MAPP Options History — September 2009

Name: MAPP Options Analytics - September 2009
Creator: Options Analysis Suite

In September 2009, MAPP traded between $9.01 and $10.94. ATM implied volatility averaged 88.6%. The 30-day expected move averaged 25.4%. IV traded above realized volatility by 45.7% (HV 20d: 42.9%). 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 7 of 21 days. Put/call ratio averaged 4.52.

Notable Days

2009-09-09: Highest Volume — 207 contracts
2009-09-09: Largest IV drop — 12.3% change
2009-09-02: Largest Expected Move — 27.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.14	$9.01	$10.94	$9.01	$10.46
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	88.6%	82.4%	96.2%	94.8%	89.0%
Expected Move	25.4%	23.9%	27.6%	27.2%	25.5%
HV 20d	42.9%	38.0%	49.9%	39.7%	49.3%
HV 60d	49.3%	45.7%	57.0%	56.5%	47.7%
Term Structure	-2.2%	-10.2%	4.4%	-6.3%	-3.6%
VWIV	79.8%	56.2%	88.9%	87.1%	88.9%
Bid-Ask Spread %	66.45	38.49	91.08	76.00	76.80
Gamma HHI	0.66	0.33	0.96	0.84	0.37
Net GEX	11.3K	527	48.8K	10.8K	1.6K
Net DEX	-354.0K	-965.7K	-2.5K	-167.0K	-20.4K
Net VEX	-866	-1.3K	-560	-1.3K	-617
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.52	0.00	44.00	0.00	0.77
Total Volume	46.619	0	207	30	46
Total OI	1,029.619	345	1,517	1,385	406

Daily Data (21 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
2009-09-01	$9.01	$10.00	94.8%	27.2%	39.7%	0.0%	0.0%	0.0%	-6.3%	10.8K	-167.0K	-1.3K	0.00	76.00	N/A	N/A	0	30	1,086	299
2009-09-02	$9.35	$10.00	96.2%	27.6%	40.6%	0.0%	0.0%	0.0%	-7.4%	10.5K	-247.6K	-1.3K	0.00	86.40	N/A	N/A	0	0	1,086	299
2009-09-03	$9.28	$10.00	95.1%	27.3%	38.0%	0.0%	0.0%	0.0%	-10.2%	10.6K	-230.9K	-1.3K	0.00	91.08	N/A	N/A	1	0	1,086	299
2009-09-04	$9.64	$10.00	87.1%	24.4%	40.6%	0.0%	0.0%	0.0%	0.7%	13.2K	-273.9K	-1.3K	0.00	47.03	N/A	N/A	0	0	1,087	299
2009-09-08	$10.00	$10.00	94.0%	26.5%	42.6%	0.0%	0.0%	0.0%	-5.2%	16.9K	-359.4K	-1.3K	0.00	38.49	N/A	N/A	0	50	1,087	299
2009-09-09	$10.14	$10.00	82.4%	24.9%	42.8%	0.0%	87.1%	0.0%	-2.7%	21.4K	-389.8K	-1.2K	0.12	54.96	N/A	N/A	185	22	1,087	289
2009-09-10	$10.31	$10.00	86.1%	24.7%	43.1%	0.0%	0.0%	0.0%	0.9%	24.6K	-489.9K	-1.2K	0.23	52.48	N/A	N/A	160	37	1,153	289
2009-09-11	$10.43	$10.00	85.2%	24.4%	43.2%	0.0%	0.0%	0.0%	3.3%	30.1K	-601.6K	-1.1K	44.00	59.89	N/A	N/A	1	44	1,219	277
2009-09-14	$10.72	$10.00	90.9%	26.1%	43.9%	0.0%	85.1%	0.0%	-6.0%	527	-964.5K	-630	0.64	58.99	N/A	N/A	88	56	1,220	255
2009-09-15	$10.83	$10.00	88.3%	25.3%	38.4%	0.0%	0.0%	0.0%	-3.7%	16.9K	-965.7K	-766	0.00	59.12	N/A	N/A	111	0	1,282	235
2009-09-16	$10.94	$10.00	90.5%	25.9%	38.2%	0.0%	0.0%	0.0%	-4.6%	7.8K	-938.3K	-715	0.00	57.89	N/A	N/A	0	0	1,218	235
2009-09-17	$10.38	$10.00	89.3%	25.6%	42.5%	0.0%	0.0%	0.0%	-3.8%	48.8K	-775.9K	-777	0.00	62.66	N/A	N/A	50	0	1,218	235
2009-09-18	$10.72	$10.00	88.9%	25.5%	40.7%	0.0%	0.0%	0.0%	-2.0%	14.0K	-886.3K	-636	0.00	61.23	N/A	N/A	0	0	1,190	225
2009-09-21	$10.50	$10.00	88.5%	25.4%	41.7%	0.0%	0.0%	0.0%	-2.5%	1.3K	-28.1K	-569	0.00	56.40	N/A	N/A	0	0	217	128
2009-09-22	$10.55	$10.00	86.4%	24.8%	39.9%	0.0%	81.9%	0.0%	-0.8%	1.4K	-30.5K	-570	0.00	60.36	N/A	N/A	36	0	217	128
2009-09-23	$10.51	$10.00	87.1%	25.0%	39.4%	0.0%	0.0%	0.0%	1.4%	1.8K	-41.4K	-625	0.00	64.40	N/A	N/A	2	0	253	128
2009-09-24	$9.69	$10.00	87.7%	25.2%	49.9%	0.0%	56.2%	0.0%	-1.2%	1.3K	-13.0K	-560	4.00	83.07	N/A	N/A	10	40	255	128
2009-09-25	$9.66	$10.00	83.4%	23.9%	49.7%	0.0%	0.0%	0.0%	1.9%	1.2K	-3.6K	-574	0.00	83.14	N/A	N/A	0	10	255	141
2009-09-28	$9.88	$10.00	84.1%	24.1%	49.7%	0.0%	0.0%	0.0%	2.0%	1.2K	-4.6K	-580	0.00	81.61	N/A	N/A	0	0	255	151
2009-09-29	$9.98	$10.00	84.8%	24.3%	47.3%	0.0%	0.0%	0.0%	4.4%	1.2K	-2.5K	-572	0.00	83.45	N/A	N/A	0	0	255	151
2009-09-30	$10.46	$10.00	89.0%	25.5%	49.3%	0.0%	88.9%	0.0%	-3.6%	1.6K	-20.4K	-617	0.77	76.80	N/A	N/A	26	20	255	151