MAPP Options History — May 2010

In May 2010, MAPP traded between $14.49 and $18.55. ATM implied volatility averaged 65.5%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 4.7% (HV 20d: 70.2%). Max pain ranged from $10.00 to $17.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.39.

Notable Days

  • 2010-05-04: Highest Volume — 116 contracts
  • 2010-05-06: Largest IV spike — 216.4% change
  • 2010-05-06: Highest IV Rank — 100.0%
  • 2010-05-06: Largest Expected Move — 48.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.14$14.49$18.55$18.55$14.92
Max Pain$11.50$10.00$17.50$17.50$10.00
ATM IV65.5%53.2%168.2%55.9%57.9%
Expected Move18.4%15.2%48.2%16.0%16.6%
HV 20d70.2%51.5%79.1%51.5%67.9%
HV 60d54.4%46.7%58.4%46.7%55.2%
IV Rank25.5%14.8%100.0%30.5%17.8%
IV Percentile34.6%10.0%100.0%22.7%29.0%
Term Structure-5.5%-143.5%5.2%-3.7%4.8%
VWIV71.5%49.2%198.6%55.1%61.9%
Skew 25d7.2%-7.2%17.0%1.9%7.6%
Skew 10d12.1%-19.9%54.7%-19.9%14.8%
Call IV 25d59.4%49.4%137.1%51.4%60.2%
Put IV 25d66.5%46.4%154.2%53.4%67.7%
Bid-Ask Spread %89.1576.47155.18100.1388.90
Gamma HHI0.460.360.640.540.42
Net GEX-11.8K-31.0K-4.6K-11.5K-5.5K
Net DEX-748-429.1K382.2K-429.1K-10.6K
Net VEX-4.1K-4.6K-3.4K-3.4K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.0015.000.000.00
Total Volume29.10116515
Total OI2,047.21,8992,2071,9571,977

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$18.55$17.5055.9%16.0%51.5%30.5%0.0%1.9%-3.7%-11.5K-429.1K-3.4K0.00100.13N/AN/A504961,461
2010-05-04$18.10$17.5054.9%15.7%52.6%29.0%55.1%8.5%-0.6%-12.9K-341.8K-3.5K0.2382.69N/AN/A94225011,461
2010-05-05$17.63$17.5053.2%15.2%53.8%26.7%0.0%-7.2%0.9%-13.0K-285.9K-3.8K0.0091.38N/AN/A0305471,461
2010-05-06$16.58$17.50168.2%48.2%58.6%100.0%198.6%17.0%-143.5%-6.7K-20.5K-4.6K0.53155.18N/AN/A19105471,491
2010-05-07$15.10$10.0067.7%17.6%67.6%25.1%55.2%7.4%-1.3%-13.2K382.2K-4.4K0.3983.85N/AN/A38155351,501
2010-05-10$15.49$10.0064.7%17.4%66.6%22.9%0.0%9.0%0.3%-13.8K282.6K-4.1K0.0089.52N/AN/A405351,501
2010-05-11$17.08$10.0062.8%15.9%75.3%21.5%58.3%5.0%3.3%-13.5K-121.0K-4.0K0.0087.27N/AN/A2205691,491
2010-05-12$17.25$10.0061.5%15.8%74.8%20.5%0.0%2.9%2.5%-14.5K-178.6K-4.0K0.0080.13N/AN/A0205761,491
2010-05-13$17.03$10.0054.1%15.5%75.0%15.0%0.0%6.3%4.5%-15.7K-104.6K-4.0K0.6376.47N/AN/A32205761,506
2010-05-14$16.96$10.0053.9%15.5%75.0%14.8%0.0%9.8%4.7%-15.9K-90.0K-4.3K0.0080.88N/AN/A106081,526
2010-05-17$16.94$10.0055.4%15.9%74.8%16.0%49.2%9.1%3.7%-17.5K-75.6K-4.1K0.0382.10N/AN/A2916091,526
2010-05-18$16.26$10.0057.5%16.5%76.2%17.5%58.3%-0.3%1.9%-6.8K99.3K-4.2K0.0080.44N/AN/A046381,526
2010-05-19$15.61$10.0061.8%17.7%77.5%20.7%0.0%10.5%1.0%-11.4K202.2K-4.2K0.0082.73N/AN/A006381,524
2010-05-20$14.77$10.0063.8%18.3%76.7%22.2%58.5%8.5%0.5%-12.3K362.5K-4.2K1.5887.17N/AN/A24386381,524
2010-05-21$15.13$10.0064.2%18.4%76.6%22.5%62.3%11.1%0.6%-31.0K299.4K-4.4K0.6584.14N/AN/A34226581,549
2010-05-24$14.49$10.0064.4%18.5%77.5%22.7%63.8%15.5%3.5%-6.0K66.4K-4.4K0.4588.77N/AN/A22106151,284
2010-05-25$15.05$10.0066.1%19.0%79.1%24.0%64.9%12.6%1.0%-4.6K-14.5K-4.3K15.0087.59N/AN/A2306371,294
2010-05-26$14.81$10.0061.1%17.5%78.6%20.2%61.9%-1.1%5.2%-4.9K1.9K-4.3K0.0086.55N/AN/A096361,324
2010-05-27$15.11$10.0061.3%17.6%68.8%20.4%0.0%9.0%0.4%-5.2K-39.3K-4.2K0.0087.06N/AN/A1006361,331
2010-05-28$14.92$10.0057.9%16.6%67.9%17.8%0.0%7.6%4.8%-5.5K-10.6K-4.3K0.0088.90N/AN/A0156461,331