MAPP Options History — March 2010

In March 2010, MAPP traded between $13.91 and $16.85. ATM implied volatility averaged 50.4%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 0.6% (HV 20d: 51.0%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.79.

Notable Days

  • 2010-03-17: Highest Volume — 270 contracts
  • 2010-03-11: Largest IV spike — 41.8% change
  • 2010-03-17: Highest IV Rank — 36.2%
  • 2010-03-17: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.84$13.91$16.85$14.79$15.89
Max Pain$14.35$12.50$15.00$12.50$15.00
ATM IV50.4%34.0%60.0%52.1%56.9%
Expected Move14.8%11.4%17.2%14.9%16.3%
HV 20d51.0%45.3%53.9%53.1%50.3%
HV 60d80.8%79.5%81.8%79.6%80.0%
IV Rank19.1%0.0%36.2%1.9%31.9%
IV Percentile8.2%0.0%25.4%1.6%19.3%
Term Structure3.5%-4.1%9.8%0.9%1.7%
VWIV50.3%42.5%60.2%52.1%50.7%
Skew 25d4.1%-4.3%30.2%19.6%1.1%
Skew 10d4.9%-7.7%77.1%29.1%-4.0%
Call IV 25d49.2%32.6%57.9%44.7%57.0%
Put IV 25d53.3%36.2%73.4%64.3%58.1%
Bid-Ask Spread %73.7852.9198.0389.4484.56
Gamma HHI0.540.360.680.430.63
Net GEX9.1K2.3K13.7K3.1K11.3K
Net DEX-561.3K-726.7K-298.3K-381.4K-475.4K
Net VEX-1.2K-1.5K-998-1.2K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.0016.500.000.00
Total Volume40.43502702011
Total OI955.3048051,303896884

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$14.79$12.5052.1%14.9%53.1%1.9%52.1%19.6%0.9%3.1K-381.4K-1.2K0.0089.44N/AN/A200450446
2010-03-02$15.03$12.5045.5%13.1%53.4%0.0%42.5%2.3%6.5%4.5K-446.9K-1.0K0.2494.91N/AN/A215461446
2010-03-03$14.90$12.5046.3%13.3%45.6%1.2%46.3%1.6%4.1%5.4K-441.6K-1.1K0.2295.98N/AN/A235482446
2010-03-04$13.91$12.5039.7%11.4%49.4%0.0%0.0%7.6%3.9%2.3K-298.3K-1.2K0.0098.03N/AN/A100480450
2010-03-05$14.21$15.0043.3%14.1%45.3%5.3%0.0%-4.3%5.2%3.6K-341.7K-1.2K0.0063.22N/AN/A00490450
2010-03-08$14.87$15.0046.4%14.3%48.1%10.0%0.0%3.6%4.0%6.2K-452.7K-1.0K0.0062.37N/AN/A160490450
2010-03-09$15.50$15.0048.3%14.1%50.2%13.0%46.5%30.2%5.4%9.3K-543.1K-1.0K0.0458.06N/AN/A1135496450
2010-03-10$16.17$12.5034.0%14.3%52.2%0.0%0.0%3.7%9.8%9.6K-681.1K-1.1K2.3852.91N/AN/A2150598450
2010-03-11$16.19$12.5048.2%13.8%52.1%19.7%48.3%4.8%3.7%9.6K-685.4K-1.0K0.2862.65N/AN/A3610588410
2010-03-12$16.23$15.0047.7%13.7%51.8%19.1%47.7%3.7%4.2%8.5K-675.8K-99816.5067.74N/AN/A233581420
2010-03-15$15.98$15.0046.8%13.4%51.0%17.9%0.0%3.8%4.7%6.8K-645.1K-1.1K13.0070.45N/AN/A226583442
2010-03-16$16.62$15.0044.9%12.9%52.0%15.2%47.4%1.9%5.2%10.9K-704.9K-1.1K0.3366.51N/AN/A3010583468
2010-03-17$16.55$15.0060.0%17.2%51.8%36.2%60.2%0.3%-4.1%10.4K-712.4K-1.1K0.0959.02N/AN/A24822604468
2010-03-18$16.02$15.0055.7%16.0%53.5%30.2%56.3%1.5%3.8%13.7K-726.7K-1.5K0.8667.28N/AN/A3530812487
2010-03-19$16.05$15.0056.5%16.2%51.6%31.2%0.0%0.0%3.1%11.4K-699.5K-1.4K0.0067.67N/AN/A60787516
2010-03-22$16.67$15.0055.5%15.9%52.1%29.9%0.0%-0.5%1.1%11.4K-601.8K-1.3K0.0068.95N/AN/A00604201
2010-03-23$16.85$15.0056.4%16.2%52.1%31.2%0.0%-0.5%1.1%11.5K-631.9K-1.3K0.0076.23N/AN/A100604201
2010-03-24$16.35$15.0057.4%16.4%53.9%32.5%0.0%0.5%-0.9%11.6K-553.3K-1.4K0.0070.85N/AN/A00604201
2010-03-25$16.30$15.0054.6%15.7%53.9%28.7%55.5%6.3%2.5%11.8K-530.0K-1.4K0.0073.83N/AN/A060604201
2010-03-26$16.25$15.0051.9%14.9%52.3%25.0%0.0%1.3%8.6%11.9K-526.4K-1.3K0.0077.07N/AN/A150604251
2010-03-29$16.84$15.0054.0%15.5%47.3%27.8%50.7%2.1%2.6%12.1K-627.0K-1.3K0.0090.15N/AN/A350614251
2010-03-30$16.20$15.0056.7%16.2%49.8%31.6%0.0%0.2%3.5%12.2K-526.7K-1.3K0.0079.04N/AN/A200613251
2010-03-31$15.89$15.0056.9%16.3%50.3%31.9%0.0%1.1%1.7%11.3K-475.4K-1.3K0.0084.56N/AN/A110633251