MUB Options History — March 2020

In March 2020, MUB traded between $100.56 and $117.83. ATM implied volatility averaged 22.0%, placing in the 82.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.0% (HV 20d: 21.1%). Max pain ranged from $116.00 to $117.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 16.77.

Notable Days

  • 2020-03-13: Highest Volume — 2,599 contracts
  • 2020-03-09: Largest IV spike — 111.3% change
  • 2020-03-02: Highest IV Rank — 100.0%
  • 2020-03-19: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.66$100.56$117.83$116.69$113.37
Max Pain$116.32$116.00$117.00$117.00$116.00
ATM IV22.0%5.7%45.8%6.4%26.0%
Expected Move6.2%1.6%13.1%1.8%7.5%
HV 20d21.1%2.0%40.7%2.3%40.7%
HV 60d12.4%1.8%23.2%1.9%23.2%
IV Rank82.2%51.6%100.0%100.0%55.1%
IV Percentile99.0%96.4%100.0%100.0%96.8%
Term Structure-3.2%-13.3%1.2%-1.2%-4.3%
VWIV23.4%5.6%47.5%6.3%27.4%
Skew 25d8.0%-0.9%26.9%-0.2%7.8%
Skew 10d16.5%-1.0%54.5%0.5%19.6%
Call IV 25d18.3%4.9%33.8%6.7%22.2%
Put IV 25d26.2%4.4%58.7%6.5%29.9%
Bid-Ask Spread %94.9570.03127.70108.1277.44
Gamma HHI0.450.140.910.270.27
Net GEX-2.1M-6.6M-114.4K-114.4K-1.3M
Net DEX18.7M-527.6K38.7M-527.6K11.1M
Net VEX-51.8K-86.7K-9.6K-9.6K-75.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio16.770.00199.88199.8812.85
Total Volume666.409162,5991,607831
Total OI4,699.3187557,0727557,072

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$116.69$117.006.4%1.8%2.3%100.0%6.3%-0.2%-1.2%-114.4K-527.6K-9.6K199.88108.1281,599231524
2020-03-03$116.76$117.006.1%1.7%2.2%92.7%6.1%0.6%-0.6%-4.4M6.3M-31.8K117.50101.5067052392,123
2020-03-04$116.74$117.005.7%1.6%2.1%85.5%0.0%0.6%-0.5%-6.6M9.2M-40.4K0.00104.571602392,822
2020-03-05$116.74$117.005.9%1.6%2.0%89.1%5.6%0.4%-0.4%-6.1M9.4M-42.0K1.67101.206102492,822
2020-03-06$116.84$117.006.9%1.6%2.0%100.0%5.9%-0.5%-0.8%-5.3M8.8M-41.1K1.92110.8050962502,822
2020-03-09$117.83$117.0014.6%3.5%3.4%100.0%13.3%-0.9%1.2%-2.7M9.1M-47.3K4.67100.62642992912,916
2020-03-10$116.24$117.0018.1%3.4%6.2%100.0%12.5%1.0%-2.0%-3.2M14.4M-52.5K1.10108.321051153253,187
2020-03-11$114.52$116.0011.1%3.2%8.2%57.4%10.3%2.9%-1.4%-2.4M18.9M-53.8K1.0292.413583664563,216
2020-03-12$109.14$116.0018.5%5.3%18.8%100.0%18.2%2.1%0.8%-1.1M27.5M-40.5K0.97127.703293207193,278
2020-03-13$110.65$116.0019.5%5.6%19.7%100.0%17.7%7.1%-2.7%-1.1M24.5M-50.3K12.61119.431912,4081,0103,306
2020-03-16$109.97$116.0031.7%9.1%19.7%100.0%30.9%13.7%-5.3%-2.0M38.7M-73.5K3.08113.41892749825,328
2020-03-17$110.15$116.0024.8%7.1%19.7%77.0%37.4%12.5%-3.2%-1.3M28.4M-49.2K1.1088.822903201,0043,839
2020-03-18$103.28$116.0032.5%9.3%29.5%100.0%47.5%20.4%0.8%-803.3K34.5M-33.0K1.9893.981983931,3043,991
2020-03-19$100.56$116.0045.8%13.1%30.2%100.0%45.9%26.9%-11.5%-666.8K34.3M-38.8K1.8085.811232221,5564,272
2020-03-20$102.40$116.0042.8%12.3%31.4%93.2%34.9%14.1%-13.3%-704.1K33.4M-44.9K0.3793.367612831,7204,410
2020-03-23$104.40$116.0030.0%8.6%32.5%64.2%27.3%14.5%-5.4%-904.4K30.5M-43.8K2.8589.921654701,0274,265
2020-03-24$106.35$116.0032.6%9.3%33.5%70.0%32.8%16.3%-5.7%-967.1K27.6M-55.2K0.9280.491621491,1214,444
2020-03-25$111.08$116.0028.3%8.1%37.7%60.4%27.9%9.8%-3.4%-1.3M19.7M-70.1K0.1170.091,1101211,2614,528
2020-03-26$115.34$116.0028.0%8.0%40.3%59.6%29.0%8.7%-4.2%-1.0M4.5M-86.7K0.3070.036461932,0824,606
2020-03-27$113.54$116.0024.4%7.0%40.6%51.6%26.9%10.0%-2.5%-1.3M10.6M-84.3K2.0474.851723511,9664,735
2020-03-30$113.97$116.0025.1%7.2%40.7%53.0%27.7%8.1%-4.2%-1.4M10.3M-75.0K0.1976.01241461,8175,030
2020-03-31$113.37$116.0026.0%7.5%40.7%55.1%27.4%7.8%-4.3%-1.3M11.1M-75.7K12.8577.44607712,0085,064