MAPP Options History — January 2010

In January 2010, MAPP traded between $9.59 and $15.80. ATM implied volatility averaged 61.6%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded below realized volatility by 39.2% (HV 20d: 100.9%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 9.32.

Notable Days

2010-01-11: Highest Volume — 727 contracts
2010-01-11: Largest IV spike — 55.9% change
2010-01-12: Highest IV Rank — 70.0%
2010-01-15: Largest Expected Move — 21.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.21	$9.59	$15.80	$10.27	$15.01
Max Pain	$12.94	$10.00	$15.00	$10.00	$15.00
ATM IV	61.6%	53.1%	89.6%	61.7%	56.9%
Expected Move	18.0%	15.5%	21.2%	21.0%	16.3%
HV 20d	100.9%	47.1%	123.1%	48.1%	119.4%
HV 60d	70.3%	48.2%	80.0%	48.4%	76.9%
IV Rank	18.4%	2.6%	70.0%	18.5%	9.7%
IV Percentile	14.0%	1.3%	85.0%	4.8%	7.3%
Term Structure	3.4%	-1.2%	7.3%	0.3%	2.8%
VWIV	61.9%	40.2%	81.2%	64.9%	54.8%
Skew 25d	8.5%	2.2%	24.9%	3.2%	2.3%
Skew 10d	11.9%	-5.0%	27.3%	5.3%	12.6%
Call IV 25d	50.7%	41.8%	66.7%	66.7%	44.2%
Put IV 25d	59.2%	45.4%	69.9%	69.9%	46.4%
Bid-Ask Spread %	67.84	35.42	91.31	47.08	91.31
Gamma HHI	0.69	0.36	0.85	0.59	0.83
Net GEX	-11.3K	-38.4K	27.1K	2.5K	-38.4K
Net DEX	-53.0K	-651.3K	393.6K	-73.0K	229.9K
Net VEX	-2.1K	-3.4K	-696	-696	-3.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.32	0.00	56.00	0.00	2.42
Total Volume	239.316	0	727	23	1
Total OI	1,489.526	348	2,420	348	2,397

Daily Data (19 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
2010-01-04	$10.27	$0.00	61.7%	21.0%	48.1%	18.5%	0.0%	0.0%	0.3%	2.5K	-73.0K	-696	0.00	47.08	N/A	N/A	23	0	233	115
2010-01-05	$10.10	$0.00	60.7%	18.6%	47.1%	16.7%	64.9%	0.0%	4.5%	2.4K	-69.5K	-702	51.00	59.68	N/A	N/A	10	510	236	115
2010-01-06	$9.79	$10.00	57.9%	18.5%	48.7%	11.5%	0.0%	0.0%	6.1%	-6.4K	192.7K	-1.4K	0.00	67.87	N/A	N/A	10	0	246	625
2010-01-07	$9.86	$10.00	55.6%	18.8%	47.5%	7.2%	0.0%	0.0%	5.4%	-5.8K	176.7K	-1.4K	0.00	82.50	N/A	N/A	0	0	246	625
2010-01-08	$9.59	$10.00	53.1%	18.2%	48.2%	2.6%	0.0%	0.0%	5.0%	-5.6K	222.9K	-1.3K	0.00	76.89	N/A	N/A	0	0	246	625
2010-01-11	$12.75	$10.00	82.7%	20.1%	111.9%	57.3%	70.0%	0.0%	0.1%	-4.7K	-122.7K	-1.2K	0.24	58.30	N/A	N/A	588	139	246	625
2010-01-12	$12.14	$12.50	89.6%	19.7%	114.0%	70.0%	72.2%	0.0%	2.0%	5.3K	-229.9K	-1.9K	0.25	57.75	N/A	N/A	161	40	635	745
2010-01-13	$12.40	$12.50	54.3%	18.8%	114.0%	4.8%	0.0%	0.0%	4.5%	27.1K	-339.0K	-2.0K	0.01	41.41	N/A	N/A	391	2	760	775
2010-01-14	$13.82	$12.50	64.3%	18.4%	118.8%	23.2%	81.2%	0.0%	5.4%	-1.5K	-549.0K	-1.7K	5.00	35.42	N/A	N/A	48	240	594	777
2010-01-15	$15.30	$12.50	73.8%	21.2%	122.5%	40.8%	66.5%	0.0%	-1.2%	-3.6K	-651.3K	-1.6K	1.78	67.45	N/A	N/A	237	421	584	997
2010-01-19	$15.80	$12.50	68.0%	19.5%	121.1%	30.2%	67.7%	3.2%	-0.3%	4.0K	-564.3K	-1.5K	0.13	62.69	N/A	N/A	169	22	513	618
2010-01-20	$15.23	$12.50	58.9%	16.9%	121.9%	13.3%	58.7%	6.8%	7.3%	6.0K	-573.6K	-1.6K	30.20	65.65	N/A	N/A	20	604	585	618
2010-01-21	$14.76	$15.00	56.4%	16.2%	123.1%	8.8%	56.6%	4.9%	4.9%	-13.7K	-117.2K	-2.5K	56.00	75.63	N/A	N/A	10	560	584	1,200
2010-01-22	$14.89	$15.00	54.2%	15.5%	123.1%	4.6%	40.2%	4.9%	5.5%	-34.7K	243.2K	-3.4K	0.02	79.93	N/A	N/A	50	1	594	1,732
2010-01-25	$14.67	$15.00	54.4%	15.6%	121.9%	5.0%	54.1%	24.1%	3.9%	-35.8K	393.6K	-3.3K	0.81	74.27	N/A	N/A	36	29	567	1,732
2010-01-26	$14.64	$15.00	54.1%	15.5%	121.8%	4.4%	62.4%	24.9%	3.9%	-36.8K	377.9K	-3.4K	0.00	75.32	N/A	N/A	13	0	592	1,752
2010-01-27	$14.96	$15.00	55.4%	15.9%	121.7%	6.9%	55.4%	3.6%	2.6%	-38.1K	214.0K	-3.3K	1.20	90.56	N/A	N/A	56	67	595	1,752
2010-01-28	$15.00	$15.00	59.1%	16.9%	121.4%	13.6%	54.8%	2.2%	1.4%	-36.6K	230.9K	-3.3K	2.42	79.24	N/A	N/A	26	63	621	1,799
2010-01-29	$15.01	$15.00	56.9%	16.3%	119.4%	9.7%	0.0%	2.3%	2.8%	-38.4K	229.9K	-3.2K	0.00	91.31	N/A	N/A	0	1	617	1,780