MUB Options History — September 2018

In September 2018, MUB traded between $107.73 and $108.58. ATM implied volatility averaged 2.7%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 0.8%. IV traded above realized volatility by 0.8% (HV 20d: 2.0%). Max pain ranged from $108.00 to $109.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 5.55.

Notable Days

2018-09-21: Highest Volume — 785 contracts
2018-09-07: Largest IV spike — 47.3% change
2018-09-25: Highest IV Rank — 43.2%
2018-09-25: Largest Expected Move — 1.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$108.09	$107.73	$108.58	$108.51	$108.02
Max Pain	$108.37	$108.00	$109.00	$109.00	$109.00
ATM IV	2.7%	1.7%	3.5%	2.2%	2.0%
Expected Move	0.8%	0.5%	1.0%	0.6%	0.6%
HV 20d	2.0%	1.8%	2.2%	1.8%	2.1%
HV 60d	1.9%	1.8%	2.0%	1.9%	1.8%
IV Rank	24.0%	0.0%	43.2%	10.1%	8.1%
IV Percentile	15.4%	0.0%	46.4%	1.2%	1.6%
Term Structure	0.1%	-2.4%	1.5%	0.1%	1.4%
VWIV	3.5%	1.9%	5.5%	2.3%	3.4%
Skew 25d	1.2%	0.5%	2.2%	1.3%	1.5%
Skew 10d	2.6%	0.2%	17.8%	8.1%	17.8%
Call IV 25d	2.3%	1.5%	3.0%	2.0%	1.7%
Put IV 25d	3.5%	3.0%	4.4%	3.3%	3.1%
Bid-Ask Spread %	52.14	26.22	99.67	72.24	95.41
Gamma HHI	0.42	0.37	0.49	0.39	0.48
Net GEX	-4.2M	-5.3M	-3.0M	-3.0M	-3.9M
Net DEX	12.0M	6.6M	15.8M	6.6M	13.2M
Net VEX	-42.2K	-46.5K	-33.2K	-33.2K	-45.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.55	4.36	7.11	6.57	4.77
Total Volume	643.947	549	785	681	704
Total OI	2,455.632	1,936	2,681	1,936	2,658

Daily Data (19 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
2018-09-04	$108.51	$109.00	2.2%	0.6%	1.8%	10.1%	2.3%	1.3%	0.1%	-3.0M	6.6M	-33.2K	6.57	72.24	90	591	132	1,804
2018-09-05	$108.57	$109.00	1.8%	0.5%	1.8%	0.9%	1.9%	1.3%	0.4%	-3.8M	9.0M	-43.6K	5.34	71.75	90	481	155	2,211
2018-09-06	$108.58	$108.00	1.7%	0.8%	1.8%	0.0%	3.5%	0.8%	-0.2%	-3.9M	9.3M	-43.8K	5.34	71.91	90	481	152	2,211
2018-09-07	$108.26	$108.00	2.5%	0.9%	2.1%	18.6%	3.5%	1.1%	-0.0%	-4.1M	11.5M	-43.4K	5.34	35.96	90	481	152	2,211
2018-09-10	$108.25	$108.00	3.0%	0.9%	2.0%	31.4%	3.1%	1.3%	-0.1%	-4.1M	11.4M	-42.3K	5.40	37.35	89	481	154	2,216
2018-09-11	$108.17	$108.00	2.6%	0.9%	2.0%	22.3%	3.3%	1.4%	0.2%	-4.2M	11.0M	-41.1K	4.36	28.70	107	466	154	2,216
2018-09-12	$108.18	$108.00	3.0%	0.9%	2.0%	31.3%	3.3%	1.3%	0.1%	-4.4M	11.1M	-42.2K	5.25	55.84	89	467	174	2,226
2018-09-13	$108.25	$108.00	2.9%	0.8%	1.9%	28.2%	3.1%	1.1%	0.2%	-4.3M	10.8M	-42.0K	5.17	69.01	89	460	177	2,228
2018-09-14	$108.09	$108.00	3.1%	0.9%	1.9%	33.1%	3.4%	1.3%	0.2%	-4.0M	12.1M	-42.1K	5.00	44.78	92	460	177	2,228
2018-09-17	$108.05	$108.00	2.9%	0.8%	1.9%	29.0%	3.3%	1.3%	0.4%	-4.6M	12.5M	-40.0K	5.00	49.59	92	460	181	2,228
2018-09-18	$107.88	$108.00	3.0%	0.9%	1.9%	31.1%	3.4%	1.0%	0.1%	-4.2M	12.0M	-39.8K	5.52	46.70	92	508	182	2,228
2018-09-19	$107.78	$108.00	2.9%	0.8%	1.9%	29.2%	3.5%	0.8%	0.1%	-4.6M	13.3M	-40.2K	6.26	35.06	107	670	182	2,278
2018-09-20	$107.83	$108.00	2.9%	0.8%	2.0%	28.3%	3.5%	1.6%	0.7%	-5.3M	14.3M	-45.9K	6.29	34.98	106	667	192	2,489
2018-09-21	$107.86	$108.00	2.6%	0.7%	2.0%	20.2%	2.7%	0.7%	0.4%	-5.3M	14.0M	-45.6K	6.41	33.44	106	679	193	2,468
2018-09-24	$107.78	$109.00	2.9%	0.8%	2.0%	28.0%	4.3%	1.1%	0.0%	-4.2M	15.8M	-37.4K	7.11	40.62	81	576	174	2,390
2018-09-25	$107.73	$109.00	3.5%	1.0%	2.0%	43.2%	5.3%	0.5%	-1.1%	-4.6M	12.9M	-46.5K	6.39	26.22	99	633	177	2,430
2018-09-26	$107.89	$109.00	3.4%	1.0%	2.1%	39.5%	5.5%	1.8%	-2.4%	-3.3M	13.6M	-41.8K	5.55	99.67	114	633	179	2,430
2018-09-27	$108.02	$109.00	2.7%	0.8%	2.2%	22.6%	4.5%	2.2%	1.5%	-4.0M	13.2M	-45.4K	4.45	41.54	131	583	190	2,430
2018-09-28	$108.02	$109.00	2.0%	0.6%	2.1%	8.1%	3.4%	1.5%	1.4%	-3.9M	13.2M	-45.3K	4.77	95.41	122	582	225	2,433