MUB Options History — November 2020

In November 2020, MUB traded between $115.03 and $116.90. ATM implied volatility averaged 3.6%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 1.1%. IV traded above realized volatility by 1.3% (HV 20d: 2.4%). Max pain ranged from $115.00 to $116.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 3.40.

Notable Days

  • 2020-11-25: Highest Volume — 565 contracts
  • 2020-11-04: Largest IV drop — 57.4% change
  • 2020-11-03: Highest IV Rank — 8.8%
  • 2020-11-03: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.20$115.03$116.90$115.03$116.81
Max Pain$115.70$115.00$116.00$116.00$116.00
ATM IV3.6%2.3%5.5%5.4%3.4%
Expected Move1.1%0.7%1.6%1.5%1.0%
HV 20d2.4%1.3%2.6%1.3%2.5%
HV 60d2.1%1.8%2.2%1.8%2.0%
IV Rank4.5%1.4%8.8%8.5%4.0%
IV Percentile30.4%3.6%60.3%58.3%25.8%
Term Structure0.7%-0.7%2.2%-0.3%2.0%
VWIV4.1%1.4%6.7%5.2%1.4%
Skew 25d2.1%0.1%4.5%2.6%2.9%
Skew 10d6.8%0.4%21.5%6.1%13.9%
Call IV 25d2.7%2.0%4.7%4.7%2.1%
Put IV 25d4.7%3.4%7.3%7.3%5.0%
Bid-Ask Spread %104.7657.31118.3092.45116.61
Gamma HHI0.210.130.320.260.28
Net GEX-827.8K-2.4M432.5K-2.4M-464.7K
Net DEX3.2M476.1K11.2M11.2M2.0M
Net VEX-24.0K-38.2K-16.2K-38.2K-16.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.400.0017.670.430.50
Total Volume150.753565666
Total OI7,715.452,7619,4739,0103,084

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$115.03$116.005.4%1.5%1.3%8.5%5.2%2.6%-0.3%-2.4M11.2M-38.2K0.4392.4546203,0036,007
2020-11-03$115.08$116.005.5%1.6%1.3%8.8%6.7%4.5%-0.7%-2.3M9.5M-33.3K5.0498.27452273,0036,007
2020-11-04$115.76$115.002.4%0.7%2.4%1.6%2.5%0.2%0.9%-850.6K3.7M-28.0K0.73107.88126923,0776,319
2020-11-05$115.87$116.002.3%1.0%2.4%1.4%0.0%1.9%0.6%-527.3K2.4M-30.2K1.18113.7017203,1616,258
2020-11-06$116.02$116.003.3%1.0%2.4%3.7%4.4%1.7%0.8%-399.4K1.6M-31.3K6.83116.01231573,1676,259
2020-11-09$116.02$116.003.6%1.1%2.4%4.4%5.2%3.6%0.8%-487.3K2.1M-23.2K2.29112.59801833,0626,320
2020-11-10$115.90$115.002.9%1.1%2.5%2.9%5.2%1.1%-0.1%-1.1M2.8M-23.7K0.33105.5143143,0576,361
2020-11-11$116.01$115.003.9%1.1%2.5%5.1%4.2%1.6%-0.1%-888.5K1.8M-22.6K2.0457.3125513,0606,357
2020-11-12$115.92$115.003.9%1.1%2.5%5.0%3.8%1.2%0.2%-1.3M3.6M-24.8K7.00106.145352,9766,327
2020-11-13$116.09$115.004.1%1.2%2.5%5.5%0.0%1.4%0.2%-748.2K1.9M-20.9K0.18109.741122,9806,362
2020-11-16$116.06$115.003.9%1.1%2.5%5.2%4.1%0.8%0.1%-1.1M3.6M-24.3K0.97104.46100972,9416,365
2020-11-17$116.26$116.003.6%1.0%2.6%4.5%0.0%2.8%0.2%-807.4K4.5M-22.6K0.00111.856502,7846,441
2020-11-18$116.41$116.002.7%0.8%2.5%2.3%2.1%1.3%1.5%-472.8K2.9M-18.2K0.89112.262231992,7676,441
2020-11-19$116.66$116.003.5%1.0%2.6%4.3%4.1%0.1%0.1%432.5K825.1K-20.2K17.67104.3961062,8986,501
2020-11-20$116.83$116.004.1%1.2%2.6%5.7%5.2%2.2%1.0%143.2K476.1K-23.0K8.60118.3010862,8706,603
2020-11-23$116.87$116.003.6%1.0%2.6%4.5%4.4%3.3%2.1%-637.6K1.2M-18.1K8.1096.94312516552,106
2020-11-24$116.80$116.003.7%1.1%2.6%4.7%3.6%3.2%1.8%-1.1M2.6M-21.1K1.1486.7721246282,242
2020-11-25$116.80$116.003.5%1.0%2.5%4.1%2.4%2.9%2.2%-1.2M2.6M-16.2K0.69108.763352305092,261
2020-11-27$116.90$116.003.5%1.0%2.4%4.1%5.9%1.9%1.7%-371.4K2.7M-23.6K0.00115.35036792,411
2020-11-30$116.81$116.003.4%1.0%2.5%4.0%1.4%2.9%2.0%-464.7K2.0M-16.2K0.50116.61426712,413