MUB Options History — September 2019

In September 2019, MUB traded between $113.23 and $115.06. ATM implied volatility averaged 3.2%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 0.9%. IV traded above realized volatility by 0.4% (HV 20d: 2.8%). Max pain ranged from $114.00 to $115.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 15.78.

Notable Days

2019-09-13: Highest Volume — 253 contracts
2019-09-10: Largest IV spike — 45.5% change
2019-09-13: Highest IV Rank — 60.5%
2019-09-13: Largest Expected Move — 1.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$114.08	$113.23	$115.06	$115.01	$114.12
Max Pain	$114.10	$114.00	$115.00	$115.00	$114.00
ATM IV	3.2%	2.4%	4.4%	3.1%	2.9%
Expected Move	0.9%	0.7%	1.2%	0.9%	0.8%
HV 20d	2.8%	2.4%	3.0%	2.7%	3.0%
HV 60d	2.3%	2.0%	2.5%	2.0%	2.5%
IV Rank	32.8%	9.9%	60.5%	34.9%	23.8%
IV Percentile	35.3%	3.6%	89.3%	31.0%	17.1%
Term Structure	0.2%	-0.5%	1.3%	0.2%	1.3%
VWIV	4.1%	2.3%	6.9%	3.1%	3.7%
Skew 25d	1.6%	0.1%	7.9%	0.3%	1.0%
Skew 10d	2.8%	0.2%	12.2%	0.5%	0.8%
Call IV 25d	2.8%	2.1%	3.6%	2.7%	2.3%
Put IV 25d	4.4%	2.8%	10.6%	3.0%	3.3%
Bid-Ask Spread %	107.28	84.76	130.56	104.03	130.56
Gamma HHI	0.42	0.29	0.54	0.29	0.50
Net GEX	-1.7M	-3.2M	-694.4K	-694.4K	-2.4M
Net DEX	2.0M	647.8K	4.3M	711.9K	2.2M
Net VEX	-10.6K	-15.1K	-6.7K	-6.9K	-13.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	15.78	0.10	125.50	2.67	2.00
Total Volume	36.7	0	253	44	7
Total OI	876.85	636	1,111	636	1,101

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
2019-09-03	$115.01	$115.00	3.1%	0.9%	2.7%	34.9%	3.1%	0.3%	0.2%	-694.4K	711.9K	-6.9K	2.67	104.03	12	32	57	579
2019-09-04	$115.06	$115.00	2.6%	0.7%	2.7%	20.8%	0.0%	0.4%	1.0%	-716.3K	647.8K	-6.9K	0.00	111.64	0	15	67	611
2019-09-05	$114.70	$114.00	3.4%	0.9%	2.9%	39.7%	0.0%	1.3%	-0.1%	-821.4K	988.0K	-7.5K	2.14	86.95	7	15	67	616
2019-09-06	$114.70	$114.00	2.6%	0.9%	2.8%	22.5%	6.9%	1.4%	0.1%	-750.7K	935.6K	-7.7K	0.17	98.76	12	2	71	615
2019-09-09	$114.37	$114.00	2.4%	1.0%	3.0%	9.9%	6.6%	1.7%	0.2%	-953.5K	1.6M	-7.5K	0.14	88.07	14	2	51	616
2019-09-10	$114.12	$114.00	3.5%	1.0%	2.8%	38.6%	0.0%	1.5%	-0.1%	-1.0M	1.6M	-6.7K	0.00	100.13	0	11	57	617
2019-09-11	$113.83	$114.00	3.4%	1.0%	2.9%	34.9%	0.0%	1.2%	0.1%	-1.2M	2.2M	-9.1K	0.70	84.76	10	7	57	617
2019-09-12	$113.76	$114.00	3.3%	0.9%	2.4%	33.1%	0.0%	1.2%	0.3%	-1.1M	2.3M	-8.8K	0.00	114.37	0	7	57	619
2019-09-13	$113.38	$114.00	4.4%	1.2%	2.5%	60.5%	4.5%	0.9%	-0.5%	-1.0M	2.6M	-8.3K	125.50	94.37	2	251	57	624
2019-09-16	$113.23	$114.00	4.2%	1.2%	2.5%	56.7%	4.2%	0.9%	-0.4%	-1.7M	4.3M	-13.6K	0.10	113.47	52	5	56	869
2019-09-17	$113.28	$114.00	3.7%	1.1%	2.5%	43.2%	0.0%	0.8%	-0.0%	-1.8M	4.1M	-15.1K	0.00	101.90	0	21	105	893
2019-09-18	$113.56	$114.00	3.1%	0.9%	2.7%	28.3%	3.4%	0.1%	-0.1%	-2.5M	2.8M	-11.5K	0.56	129.46	16	9	105	892
2019-09-19	$113.80	$114.00	3.1%	0.9%	2.9%	27.8%	3.1%	1.3%	0.4%	-2.4M	2.2M	-10.6K	0.38	117.70	8	3	121	885
2019-09-20	$113.99	$114.00	3.3%	0.9%	3.0%	32.3%	3.3%	1.2%	0.2%	-3.2M	1.6M	-9.1K	50.00	113.42	2	100	124	886
2019-09-23	$114.12	$114.00	3.5%	1.0%	2.9%	37.4%	4.1%	1.6%	-0.0%	-2.3M	1.7M	-13.5K	5.00	117.35	10	50	109	945
2019-09-24	$114.33	$114.00	2.8%	0.8%	3.0%	20.3%	2.3%	5.8%	0.8%	-2.1M	1.3M	-12.3K	2.00	119.67	15	30	113	955
2019-09-25	$114.06	$114.00	3.4%	1.0%	3.0%	35.7%	3.7%	1.0%	-0.0%	-2.4M	2.2M	-14.5K	0.00	96.70	0	4	119	985
2019-09-26	$114.08	$114.00	3.0%	0.9%	3.0%	26.4%	0.0%	7.9%	0.3%	-2.2M	2.2M	-14.3K	0.00	114.90	0	3	119	989
2019-09-27	$114.06	$114.00	3.1%	0.9%	3.0%	28.5%	0.0%	0.8%	0.1%	-2.3M	2.3M	-14.0K	0.00	107.44	0	0	119	992
2019-09-30	$114.12	$114.00	2.9%	0.8%	3.0%	23.8%	0.0%	1.0%	1.3%	-2.4M	2.2M	-13.2K	0.00	130.56	0	7	109	992