MAPP Options History — December 2009 In December 2009, MAPP traded between $9.07 and $10.43. ATM implied volatility averaged 66.9%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 30.0% (HV 20d: 36.9%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.10.
Notable Days 2009-12-11 : Highest Volume — 107 contracts2009-12-10 : Largest IV spike — 21.6% change2009-12-18 : Highest IV Rank — 40.4%2009-12-07 : Largest Expected Move — 22.2%Monthly Statistics Metric Avg Min Max Open Close Price $9.66 $9.07 $10.43 $9.07 $9.53 Max Pain $10.31 $10.00 $12.50 $12.50 $10.00 ATM IV 66.9% 57.9% 73.6% 66.8% 57.9% Expected Move 19.7% 16.6% 22.2% 19.2% 16.6% HV 20d 36.9% 33.1% 42.1% 42.1% 41.0% HV 60d 47.7% 45.3% 49.2% 49.1% 45.8% IV Rank 28.1% 11.5% 40.4% 29.8% 11.5% IV Percentile 11.3% 2.7% 26.1% 7.1% 2.7% Term Structure 8.7% 3.3% 15.9% 7.3% 15.9% VWIV 69.2% 65.9% 73.6% 67.6% 65.9% Bid-Ask Spread % 76.32 57.34 116.89 88.01 69.40 Gamma HHI 0.54 0.38 0.68 0.61 0.52 Net GEX 99 -963 1.7K -911 1.6K Net DEX 30.8K -69.8K 92.2K 92.2K -36.1K Net VEX -516 -804 -369 -399 -650 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.10 0.00 0.88 0.00 0.00 Total Volume 19.545 0 107 0 11 Total OI 414.682 239 506 433 337
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 2009-12-01 $9.07 $12.50 66.8% 19.2% 42.1% 0.0% 0.0% 0.0% 7.3% -911 92.2K -399 0.00 88.01 N/A N/A 0 0 210 223 2009-12-02 $9.25 $12.50 67.8% 19.4% 41.4% 29.8% 67.6% 0.0% 6.6% -963 92.0K -397 0.00 64.62 N/A N/A 28 0 210 223 2009-12-03 $9.14 $10.00 70.5% 20.2% 41.8% 34.6% 0.0% 0.0% 4.2% -678 85.4K -405 0.00 57.34 N/A N/A 0 0 224 223 2009-12-04 $9.50 $0.00 61.8% 20.8% 36.4% 18.7% 0.0% 0.0% 7.8% -743 85.8K -400 0.00 63.35 N/A N/A 0 0 224 223 2009-12-07 $9.50 $0.00 67.8% 22.2% 35.7% 29.6% 0.0% 0.0% 3.3% -746 85.0K -391 0.00 64.92 N/A N/A 0 0 224 223 2009-12-08 $9.25 $0.00 70.2% 20.8% 33.6% 34.2% 0.0% 0.0% 8.0% -737 88.3K -381 0.00 70.86 N/A N/A 0 0 224 223 2009-12-09 $9.46 $0.00 59.4% 21.1% 33.5% 14.2% 0.0% 0.0% 5.1% -757 88.7K -373 0.00 64.94 N/A N/A 0 0 224 223 2009-12-10 $9.57 $0.00 72.2% 20.7% 33.4% 37.8% 0.0% 0.0% 6.5% -764 86.1K -369 0.00 69.52 N/A N/A 0 0 224 223 2009-12-11 $9.55 $0.00 69.7% 20.0% 33.4% 33.2% 69.7% 0.0% 11.4% -746 84.3K -369 0.88 73.48 N/A N/A 57 50 224 223 2009-12-14 $9.55 $10.00 71.8% 20.6% 33.3% 37.2% 0.0% 0.0% 9.4% -174 63.1K -473 0.00 75.07 N/A N/A 2 0 281 223 2009-12-15 $9.60 $10.00 72.1% 20.7% 33.1% 37.7% 0.0% 0.0% 9.1% -139 62.7K -473 0.00 76.52 N/A N/A 0 0 283 223 2009-12-16 $9.79 $10.00 72.3% 20.7% 33.6% 38.0% 0.0% 0.0% 9.4% -103 57.5K -471 0.00 83.54 N/A N/A 0 0 283 223 2009-12-17 $9.53 $10.00 67.1% 19.2% 34.4% 28.5% 0.0% 0.0% 12.6% -123 65.8K -445 0.00 116.89 N/A N/A 0 0 283 223 2009-12-18 $10.20 $10.00 73.6% 21.1% 38.5% 40.4% 73.6% 0.0% 5.5% -73 19.5K -472 0.00 85.28 N/A N/A 52 0 283 223 2009-12-21 $10.21 $10.00 65.9% 18.9% 38.1% 26.3% 0.0% 0.0% 10.6% 193 -9.2K -541 0.00 85.57 N/A N/A 94 0 124 115 2009-12-22 $10.43 $10.00 68.2% 19.6% 34.5% 30.5% 0.0% 0.0% 6.7% 890 -69.8K -804 0.00 74.26 N/A N/A 0 0 218 115 2009-12-23 $10.02 $10.00 65.9% 18.9% 38.2% 26.3% 65.9% 0.0% 7.8% 829 -56.7K -774 0.00 63.29 N/A N/A 69 0 218 115 2009-12-24 $9.97 $10.00 59.2% 17.0% 38.1% 13.8% 0.0% 0.0% 13.9% 1.7K -58.1K -732 0.00 104.44 N/A N/A 10 0 232 115 2009-12-28 $10.04 $10.00 64.3% 18.4% 37.9% 23.3% 0.0% 0.0% 11.4% 1.6K -57.6K -698 0.00 70.10 N/A N/A 57 0 222 115 2009-12-29 $9.93 $10.00 65.1% 18.7% 38.1% 24.7% 0.0% 0.0% 8.3% 1.6K -53.1K -687 0.00 88.71 N/A N/A 0 0 222 115 2009-12-30 $9.53 $10.00 62.6% 17.9% 41.5% 20.1% 0.0% 0.0% 10.8% 1.4K -38.8K -655 0.00 68.92 N/A N/A 0 0 222 115 2009-12-31 $9.53 $10.00 57.9% 16.6% 41.0% 11.5% 0.0% 0.0% 15.9% 1.6K -36.1K -650 0.00 69.40 N/A N/A 11 0 222 115
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