MUB Options History — September 2020

In September 2020, MUB traded between $115.65 and $116.12. ATM implied volatility averaged 5.6%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 3.5% (HV 20d: 2.1%). Max pain ranged from $116.00 to $117.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 12.21.

Notable Days

  • 2020-09-04: Highest Volume — 772 contracts
  • 2020-09-03: Largest IV spike — 31.3% change
  • 2020-09-09: Highest IV Rank — 13.2%
  • 2020-09-08: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.89$115.65$116.12$115.77$115.92
Max Pain$116.57$116.00$117.00$116.00$116.00
ATM IV5.6%4.7%7.5%5.1%4.7%
Expected Move1.7%1.3%2.3%1.5%1.3%
HV 20d2.1%1.7%2.3%2.3%1.7%
HV 60d1.9%1.8%2.0%2.0%1.9%
IV Rank9.0%6.8%13.2%7.8%6.8%
IV Percentile60.6%48.4%75.0%59.5%48.4%
Term Structure0.8%-0.2%1.7%1.3%1.0%
VWIV6.5%4.5%9.1%5.2%6.1%
Skew 25d2.0%1.2%3.2%2.7%2.1%
Skew 10d6.5%3.6%13.7%13.7%13.7%
Call IV 25d5.2%3.5%7.3%3.6%3.9%
Put IV 25d7.2%5.8%10.5%6.3%6.0%
Bid-Ask Spread %101.1075.99126.82111.57126.82
Gamma HHI0.320.180.450.240.42
Net GEX-4.2M-6.9M-1.8M-3.2M-5.0M
Net DEX9.6M6.8M12.6M10.2M9.8M
Net VEX-61.2K-81.2K-46.7K-65.0K-48.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.210.00105.003.803.65
Total Volume155.143157727218
Total OI9,847.8579,14410,5499,19410,365

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$115.77$116.005.1%1.5%2.3%7.8%5.2%2.7%1.3%-3.2M10.2M-65.0K3.80111.5715572,9596,235
2020-09-02$115.81$116.005.0%1.4%2.3%7.6%0.0%1.8%1.3%-2.8M9.7M-66.4K0.00108.352202,9736,192
2020-09-03$116.01$117.006.5%2.1%2.2%11.1%7.5%2.1%-0.2%-2.0M8.6M-75.4K1.6394.30641043,0076,192
2020-09-04$115.84$117.005.6%2.0%2.3%9.0%8.4%2.6%-0.0%-1.8M8.4M-67.4K29.8896.47257473,0426,102
2020-09-08$115.81$117.006.1%2.3%2.2%10.2%9.1%3.2%-0.2%-3.2M12.6M-81.2K3.6087.365183,0406,828
2020-09-09$115.92$117.007.5%2.1%2.3%13.2%7.4%2.1%0.5%-3.7M10.5M-76.5K2.1388.1223493,0446,838
2020-09-10$115.80$117.007.4%2.1%2.3%13.1%6.8%2.4%0.2%-3.6M11.3M-77.1K0.0095.502103,0616,860
2020-09-11$115.89$117.006.8%2.0%2.3%11.7%7.4%2.1%0.3%-3.6M10.2M-67.9K5.4796.0415823,0696,862
2020-09-14$115.90$117.006.2%1.8%2.3%10.3%9.1%2.3%1.0%-3.8M10.1M-62.7K105.0079.8422103,0726,931
2020-09-15$115.95$117.006.4%1.8%2.3%10.7%0.0%1.4%0.5%-3.7M8.8M-58.1K0.0083.600153,0806,961
2020-09-16$115.87$117.005.5%1.6%2.3%8.7%5.7%1.3%1.0%-4.4M9.7M-60.8K3.15111.3526823,0756,971
2020-09-17$115.94$117.005.7%1.6%2.2%9.1%6.3%1.3%1.0%-4.1M7.9M-51.4K13.28103.84253323,0847,020
2020-09-18$115.94$117.004.8%1.4%2.0%7.1%5.1%1.7%1.7%-2.7M8.5M-54.7K1.00112.0591913,2887,261
2020-09-21$115.92$117.004.8%1.4%2.0%7.2%5.3%1.3%1.1%-5.6M8.7M-47.9K1.86106.32581082,6696,826
2020-09-22$115.94$116.004.7%1.3%1.9%6.8%6.7%2.2%1.1%-6.2M7.6M-51.2K47.3375.9931422,7106,913
2020-09-23$115.74$116.004.9%1.4%1.9%7.4%5.7%2.5%1.0%-6.8M12.2M-61.6K3.2287.89501612,7137,055
2020-09-24$115.65$116.005.2%1.5%1.9%8.1%6.6%1.3%0.7%-6.9M11.1M-55.9K4.35113.32231002,7627,210
2020-09-25$115.87$116.005.2%1.5%1.7%8.0%5.2%2.5%0.7%-5.7M11.0M-60.7K2.43107.4121512,7857,310
2020-09-28$116.08$116.004.8%1.4%1.7%7.1%4.6%1.2%1.0%-4.8M8.0M-48.5K0.14115.39226322,8067,311
2020-09-29$116.12$116.004.9%1.4%1.7%7.3%4.5%2.2%0.9%-4.8M6.8M-46.7K3.65121.58311132,9817,342
2020-09-30$115.92$116.004.7%1.3%1.7%6.8%6.1%2.1%1.0%-5.0M9.8M-48.7K0.00126.820182,9527,413