MAPP Options History — June 2010

In June 2010, MAPP traded between $11.57 and $14.19. ATM implied volatility averaged 63.6%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 0.6% (HV 20d: 63.0%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2010-06-21: Highest Volume — 54 contracts
  • 2010-06-10: Largest IV drop — 8.8% change
  • 2010-06-09: Highest IV Rank — 28.0%
  • 2010-06-07: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.11$11.57$14.19$14.06$13.09
Max Pain$12.27$10.00$15.00$10.00$12.50
ATM IV63.6%58.5%71.6%63.3%63.1%
Expected Move18.1%16.8%19.8%18.2%18.1%
HV 20d63.0%56.2%68.6%68.2%60.3%
HV 60d59.1%54.8%60.9%56.4%60.9%
IV Rank22.1%18.3%28.0%21.9%21.7%
IV Percentile41.5%30.6%56.3%40.2%43.3%
Term Structure2.6%-3.1%9.8%-0.0%2.5%
VWIV62.7%56.2%71.2%63.6%59.9%
Skew 25d4.9%-5.0%15.3%13.0%12.5%
Skew 10d9.2%-8.0%25.2%23.8%14.6%
Call IV 25d57.9%44.8%65.7%55.5%49.1%
Put IV 25d62.8%54.2%72.1%68.5%61.6%
Bid-Ask Spread %84.7570.7599.8892.4999.88
Gamma HHI0.580.440.690.460.66
Net GEX-11.5K-16.6K-6.6K-7.8K-16.1K
Net DEX394.3K136.9K623.7K139.4K516.8K
Net VEX-3.9K-4.4K-3.6K-4.2K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.004.400.670.00
Total Volume17.818054500
Total OI1,948.51,6232,1611,9921,683

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$14.06$10.0063.3%18.2%68.2%21.9%63.6%13.0%-0.0%-7.8K139.4K-4.2K0.6792.49N/AN/A30206461,346
2010-06-02$14.19$10.0060.9%17.5%68.6%20.1%0.0%15.3%1.0%-7.4K136.9K-4.4K0.0093.31N/AN/A006761,366
2010-06-03$14.18$10.0062.9%18.0%68.5%21.5%0.0%10.8%-1.1%-7.6K157.9K-4.3K0.0092.31N/AN/A306761,366
2010-06-04$13.62$15.0066.9%19.0%66.8%24.5%67.1%6.8%2.6%-6.7K239.1K-4.1K4.0070.75N/AN/A10406791,366
2010-06-07$12.50$12.5070.5%19.8%65.6%27.2%71.2%1.9%-3.1%-9.3K457.6K-4.0K0.0075.14N/AN/A2606891,406
2010-06-08$11.57$12.5071.0%19.2%68.4%27.6%0.0%2.5%1.2%-10.2K623.7K-3.7K0.0076.13N/AN/A0207151,406
2010-06-09$11.84$12.5071.6%19.0%56.2%28.0%0.0%5.1%1.1%-10.3K583.1K-3.8K0.0074.61N/AN/A207151,413
2010-06-10$12.55$12.5065.3%18.7%61.7%23.3%0.0%10.0%1.7%-8.2K436.8K-3.9K0.0075.22N/AN/A0107141,413
2010-06-11$12.73$12.5060.7%17.4%62.7%19.9%56.2%11.4%9.8%-7.6K406.1K-3.9K0.2778.69N/AN/A1137141,423
2010-06-14$12.84$12.5064.8%18.6%63.1%23.0%64.9%-5.0%1.5%-6.6K356.4K-3.8K0.0083.63N/AN/A2507241,426
2010-06-15$13.24$12.5064.4%18.5%64.9%22.7%0.0%-1.9%2.4%-8.0K273.4K-3.9K0.5383.02N/AN/A30167341,426
2010-06-16$13.49$12.5064.1%18.4%64.9%22.5%58.5%1.4%2.0%-11.9K239.1K-3.9K0.0081.70N/AN/A2507171,429
2010-06-17$13.36$12.5063.9%18.3%63.8%22.3%0.0%0.7%2.8%-10.8K243.4K-3.8K0.0084.27N/AN/A1007321,429
2010-06-18$13.30$12.5062.0%17.8%61.3%20.9%63.3%1.3%4.7%-12.6K300.7K-3.8K0.8088.50N/AN/A547081,429
2010-06-21$12.89$12.5059.0%16.9%60.9%18.6%59.2%-3.3%4.7%-15.3K537.0K-3.7K4.4079.13N/AN/A10443771,246
2010-06-22$12.71$12.5058.9%16.9%59.6%18.6%0.0%9.4%6.2%-16.6K567.9K-3.7K0.0094.75N/AN/A303731,290
2010-06-23$13.24$12.5063.8%18.3%59.9%22.3%0.0%-0.1%2.1%-15.9K500.8K-3.8K0.0075.18N/AN/A2003731,290
2010-06-24$13.09$12.5063.9%18.3%59.8%22.3%0.0%1.4%1.6%-16.1K518.4K-3.8K0.0090.12N/AN/A1503931,290
2010-06-25$13.40$12.5059.9%17.2%60.0%19.3%0.0%0.8%1.5%-16.1K480.0K-3.8K0.0088.49N/AN/A004031,290
2010-06-28$13.67$12.5059.5%17.1%60.6%19.0%59.9%3.2%5.4%-14.8K417.8K-3.8K0.0091.34N/AN/A0104031,290
2010-06-29$12.93$12.5058.5%16.8%60.2%18.3%0.0%10.7%7.6%-16.4K541.9K-3.6K0.0095.76N/AN/A004031,280
2010-06-30$13.09$12.5063.1%18.1%60.3%21.7%0.0%12.5%2.5%-16.1K516.8K-3.6K0.0099.88N/AN/A004031,280