MUB Options History — January 2020

In January 2020, MUB traded between $114.06 and $115.80. ATM implied volatility averaged 2.5%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 0.7%. IV traded above realized volatility by 0.9% (HV 20d: 1.6%). Max pain ranged from $114.00 to $115.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.43.

Notable Days

2020-01-07: Highest Volume — 123 contracts
2020-01-29: Largest IV spike — 37.8% change
2020-01-31: Highest IV Rank — 52.2%
2020-01-31: Largest Expected Move — 1.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$115.03	$114.06	$115.80	$114.06	$115.80
Max Pain	$114.43	$114.00	$115.00	$114.00	$115.00
ATM IV	2.5%	1.7%	3.4%	2.2%	3.4%
Expected Move	0.7%	0.5%	1.0%	0.6%	1.0%
HV 20d	1.6%	1.4%	1.9%	1.5%	1.6%
HV 60d	2.2%	2.0%	2.3%	2.3%	2.0%
IV Rank	25.2%	0.0%	52.2%	13.5%	52.2%
IV Percentile	16.7%	0.0%	63.5%	1.2%	63.5%
Term Structure	0.5%	-0.2%	1.5%	0.5%	-0.2%
VWIV	2.7%	1.4%	4.0%	1.4%	3.1%
Skew 25d	1.3%	-0.0%	5.7%	1.5%	0.6%
Skew 10d	2.9%	-1.1%	10.6%	1.6%	0.8%
Call IV 25d	2.3%	1.6%	3.2%	2.5%	3.2%
Put IV 25d	3.5%	2.1%	7.8%	4.0%	3.7%
Bid-Ask Spread %	83.59	39.83	125.44	106.72	106.81
Gamma HHI	0.43	0.26	0.60	0.47	0.50
Net GEX	-281.6K	-1.3M	595.3K	-1.3M	456.4K
Net DEX	-652.9K	-1.7M	785.7K	342.3K	-1.6M
Net VEX	-8.3K	-12.2K	-5.6K	-10.0K	-7.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.43	0.00	19.50	10.00	0.00
Total Volume	20.762	0	123	0	50
Total OI	1,042.286	951	1,118	952	1,118

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
2020-01-02	$114.06	$114.00	2.2%	0.6%	1.5%	13.5%	0.0%	1.5%	0.5%	-1.3M	342.3K	-10.0K	0.00	106.72	0	0	208	744
2020-01-03	$114.44	$114.00	2.7%	0.8%	1.9%	30.2%	0.0%	0.5%	-0.0%	-818.0K	-402.5K	-7.3K	10.00	125.44	1	10	208	744
2020-01-06	$114.53	$114.00	2.4%	0.5%	1.9%	21.5%	1.4%	1.2%	1.5%	-946.5K	-370.2K	-8.5K	0.43	92.44	7	3	207	744
2020-01-07	$114.59	$114.00	3.1%	0.7%	1.8%	43.4%	4.0%	1.3%	1.1%	-654.4K	-180.7K	-9.0K	19.50	110.98	6	117	213	744
2020-01-08	$114.62	$114.00	2.4%	0.8%	1.8%	21.2%	3.2%	0.5%	0.2%	-1.1M	-154.5K	-11.1K	1.38	91.90	13	18	219	849
2020-01-09	$114.73	$114.00	2.5%	0.8%	1.8%	22.8%	2.9%	0.8%	0.1%	-972.2K	-296.4K	-9.5K	0.00	50.81	4	0	229	863
2020-01-10	$114.73	$114.00	2.4%	0.5%	1.8%	21.8%	0.0%	0.9%	0.9%	64.4K	-456.3K	-9.5K	1.50	103.25	2	3	231	863
2020-01-13	$114.76	$114.00	2.7%	0.7%	1.6%	30.2%	0.0%	0.4%	0.4%	-742.4K	-755.8K	-8.1K	0.00	59.81	0	1	233	865
2020-01-14	$114.84	$114.00	2.9%	0.6%	1.6%	36.6%	0.0%	0.5%	0.5%	37.9K	-927.3K	-7.4K	1.33	55.10	3	4	233	866
2020-01-15	$114.99	$114.00	2.6%	0.7%	1.6%	27.0%	2.6%	-0.0%	0.3%	117.9K	-1.1M	-6.8K	1.67	111.37	9	15	233	870
2020-01-16	$115.05	$114.00	2.5%	0.7%	1.6%	23.0%	2.5%	5.7%	0.4%	-106.2K	-1.2M	-6.7K	5.50	67.15	2	11	226	877
2020-01-17	$114.94	$114.00	2.4%	0.7%	1.6%	20.3%	2.1%	0.1%	0.4%	-299.5K	-1.2M	-5.6K	1.00	97.60	10	10	227	888
2020-01-21	$115.09	$115.00	1.7%	0.5%	1.5%	0.0%	0.0%	2.5%	1.0%	-567.8K	785.7K	-10.4K	0.00	62.83	7	0	165	805
2020-01-22	$115.12	$115.00	1.7%	0.5%	1.4%	0.0%	0.0%	0.5%	0.8%	-700.2K	748.8K	-12.2K	0.00	40.56	6	0	172	805
2020-01-23	$115.28	$115.00	2.2%	0.6%	1.4%	16.2%	0.0%	4.9%	0.4%	199	-563.3K	-8.0K	0.00	85.54	0	4	178	805
2020-01-24	$115.44	$115.00	2.3%	0.6%	1.4%	18.7%	0.0%	0.7%	0.7%	-33.8K	-729.9K	-7.8K	0.00	39.83	10	0	178	809
2020-01-27	$115.63	$115.00	2.4%	0.7%	1.5%	21.2%	2.3%	0.5%	0.7%	274.9K	-947.4K	-6.6K	0.05	96.71	58	3	194	809
2020-01-28	$115.56	$115.00	2.3%	0.6%	1.6%	18.1%	3.1%	1.5%	0.9%	595.3K	-1.5M	-7.1K	0.89	89.40	9	8	258	812
2020-01-29	$115.80	$115.00	3.1%	0.9%	1.6%	43.9%	0.0%	1.7%	0.9%	301.4K	-1.7M	-7.4K	15.00	56.83	2	30	267	811
2020-01-30	$115.70	$115.00	3.2%	0.9%	1.6%	48.0%	0.0%	0.1%	-0.2%	440.8K	-1.4M	-8.3K	0.00	104.33	0	0	267	851
2020-01-31	$115.80	$115.00	3.4%	1.0%	1.6%	52.2%	0.0%	0.6%	-0.2%	456.4K	-1.6M	-7.9K	0.00	106.81	50	0	267	851