MAPP Options History — February 2010 In February 2010, MAPP traded between $13.70 and $16.64. ATM implied volatility averaged 56.8%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded below realized volatility by 16.6% (HV 20d: 73.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 3.09.
Notable Days 2010-02-19 : Highest Volume — 133 contracts2010-02-04 : Largest IV spike — 10.5% change2010-02-23 : Highest IV Rank — 15.6%2010-02-23 : Largest Expected Move — 17.1%Monthly Statistics Metric Avg Min Max Open Close Price $14.74 $13.70 $16.64 $15.03 $13.72 Max Pain $13.03 $12.50 $15.00 $15.00 $12.50 ATM IV 56.8% 51.1% 59.6% 59.5% 56.8% Expected Move 16.6% 14.6% 17.1% 17.0% 16.3% HV 20d 73.4% 44.0% 122.3% 119.4% 44.9% HV 60d 78.1% 76.8% 78.7% 76.8% 78.3% IV Rank 10.4% 0.0% 15.6% 14.3% 10.5% IV Percentile 9.9% 0.0% 18.8% 11.4% 10.3% Term Structure 3.1% -2.8% 6.9% -0.5% 6.9% VWIV 58.6% 52.8% 62.8% 59.5% 60.0% Skew 25d 7.7% 2.2% 20.8% 2.6% 2.2% Skew 10d 9.7% -0.4% 23.3% 12.5% 11.6% Call IV 25d 52.7% 42.6% 58.8% 46.0% 58.8% Put IV 25d 60.3% 48.6% 64.6% 48.6% 61.0% Bid-Ask Spread % 79.78 63.16 93.70 91.63 84.30 Gamma HHI 0.71 0.28 0.94 0.85 0.32 Net GEX -40.0K -87.6K 2.0K -39.0K 793 Net DEX 184.8K -331.2K 1.2M 196.0K -252.8K Net VEX -1.9K -3.0K -1.2K -3.0K -1.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.09 0.00 43.33 0.02 0.00 Total Volume 34.421 0 133 5 15 Total OI 1,962 813 2,399 2,397 889
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 2010-02-01 $15.03 $15.00 59.5% 17.0% 119.4% 14.3% 59.5% 2.6% -0.5% -39.0K 196.0K -3.0K 0.00 91.63 N/A N/A 0 5 617 1,780 2010-02-02 $16.19 $15.00 53.6% 15.4% 119.4% 3.6% 52.8% 2.4% 6.0% -38.7K -331.2K -2.4K 0.02 63.16 N/A N/A 108 2 617 1,782 2010-02-03 $16.64 $15.00 51.1% 14.6% 118.5% 0.0% 55.7% 4.1% 4.6% -26.5K -322.5K -2.4K 1.63 88.89 N/A N/A 8 13 577 1,781 2010-02-04 $15.55 $15.00 56.4% 16.2% 121.4% 9.8% 56.4% 10.9% 1.6% -50.0K -25.7K -2.6K 0.43 93.70 N/A N/A 47 20 583 1,784 2010-02-05 $15.23 $12.50 54.8% 16.6% 122.3% 6.7% 57.7% 7.9% 5.2% -52.4K 172.5K -2.5K 0.29 68.79 N/A N/A 17 5 549 1,794 2010-02-08 $15.03 $12.50 56.4% 17.0% 121.7% 9.6% 0.0% 3.1% 3.8% -55.7K 268.0K -2.4K 0.00 68.37 N/A N/A 0 11 538 1,796 2010-02-09 $14.98 $12.50 51.6% 17.1% 72.2% 0.9% 59.3% 2.6% 4.2% -63.6K 258.1K -2.3K 0.00 73.04 N/A N/A 20 0 538 1,792 2010-02-10 $14.92 $12.50 54.0% 16.9% 69.2% 5.4% 0.0% 4.9% 4.3% -61.4K 343.4K -2.3K 0.25 73.16 N/A N/A 4 1 548 1,792 2010-02-11 $15.21 $12.50 58.6% 16.8% 69.1% 13.7% 0.0% 8.4% 3.4% -70.2K 127.1K -2.2K 0.38 70.96 N/A N/A 13 5 552 1,792 2010-02-12 $14.79 $12.50 59.3% 17.0% 59.8% 15.0% 0.0% 8.0% 3.6% -66.3K 418.5K -2.1K 1.20 72.89 N/A N/A 10 12 565 1,792 2010-02-16 $14.58 $12.50 59.1% 16.9% 47.3% 14.6% 0.0% 20.8% 4.7% -75.7K 595.0K -1.8K 0.70 83.78 N/A N/A 10 7 565 1,780 2010-02-17 $14.44 $12.50 57.7% 16.5% 45.6% 12.0% 0.0% 16.8% 5.3% -87.6K 938.5K -1.5K 0.00 82.56 N/A N/A 1 0 565 1,779 2010-02-18 $14.36 $12.50 58.4% 16.7% 44.0% 13.3% 61.9% 13.8% 4.5% -76.2K 938.1K -1.4K 0.37 84.40 N/A N/A 57 21 564 1,779 2010-02-19 $13.90 $12.50 57.2% 16.4% 44.1% 11.2% 60.2% 8.7% 6.3% 2.0K 1.2M -1.2K 43.33 84.84 N/A N/A 3 130 562 1,799 2010-02-22 $13.70 $12.50 58.8% 16.8% 44.0% 14.0% 58.8% 3.4% 2.8% -611 -226.9K -1.3K 0.00 82.96 N/A N/A 47 0 383 430 2010-02-23 $13.82 $12.50 59.6% 17.1% 44.1% 15.6% 62.8% 5.9% -2.8% -128 -237.5K -1.3K 0.84 82.53 N/A N/A 32 27 409 430 2010-02-24 $13.83 $12.50 58.6% 16.8% 44.1% 13.6% 0.0% 7.0% -2.8% 640 -252.9K -1.4K 0.00 82.98 N/A N/A 3 0 440 446 2010-02-25 $14.12 $12.50 58.2% 16.7% 44.0% 13.0% 0.0% 12.3% -1.6% 930 -263.5K -1.4K 0.00 82.91 N/A N/A 0 0 443 446 2010-02-26 $13.72 $12.50 56.8% 16.3% 44.9% 10.5% 60.0% 2.2% 6.9% 793 -252.8K -1.3K 0.00 84.30 N/A N/A 15 0 443 446
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