
2018-03-23	$108.58	$108.00	3.2%	0.9%	1.7%	26.4%	3.4%	-0.1%	0.6%	-440.4K	4.7M	-31.2K	0.61	58.59	463	282	573	1,433
2018-03-26	$108.47	$108.00	4.2%	1.2%	1.8%	52.3%	2.0%	1.2%	0.3%	-523.8K	5.5M	-29.3K	0.61	48.54	469	286	573	1,434
2018-03-27	$108.80	$108.00	3.6%	1.0%	2.1%	37.3%	4.1%	0.4%	0.4%	164.6K	5.4M	-31.1K	3.57	58.35	83	296	586	1,447
2018-03-28	$108.89	$108.00	3.6%	1.0%	2.0%	36.6%	4.5%	1.0%	0.8%	258.7K	4.8M	-30.4K	3.48	46.20	85	296	598	1,457
2018-03-29	$108.92	$108.00	3.5%	1.0%	2.0%	33.2%	3.5%	0.4%	0.5%	55.0K	3.9M	-28.5K	3.89	42.33	76	296	598	1,467