MAPP Options History — April 2010

In April 2010, MAPP traded between $15.79 and $18.72. ATM implied volatility averaged 52.4%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 14.5% (HV 20d: 37.9%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.55.

Notable Days

  • 2010-04-07: Highest Volume — 1,000 contracts
  • 2010-04-12: Largest IV spike — 40.1% change
  • 2010-04-13: Highest IV Rank — 41.0%
  • 2010-04-05: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.87$15.79$18.72$15.79$17.96
Max Pain$17.26$15.00$17.50$15.00$17.50
ATM IV52.4%38.8%63.5%54.4%54.3%
Expected Move16.1%15.3%17.3%15.6%15.6%
HV 20d37.9%32.2%51.1%42.7%51.1%
HV 60d53.3%43.7%79.9%79.9%48.5%
IV Rank25.6%6.7%41.0%28.5%28.2%
IV Percentile13.1%0.5%34.4%12.5%15.4%
Term Structure-0.6%-4.6%3.8%3.8%-1.4%
VWIV55.6%51.2%58.7%58.7%51.2%
Skew 25d2.2%-4.1%6.0%0.7%3.5%
Skew 10d1.3%-11.2%10.7%-3.8%-2.4%
Call IV 25d54.4%49.7%56.9%56.9%51.0%
Put IV 25d56.7%51.3%59.3%57.7%54.4%
Bid-Ask Spread %54.5544.8788.9288.9259.05
Gamma HHI0.550.450.680.590.50
Net GEX126-14.2K13.3K10.0K-13.3K
Net DEX-308.2K-540.5K-83.1K-455.9K-279.3K
Net VEX-3.1K-4.2K-1.0K-1.2K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.550.0013.832.000.00
Total Volume73.76201,000030
Total OI1,612.5718941,9478941,928

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$15.79$15.0054.4%15.6%42.7%28.5%0.0%0.7%3.8%10.0K-455.9K-1.2K0.0088.92N/AN/A00643251
2010-04-05$16.19$17.5054.0%17.3%42.9%27.8%0.0%0.8%-2.1%13.3K-520.3K-1.1K0.0048.05N/AN/A00643251
2010-04-06$16.11$17.5038.8%16.9%40.5%6.7%0.0%1.5%0.5%12.3K-540.2K-1.3K0.0047.35N/AN/A00643251
2010-04-07$16.11$17.5051.1%16.6%38.0%23.8%0.0%0.8%1.8%10.6K-499.4K-1.0K0.0050.70N/AN/A01,000643251
2010-04-08$16.10$17.5043.0%17.0%34.9%12.5%0.0%0.9%-1.1%12.4K-540.5K-1.2K0.0060.55N/AN/A00643251
2010-04-09$15.97$17.5039.6%16.7%35.0%7.8%0.0%1.0%0.4%156-174.4K-4.2K0.0053.59N/AN/A006431,251
2010-04-12$16.63$17.5055.4%16.4%37.9%29.8%0.0%4.0%-2.6%5.4K-316.2K-3.9K0.0049.48N/AN/A016431,251
2010-04-13$16.32$17.5063.5%16.5%38.2%41.0%0.0%2.7%-2.4%3.4K-256.0K-4.0K0.0052.39N/AN/A006431,252
2010-04-14$16.75$17.5043.9%16.0%36.7%13.8%58.7%3.5%-0.4%9.7K-302.2K-3.7K0.0053.56N/AN/A0356431,252
2010-04-15$16.75$15.0055.7%16.0%36.6%30.2%55.3%-4.1%-0.7%8.6K-277.3K-3.9K2.0052.08N/AN/A10206431,287
2010-04-16$16.91$17.5055.7%16.0%34.5%30.2%57.0%-3.0%0.4%12.9K-276.0K-3.9K1.1045.49N/AN/A40446401,307
2010-04-19$16.67$17.5055.8%16.0%35.1%30.3%57.8%2.4%-0.2%-8.1K-130.4K-3.7K0.3662.14N/AN/A1144041,266
2010-04-20$16.67$17.5053.5%15.3%32.4%27.2%0.0%4.0%0.9%-8.2K-136.2K-3.7K8.0062.51N/AN/A5404141,268
2010-04-21$16.61$17.5053.8%15.4%32.2%27.5%0.0%3.5%1.5%-8.9K-129.7K-3.9K0.0050.31N/AN/A004191,288
2010-04-22$17.51$17.5055.0%15.8%35.4%29.2%55.3%3.1%-2.6%-7.5K-255.5K-3.6K0.0344.87N/AN/A3614191,288
2010-04-23$17.95$17.5054.7%15.7%36.1%28.8%53.6%2.1%-1.6%-6.2K-329.9K-3.4K0.0051.13N/AN/A2904401,289
2010-04-26$18.00$17.5056.2%16.1%36.0%30.9%56.4%4.1%-4.6%-4.5K-401.2K-3.4K13.8347.27N/AN/A121664651,289
2010-04-27$17.52$17.5054.0%15.5%35.8%27.9%0.0%4.3%-0.9%-13.6K-180.0K-3.9K0.0057.00N/AN/A004701,453
2010-04-28$16.95$17.5054.2%15.5%35.0%28.1%54.6%6.0%-1.2%-14.2K-83.1K-3.9K0.0062.17N/AN/A2004701,453
2010-04-29$18.72$17.5054.0%15.5%48.2%27.9%51.2%5.6%0.2%-11.3K-389.1K-3.4K0.2247.02N/AN/A3784631,453
2010-04-30$17.96$17.5054.3%15.6%51.1%28.2%0.0%3.5%-1.4%-13.3K-279.3K-3.6K0.0059.05N/AN/A3004671,461