MUB Options History — December 2019

In December 2019, MUB traded between $113.63 and $114.17. ATM implied volatility averaged 2.9%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 0.8%. IV traded above realized volatility by 0.6% (HV 20d: 2.4%). Max pain ranged from $114.00 to $115.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 3.32.

Notable Days

2019-12-18: Highest Volume — 153 contracts
2019-12-20: Largest IV spike — 31.8% change
2019-12-09: Highest IV Rank — 68.0%
2019-12-03: Largest Expected Move — 1.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$113.96	$113.63	$114.17	$113.63	$113.92
Max Pain	$114.29	$114.00	$115.00	$114.00	$114.00
ATM IV	2.9%	2.1%	3.9%	3.6%	2.3%
Expected Move	0.8%	0.6%	1.1%	1.0%	0.7%
HV 20d	2.4%	1.8%	2.6%	2.4%	1.8%
HV 60d	2.5%	2.3%	2.7%	2.7%	2.3%
IV Rank	37.7%	12.8%	68.0%	59.4%	17.2%
IV Percentile	30.4%	0.8%	84.9%	70.6%	3.2%
Term Structure	0.0%	-0.7%	0.7%	-0.7%	0.3%
VWIV	3.3%	2.7%	4.1%	3.6%	4.1%
Skew 25d	1.4%	-0.2%	7.1%	0.4%	0.9%
Skew 10d	2.2%	-0.3%	11.1%	0.6%	1.7%
Call IV 25d	2.5%	2.1%	3.2%	3.2%	2.5%
Put IV 25d	3.9%	2.3%	9.2%	3.6%	3.4%
Bid-Ask Spread %	100.22	25.43	127.66	110.29	94.42
Gamma HHI	0.51	0.43	0.60	0.57	0.43
Net GEX	-1.3M	-1.8M	-848.9K	-1.6M	-1.0M
Net DEX	1.1M	576.3K	1.8M	1.8M	869.3K
Net VEX	-8.1K	-11.0K	-5.7K	-9.8K	-10.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.32	0.00	20.00	20.00	1.00
Total Volume	34.095	0	153	105	108
Total OI	725.81	669	844	724	844

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
2019-12-02	$113.63	$114.00	3.6%	1.0%	2.4%	59.4%	3.6%	0.4%	-0.7%	-1.6M	1.8M	-9.8K	20.00	110.29	5	100	77	647
2019-12-03	$113.99	$114.00	3.8%	1.1%	2.6%	63.4%	0.0%	0.0%	-0.6%	-1.5M	945.2K	-7.2K	12.25	94.58	4	49	72	598
2019-12-04	$113.92	$114.00	3.5%	1.0%	2.6%	54.5%	0.0%	-0.1%	-0.6%	-1.5M	959.4K	-7.2K	0.00	99.86	0	0	75	594
2019-12-05	$113.97	$115.00	3.6%	0.8%	2.6%	56.9%	0.0%	0.9%	0.2%	-1.2M	969.6K	-7.3K	0.00	115.61	0	15	75	594
2019-12-06	$113.88	$115.00	3.4%	0.9%	2.3%	51.4%	3.2%	0.8%	0.1%	-1.4M	1.3M	-7.9K	0.00	110.71	0	14	75	604
2019-12-09	$113.99	$115.00	3.9%	0.9%	2.3%	68.0%	0.0%	1.1%	-0.1%	-1.2M	1.1M	-7.6K	0.00	111.71	0	2	72	608
2019-12-10	$113.99	$115.00	3.0%	0.9%	2.3%	40.6%	0.0%	0.9%	-0.1%	-1.0M	999.1K	-6.8K	0.50	112.02	6	3	72	608
2019-12-11	$114.17	$115.00	2.9%	0.8%	2.3%	36.5%	0.0%	0.5%	0.5%	-1.4M	1.2M	-7.3K	0.00	127.29	3	0	73	609
2019-12-12	$113.98	$115.00	3.3%	0.9%	2.4%	47.1%	3.3%	0.9%	-0.2%	-1.0M	925.2K	-6.6K	3.90	119.75	10	39	76	609
2019-12-13	$114.15	$114.00	2.8%	0.8%	2.4%	32.7%	0.0%	5.8%	0.2%	-848.9K	732.1K	-6.7K	0.00	121.93	2	0	86	601
2019-12-16	$114.06	$114.00	2.5%	0.7%	2.4%	23.9%	0.0%	7.1%	0.2%	-1.4M	881.4K	-6.2K	0.00	121.23	7	0	86	601
2019-12-17	$114.12	$114.00	2.4%	0.7%	2.4%	20.9%	0.0%	6.2%	0.3%	-1.2M	987.0K	-5.9K	0.00	127.66	0	0	79	601
2019-12-18	$114.06	$114.00	2.5%	0.7%	2.4%	24.3%	0.0%	1.1%	0.2%	-1.4M	891.2K	-5.7K	0.00	126.27	0	153	79	601
2019-12-19	$113.91	$114.00	2.1%	0.6%	2.3%	12.8%	0.0%	1.4%	0.4%	-1.8M	1.5M	-9.1K	0.00	79.05	0	0	62	754
2019-12-20	$113.81	$114.00	2.8%	0.8%	2.3%	33.8%	2.8%	0.0%	-0.0%	-1.7M	1.7M	-9.2K	0.59	82.44	17	10	62	754
2019-12-23	$113.81	$114.00	2.6%	0.8%	2.3%	28.7%	2.7%	0.0%	0.1%	-1.3M	1.5M	-9.5K	0.00	25.43	25	0	70	606
2019-12-24	$113.88	$114.00	2.7%	0.8%	2.3%	31.5%	4.1%	1.2%	-0.1%	-1.1M	1.2M	-9.5K	1.56	50.54	54	84	95	606
2019-12-26	$113.94	$114.00	2.7%	0.8%	2.3%	31.1%	0.0%	-0.2%	0.2%	-1.3M	1.1M	-10.8K	0.00	115.06	0	1	149	690
2019-12-27	$114.01	$114.00	2.3%	0.7%	2.3%	19.1%	0.0%	0.5%	0.7%	-1.0M	821.3K	-11.0K	0.00	50.81	0	0	149	690
2019-12-30	$114.02	$114.00	3.0%	0.8%	2.3%	38.2%	0.0%	0.2%	-0.1%	-1.1M	576.3K	-8.6K	0.00	107.98	5	0	149	690
2019-12-31	$113.92	$114.00	2.3%	0.7%	1.8%	17.2%	0.0%	0.9%	0.3%	-1.0M	869.3K	-10.4K	1.00	94.42	54	54	154	690