MAPP Options History — July 2009 In July 2009, MAPP traded between $9.75 and $12.02. ATM implied volatility averaged 76.8%. The 30-day expected move averaged 23.2%. IV traded above realized volatility by 14.6% (HV 20d: 62.2%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.94.
Notable Days 2009-07-29 : Highest Volume — 617 contracts2009-07-16 : Largest IV spike — 48.6% change2009-07-09 : Largest Expected Move — 28.3%Monthly Statistics Metric Avg Min Max Open Close Price $10.57 $9.75 $12.02 $12.02 $10.19 Max Pain $10.36 $10.00 $12.50 $10.00 $10.00 ATM IV 76.8% 52.9% 100.8% 81.7% 75.3% Expected Move 23.2% 20.9% 28.3% 23.4% 21.6% HV 20d 62.2% 54.5% 74.2% 72.6% 55.7% Term Structure 3.9% -3.1% 16.1% 3.4% 16.1% VWIV 80.3% 72.6% 98.6% 85.9% 75.0% Bid-Ask Spread % 60.50 28.51 76.75 64.08 62.41 Gamma HHI 0.39 0.31 0.57 0.47 0.51 Net GEX 2.1K -4.0K 7.5K 4.3K 7.4K Net DEX -129.3K -436.5K -17.6K -242.5K -390.3K Net VEX -907 -1.7K -650 -847 -1.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.00 10.60 0.00 0.30 Total Volume 54.455 0 617 0 1 Total OI 604.455 466 1,124 466 1,124
Daily Data (22 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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-07-01 $12.02 $10.00 81.7% 23.4% 72.6% 0.0% 0.0% 0.0% 3.4% 4.3K -242.5K -847 0.00 64.08 N/A N/A 0 0 390 76 2009-07-02 $11.86 $10.00 75.1% 21.5% 70.9% 0.0% 0.0% 0.0% 8.6% 4.4K -231.7K -821 0.00 65.38 N/A N/A 0 0 390 76 2009-07-06 $11.19 $0.00 85.0% 25.3% 73.8% 0.0% 85.9% 0.0% 3.4% 4.4K -182.9K -711 0.00 28.51 N/A N/A 12 0 390 76 2009-07-07 $10.97 $12.50 81.4% 25.3% 74.2% 0.0% 0.0% 0.0% 3.1% 3.9K -176.3K -695 0.00 32.42 N/A N/A 0 0 400 76 2009-07-08 $11.06 $12.50 82.1% 25.0% 74.1% 0.0% 0.0% 0.0% 4.4% 3.9K -181.7K -687 0.00 32.40 N/A N/A 0 0 400 76 2009-07-09 $10.97 $12.50 100.8% 28.3% 74.0% 0.0% 98.6% 0.0% -3.1% 3.8K -173.1K -683 0.00 30.47 N/A N/A 0 115 400 76 2009-07-10 $10.20 $10.00 71.6% 23.3% 66.5% 0.0% 0.0% 0.0% -0.7% 1.0K -79.5K -650 10.60 52.18 N/A N/A 20 212 400 146 2009-07-13 $10.90 $10.00 54.7% 23.1% 69.2% 0.0% 0.0% 0.0% 2.4% 481 -107.8K -923 0.00 60.39 N/A N/A 37 0 400 293 2009-07-14 $10.43 $10.00 62.4% 22.7% 59.9% 0.0% 0.0% 0.0% 2.6% 1.2K -113.9K -920 0.00 61.54 N/A N/A 0 10 437 293 2009-07-15 $10.41 $10.00 52.9% 23.0% 58.0% 0.0% 0.0% 0.0% 1.5% -1.2K -89.8K -941 1.00 62.26 N/A N/A 25 25 437 287 2009-07-16 $10.08 $10.00 78.6% 22.5% 58.6% 0.0% 0.0% 0.0% 3.6% -1.8K -27.4K -907 0.00 65.14 N/A N/A 0 0 434 275 2009-07-17 $10.13 $10.00 78.3% 22.4% 58.5% 0.0% 0.0% 0.0% 2.2% -4.0K -55.2K -906 0.00 63.89 N/A N/A 5 0 434 275 2009-07-20 $10.16 $10.00 78.6% 22.5% 57.0% 0.0% 0.0% 0.0% 3.1% 1.1K -35.4K -851 0.00 64.41 N/A N/A 5 0 307 187 2009-07-21 $10.01 $10.00 80.6% 23.1% 56.0% 0.0% 0.0% 0.0% 3.5% 1.0K -23.5K -815 0.00 75.44 N/A N/A 0 0 307 187 2009-07-22 $9.91 $10.00 80.0% 22.9% 55.8% 0.0% 0.0% 0.0% 0.8% 1.0K -21.8K -815 0.00 75.36 N/A N/A 10 0 307 187 2009-07-23 $10.01 $10.00 78.8% 22.6% 56.0% 0.0% 0.0% 0.0% 1.5% 1.1K -25.2K -819 0.00 74.17 N/A N/A 6 0 313 187 2009-07-24 $9.75 $10.00 72.9% 20.9% 56.3% 0.0% 72.6% 0.0% 8.4% 987 -17.6K -777 0.17 60.93 N/A N/A 40 7 319 187 2009-07-27 $10.39 $10.00 79.4% 22.8% 57.2% 0.0% 74.3% 0.0% 0.6% 1.4K -58.8K -886 0.00 76.75 N/A N/A 3 0 337 194 2009-07-28 $10.55 $10.00 80.4% 23.1% 55.0% 0.0% 0.0% 0.0% -0.9% 1.6K -65.1K -886 0.00 74.28 N/A N/A 35 0 340 194 2009-07-29 $10.83 $10.00 80.8% 23.2% 54.5% 0.0% 80.2% 0.0% 10.7% 2.1K -108.9K -987 0.14 71.93 N/A N/A 540 77 375 194 2009-07-30 $10.53 $10.00 79.0% 22.7% 55.0% 0.0% 75.5% 0.0% 10.9% 7.5K -436.5K -1.7K 0.30 76.62 N/A N/A 10 3 897 218 2009-07-31 $10.19 $10.00 75.3% 21.6% 55.7% 0.0% 75.0% 0.0% 16.1% 7.4K -390.3K -1.7K 0.00 62.41 N/A N/A 0 1 903 221
« Jun 2009 | All History | Aug 2009 » Home MAPP History July 2009