MAPP Options History — November 2009 In November 2009, MAPP traded between $8.08 and $9.23. ATM implied volatility averaged 74.0%. The 30-day expected move averaged 22.4%. IV traded above realized volatility by 20.5% (HV 20d: 53.5%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2009-11-25 : Highest Volume — 35 contracts2009-11-12 : Largest IV spike — 48.8% change2009-11-04 : Largest Expected Move — 28.4%Monthly Statistics Metric Avg Min Max Open Close Price $8.85 $8.08 $9.23 $8.08 $9.05 Max Pain $11.63 $7.50 $12.50 $10.00 $12.50 ATM IV 74.0% 51.7% 99.2% 83.4% 71.0% Expected Move 22.4% 19.0% 28.4% 23.9% 20.4% HV 20d 53.5% 42.9% 60.2% 49.8% 42.9% HV 60d 50.1% 48.2% 51.9% 48.2% 49.8% Term Structure 3.5% -9.1% 12.8% 5.6% 2.6% VWIV 83.4% 83.4% 83.4% 83.4% 83.4% Bid-Ask Spread % 80.02 70.90 93.38 89.77 90.07 Gamma HHI 0.41 0.26 0.60 0.44 0.58 Net GEX -544 -904 43 -500 -862 Net DEX 76.9K 55.8K 91.7K 87.6K 91.7K Net VEX -368 -475 -280 -314 -410 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 3.4 0 35 10 0 Total OI 427.35 395 440 410 433
Daily Data (20 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 2009-11-02 $8.08 $10.00 83.4% 23.9% 49.8% 0.0% 83.4% 0.0% 5.6% -500 87.6K -314 0.00 89.77 N/A N/A 0 10 222 188 2009-11-03 $8.33 $7.50 84.6% 24.2% 52.1% 0.0% 0.0% 0.0% 8.4% -624 88.6K -331 0.00 87.20 N/A N/A 0 0 222 198 2009-11-04 $8.41 $7.50 99.2% 28.4% 52.6% 0.0% 0.0% 0.0% -9.1% -689 85.8K -337 0.00 79.51 N/A N/A 0 0 222 198 2009-11-05 $9.02 $7.50 71.1% 20.4% 59.6% 0.0% 0.0% 0.0% 7.1% -305 60.7K -460 0.00 93.38 N/A N/A 0 0 222 198 2009-11-06 $9.22 $12.50 67.4% 22.6% 59.5% 0.0% 0.0% 0.0% 2.5% -268 55.8K -475 0.00 74.25 N/A N/A 20 0 222 198 2009-11-09 $8.84 $12.50 51.7% 23.1% 60.2% 0.0% 0.0% 0.0% -0.6% -313 73.1K -388 0.00 75.54 N/A N/A 0 0 242 198 2009-11-10 $8.69 $12.50 62.1% 23.9% 60.0% 0.0% 0.0% 0.0% -1.9% -625 78.2K -358 0.00 76.53 N/A N/A 0 0 242 198 2009-11-11 $8.82 $12.50 53.6% 20.7% 60.1% 0.0% 0.0% 0.0% 10.0% -411 72.3K -386 0.00 70.90 N/A N/A 0 0 242 198 2009-11-12 $8.90 $12.50 79.8% 22.9% 60.1% 0.0% 0.0% 0.0% 1.5% -204 70.3K -390 0.00 73.94 N/A N/A 0 0 242 198 2009-11-13 $9.00 $12.50 77.1% 22.1% 59.4% 0.0% 0.0% 0.0% 1.1% 43 62.9K -414 0.00 75.27 N/A N/A 0 0 242 198 2009-11-16 $8.95 $12.50 78.4% 22.5% 57.4% 0.0% 0.0% 0.0% 1.1% -588 73.0K -365 0.00 79.49 N/A N/A 0 0 242 198 2009-11-17 $8.97 $12.50 77.1% 22.1% 51.6% 0.0% 0.0% 0.0% 3.1% -599 73.2K -361 0.00 76.17 N/A N/A 0 0 242 198 2009-11-18 $8.80 $12.50 78.1% 22.4% 51.0% 0.0% 0.0% 0.0% 0.4% -683 81.2K -324 0.00 80.10 N/A N/A 0 0 242 198 2009-11-19 $8.52 $12.50 85.0% 24.4% 51.5% 0.0% 0.0% 0.0% 1.3% -683 90.0K -280 0.00 79.27 N/A N/A 0 0 242 198 2009-11-20 $8.75 $12.50 86.4% 24.8% 49.9% 0.0% 0.0% 0.0% -2.1% -651 81.7K -317 0.00 77.16 N/A N/A 0 0 242 198 2009-11-23 $9.23 $12.50 69.5% 19.9% 50.5% 0.0% 0.0% 0.0% 9.5% -666 73.5K -345 0.00 76.48 N/A N/A 3 0 207 188 2009-11-24 $9.23 $12.50 66.2% 19.0% 50.0% 0.0% 0.0% 0.0% 12.8% -687 75.1K -341 0.00 85.92 N/A N/A 0 0 210 188 2009-11-25 $9.17 $12.50 69.6% 19.9% 46.0% 0.0% 0.0% 0.0% 8.1% -659 73.7K -339 0.00 86.50 N/A N/A 0 35 210 188 2009-11-27 $9.11 $12.50 68.3% 19.6% 45.7% 0.0% 0.0% 0.0% 9.3% -904 90.1K -416 0.00 72.95 N/A N/A 0 0 210 223 2009-11-30 $9.05 $12.50 71.0% 20.4% 42.9% 0.0% 0.0% 0.0% 2.6% -862 91.7K -410 0.00 90.07 N/A N/A 0 0 210 223
« Oct 2009 | All History | Dec 2009 » Home MAPP History November 2009