MUB Options History — February 2020

In February 2020, MUB traded between $115.28 and $116.94. ATM implied volatility averaged 3.2%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 1.0%. IV traded above realized volatility by 1.3% (HV 20d: 1.9%). Max pain ranged from $115.00 to $117.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.75.

Notable Days

2020-02-14: Highest Volume — 210 contracts
2020-02-28: Largest IV spike — 40.2% change
2020-02-28: Highest IV Rank — 100.0%
2020-02-28: Largest Expected Move — 1.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$115.97	$115.28	$116.94	$115.66	$116.78
Max Pain	$115.32	$115.00	$117.00	$115.00	$117.00
ATM IV	3.2%	2.1%	5.4%	3.4%	5.4%
Expected Move	1.0%	0.8%	1.6%	1.0%	1.6%
HV 20d	1.9%	1.4%	2.4%	1.4%	2.3%
HV 60d	2.0%	1.9%	2.1%	2.0%	1.9%
IV Rank	47.0%	13.7%	100.0%	52.5%	100.0%
IV Percentile	52.5%	1.6%	100.0%	64.3%	100.0%
Term Structure	0.0%	-0.9%	0.7%	-0.1%	-0.9%
VWIV	3.6%	2.6%	5.5%	2.6%	5.5%
Skew 25d	0.5%	-0.6%	1.6%	0.3%	0.6%
Skew 10d	1.0%	-0.0%	7.2%	0.4%	0.0%
Call IV 25d	2.9%	2.1%	4.5%	3.3%	4.5%
Put IV 25d	3.5%	2.2%	5.2%	3.6%	5.2%
Bid-Ask Spread %	78.83	22.17	104.61	89.82	101.14
Gamma HHI	0.33	0.28	0.42	0.28	0.29
Net GEX	123.4K	-133.7K	508.5K	269.8K	-133.7K
Net DEX	-1.2M	-2.4M	-369.0K	-1.5M	-503.6K
Net VEX	-10.0K	-12.1K	-6.0K	-9.9K	-8.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.00	8.25	0.67	0.11
Total Volume	37.316	1	210	10	31
Total OI	1,087.895	704	1,301	1,153	733

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
2020-02-03	$115.66	$115.00	3.4%	1.0%	1.4%	52.5%	0.0%	0.3%	-0.1%	269.8K	-1.5M	-9.9K	0.67	89.82	6	4	302	851
2020-02-04	$115.45	$115.00	3.0%	0.9%	1.7%	40.2%	0.0%	0.0%	0.6%	172.2K	-1.3M	-9.8K	0.00	88.13	0	15	312	849
2020-02-05	$115.30	$115.00	2.7%	0.8%	1.8%	30.5%	2.6%	0.8%	0.5%	142.6K	-1.1M	-10.1K	0.50	22.54	12	6	312	864
2020-02-06	$115.28	$115.00	2.7%	0.8%	1.8%	32.9%	0.0%	0.5%	0.0%	273.5K	-1.1M	-10.2K	0.00	60.95	0	7	321	866
2020-02-07	$115.51	$115.00	2.1%	0.9%	1.9%	13.7%	0.0%	0.8%	0.1%	-44.6K	-851.8K	-12.1K	0.14	22.17	14	2	321	859
2020-02-10	$115.56	$115.00	2.8%	0.9%	1.9%	33.8%	3.2%	0.2%	-0.1%	-28.7K	-851.8K	-10.9K	0.00	40.94	12	0	298	861
2020-02-11	$115.60	$115.00	2.4%	0.9%	1.9%	23.3%	0.0%	0.2%	-0.1%	32.2K	-910.8K	-10.6K	0.00	78.07	1	0	299	861
2020-02-12	$115.51	$115.00	3.2%	0.9%	1.9%	46.9%	0.0%	-0.1%	-0.1%	-24.2K	-775.4K	-11.1K	0.00	50.60	10	0	300	861
2020-02-13	$115.51	$115.00	3.2%	0.9%	1.9%	45.9%	0.0%	0.1%	0.1%	78.1K	-1.1M	-9.5K	0.00	86.23	1	0	310	861
2020-02-14	$115.65	$115.00	3.0%	0.9%	1.9%	41.7%	3.4%	0.5%	0.1%	64.1K	-369.0K	-10.6K	0.00	96.21	0	210	311	861
2020-02-18	$115.76	$115.00	3.3%	0.9%	1.8%	49.8%	0.0%	-0.6%	-0.2%	80.7K	-1.2M	-10.8K	8.25	89.23	4	33	321	971
2020-02-19	$115.85	$115.00	3.1%	0.9%	1.8%	43.1%	0.0%	0.9%	0.3%	185.6K	-1.3M	-11.8K	0.10	86.37	10	1	325	964
2020-02-20	$116.02	$115.00	3.4%	1.0%	1.9%	51.2%	3.9%	1.3%	-0.3%	263.4K	-1.8M	-10.4K	0.40	95.67	30	12	326	964
2020-02-21	$116.33	$115.00	3.6%	1.0%	2.0%	60.2%	3.6%	1.6%	-0.2%	303.2K	-2.0M	-9.4K	0.00	101.88	73	0	326	975
2020-02-24	$116.81	$115.00	3.1%	0.9%	2.4%	43.9%	3.1%	0.9%	0.7%	508.5K	-2.4M	-6.0K	0.48	95.04	56	27	282	473
2020-02-25	$116.94	$116.00	3.7%	1.1%	2.3%	62.4%	3.7%	-0.1%	-0.2%	49.5K	-1.7M	-10.8K	1.05	104.61	43	45	305	510
2020-02-26	$116.94	$116.00	3.4%	1.0%	2.3%	53.1%	3.4%	0.9%	-0.1%	89.1K	-1.5M	-10.5K	0.00	88.04	10	0	299	512
2020-02-27	$116.91	$117.00	3.9%	1.1%	2.3%	67.2%	3.7%	1.0%	0.1%	64.2K	-901.1K	-6.4K	0.36	100.16	25	9	192	512
2020-02-28	$116.78	$117.00	5.4%	1.6%	2.3%	100.0%	5.5%	0.6%	-0.9%	-133.7K	-503.6K	-8.7K	0.11	101.14	28	3	212	521