MAPP Options History — August 2009

In August 2009, MAPP traded between $8.84 and $10.10. ATM implied volatility averaged 84.3%. The 30-day expected move averaged 25.1%. IV traded above realized volatility by 40.1% (HV 20d: 44.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.31.

Notable Days

  • 2009-08-20: Highest Volume — 282 contracts
  • 2009-08-13: Largest IV spike — 23.0% change
  • 2009-08-21: Largest Expected Move — 30.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.50$8.84$10.10$10.06$8.84
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV84.3%69.2%105.9%76.7%92.3%
Expected Move25.1%20.3%30.4%22.0%26.5%
HV 20d44.1%37.9%55.8%52.5%39.5%
HV 60d58.2%56.0%61.4%61.4%56.3%
Term Structure0.8%-18.5%17.0%12.5%-6.2%
VWIV84.6%58.0%105.7%76.7%93.5%
Bid-Ask Spread %57.0938.4081.9051.1770.95
Gamma HHI0.670.480.810.540.81
Net GEX9.0K6.0K11.1K7.7K9.9K
Net DEX-240.3K-375.1K-54.6K-357.6K-154.7K
Net VEX-1.4K-1.6K-1.1K-1.6K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.002.500.000.25
Total Volume54.429028222100
Total OI1,295.9051,1251,5491,1251,334

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$10.06$10.0076.7%22.0%52.5%0.0%76.7%0.0%12.5%7.7K-357.6K-1.6K0.0051.17N/AN/A220903222
2009-08-04$9.80$10.0077.8%22.3%52.8%0.0%0.0%0.0%11.5%8.1K-326.9K-1.6K0.0072.24N/AN/A00923222
2009-08-05$10.10$10.0072.1%20.7%54.1%0.0%72.1%0.0%17.0%8.4K-375.1K-1.6K2.5054.08N/AN/A40100923222
2009-08-06$9.68$10.0070.9%20.3%55.8%0.0%70.9%0.0%16.6%6.0K-240.7K-1.6K0.0055.36N/AN/A1880903305
2009-08-07$9.70$10.0069.2%24.7%49.9%0.0%82.4%0.0%-1.1%9.0K-301.3K-1.6K0.0045.33N/AN/A701,015305
2009-08-10$9.70$10.0070.1%25.0%42.9%0.0%0.0%0.0%-2.0%9.3K-294.7K-1.6K0.0038.40N/AN/A001,022305
2009-08-11$9.65$10.0070.3%24.7%40.4%0.0%86.5%0.0%-2.5%9.3K-277.1K-1.5K0.0042.57N/AN/A201,022305
2009-08-12$9.70$10.0070.4%25.1%40.5%0.0%0.0%0.0%-2.9%9.6K-289.7K-1.5K0.0040.45N/AN/A001,024305
2009-08-13$9.70$10.0086.6%24.8%39.1%0.0%0.0%0.0%-0.7%9.8K-285.0K-1.5K0.0057.98N/AN/A001,024305
2009-08-14$9.68$10.0087.8%25.2%39.0%0.0%88.9%0.0%-3.3%9.5K-257.6K-1.4K1.0039.80N/AN/A1010999305
2009-08-17$9.19$10.0083.9%24.1%42.7%0.0%58.0%0.0%0.1%8.1K-141.9K-1.3K0.0054.31N/AN/A40999312
2009-08-18$9.16$10.0086.2%24.7%42.6%0.0%0.0%0.0%-1.6%7.9K-128.9K-1.2K0.0054.44N/AN/A00999312
2009-08-19$8.94$10.0085.5%24.5%43.1%0.0%0.0%0.0%-3.6%7.3K-54.6K-1.1K0.0043.02N/AN/A055999312
2009-08-20$9.39$10.00104.9%30.1%47.0%0.0%105.7%0.0%-17.8%8.3K-146.6K-1.4K0.2257.32N/AN/A23250999362
2009-08-21$9.53$10.00105.9%30.4%46.6%0.0%0.0%0.0%-18.5%10.6K-224.4K-1.6K0.0055.89N/AN/A001,157392
2009-08-24$9.27$10.0095.0%27.2%40.6%0.0%96.0%0.0%8.1%9.4K-227.2K-1.4K0.0064.92N/AN/A1700991279
2009-08-25$9.50$10.0098.7%28.3%41.4%0.0%98.1%0.0%4.5%9.7K-258.1K-1.4K0.0069.68N/AN/A250991279
2009-08-26$9.44$10.0087.5%25.1%39.7%0.0%86.4%0.0%3.0%9.6K-257.1K-1.4K0.0081.90N/AN/A11301,011279
2009-08-27$9.33$10.0088.6%25.4%39.0%0.0%0.0%0.0%3.4%11.1K-237.7K-1.4K0.0074.88N/AN/A001,045279
2009-08-28$9.17$10.0089.3%25.6%37.9%0.0%0.0%0.0%0.1%10.8K-210.1K-1.3K0.0074.28N/AN/A1501,045279
2009-08-31$8.84$10.0092.3%26.5%39.5%0.0%93.5%0.0%-6.2%9.9K-154.7K-1.2K0.2570.95N/AN/A80201,055279