MUB Options History — January 2021

In January 2021, MUB traded between $116.80 and $117.65. ATM implied volatility averaged 3.1%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 0.9%. IV traded above realized volatility by 1.8% (HV 20d: 1.3%). Max pain ranged from $117.00 to $118.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 4.39.

Notable Days

2021-01-28: Highest Volume — 737 contracts
2021-01-28: Largest IV spike — 48.8% change
2021-01-05: Highest IV Rank — 7.7%
2021-01-07: Largest Expected Move — 1.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$117.19	$116.80	$117.65	$117.11	$117.58
Max Pain	$117.47	$117.00	$118.00	$118.00	$118.00
ATM IV	3.1%	2.0%	5.1%	4.6%	2.5%
Expected Move	0.9%	0.6%	1.2%	1.1%	0.7%
HV 20d	1.3%	1.0%	1.5%	1.0%	1.5%
HV 60d	1.9%	1.8%	1.9%	1.8%	1.9%
IV Rank	2.9%	0.0%	7.7%	6.7%	1.1%
IV Percentile	14.0%	0.0%	53.2%	44.0%	4.0%
Term Structure	0.3%	-0.9%	1.8%	-0.2%	0.5%
VWIV	3.1%	1.7%	4.4%	3.3%	3.0%
Skew 25d	2.4%	0.0%	22.1%	1.4%	0.0%
Skew 10d	12.8%	-0.1%	48.5%	2.7%	-0.1%
Call IV 25d	2.6%	1.6%	3.7%	3.4%	2.9%
Put IV 25d	4.9%	2.5%	25.1%	4.8%	2.9%
Bid-Ask Spread %	97.63	45.30	112.95	92.30	106.39
Gamma HHI	0.31	0.23	0.38	0.26	0.31
Net GEX	-441.2K	-1.7M	1.6M	-1.5M	88.4K
Net DEX	2.9M	-110.8K	5.3M	2.9M	519.9K
Net VEX	-22.9K	-29.5K	-14.1K	-21.8K	-19.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.39	0.00	28.00	1.00	0.04
Total Volume	132.474	24	737	80	26
Total OI	3,307.632	3,049	3,764	3,049	3,764

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
2021-01-04	$117.11	$118.00	4.6%	1.1%	1.0%	6.7%	3.3%	1.4%	-0.2%	-1.5M	2.9M	-21.8K	1.00	92.30	40	40	636	2,413
2021-01-05	$117.21	$118.00	5.1%	1.1%	1.1%	7.7%	4.3%	1.1%	-0.3%	-1.5M	2.7M	-22.7K	4.83	92.86	23	111	676	2,435
2021-01-06	$117.13	$118.00	4.1%	1.2%	1.0%	5.5%	4.0%	1.5%	-0.2%	-1.3M	3.3M	-23.9K	9.67	99.95	3	29	696	2,546
2021-01-07	$117.09	$118.00	3.5%	1.2%	1.0%	4.3%	4.1%	1.2%	-0.4%	-1.4M	3.3M	-24.9K	8.20	96.36	5	41	697	2,574
2021-01-08	$116.90	$118.00	2.3%	1.1%	1.1%	1.5%	4.4%	1.1%	-0.2%	-1.5M	4.6M	-26.4K	28.00	100.19	1	28	697	2,601
2021-01-11	$116.80	$118.00	2.7%	1.0%	1.2%	2.3%	3.5%	1.6%	-0.0%	-1.7M	5.3M	-24.4K	0.00	100.20	44	0	697	2,621
2021-01-12	$117.01	$118.00	3.6%	1.0%	1.3%	4.4%	3.5%	0.7%	-0.1%	72.5K	3.7M	-23.2K	0.32	102.76	60	19	737	2,621
2021-01-13	$117.10	$118.00	3.3%	0.9%	1.3%	3.7%	3.3%	1.5%	0.2%	125.6K	2.7M	-23.8K	0.13	104.20	400	53	790	2,628
2021-01-14	$117.01	$117.00	3.0%	0.9%	1.4%	3.2%	3.1%	1.6%	0.7%	-739.9K	2.6M	-22.3K	3.33	96.08	12	40	853	2,635
2021-01-15	$117.09	$117.00	3.0%	0.9%	1.4%	3.0%	3.0%	1.3%	0.4%	1.6M	3.4M	-29.5K	0.09	103.25	45	4	858	2,674
2021-01-19	$117.15	$117.00	2.8%	0.8%	1.3%	2.7%	2.8%	1.8%	0.7%	-680.5K	3.7M	-23.6K	3.63	73.92	8	29	662	2,484
2021-01-20	$117.15	$117.00	2.7%	0.8%	1.3%	2.4%	3.0%	1.9%	0.6%	-366.8K	3.3M	-21.5K	0.00	102.66	0	122	670	2,497
2021-01-21	$117.10	$117.00	2.5%	0.7%	1.4%	1.9%	1.7%	1.0%	0.6%	-1.1M	3.4M	-23.8K	0.16	45.30	31	5	670	2,517
2021-01-22	$117.12	$117.00	2.1%	0.6%	1.3%	0.0%	2.3%	2.3%	1.2%	-347.4K	3.5M	-21.1K	12.50	102.55	2	25	690	2,530
2021-01-25	$117.31	$117.00	2.4%	0.7%	1.4%	0.7%	2.2%	0.7%	1.0%	656.2K	3.1M	-25.0K	0.20	104.99	20	4	691	2,551
2021-01-26	$117.51	$117.00	3.1%	0.9%	1.4%	2.3%	2.6%	0.4%	-0.9%	889.6K	1.6M	-20.7K	0.20	106.72	125	25	691	2,551
2021-01-27	$117.58	$117.00	2.0%	0.6%	1.5%	0.0%	2.6%	1.5%	1.8%	969.4K	-110.8K	-14.1K	6.20	111.42	50	310	690	2,571
2021-01-28	$117.65	$117.00	3.0%	0.9%	1.5%	2.3%	2.5%	22.1%	0.1%	-580.9K	2.4M	-23.7K	0.45	112.95	510	227	650	2,881
2021-01-29	$117.58	$118.00	2.5%	0.7%	1.5%	1.1%	3.0%	0.0%	0.5%	88.4K	519.9K	-19.0K	0.04	106.39	25	1	807	2,957