MAPP Options History — July 2010

In July 2010, MAPP traded between $12.40 and $13.99. ATM implied volatility averaged 60.3%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded above realized volatility by 6.6% (HV 20d: 53.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2010-07-13: Highest Volume — 299 contracts
  • 2010-07-12: Largest IV spike — 25.3% change
  • 2010-07-01: Highest IV Rank — 23.6%
  • 2010-07-08: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.11$12.40$13.99$12.50$13.40
Max Pain$13.93$12.50$15.00$12.50$12.50
ATM IV60.3%49.6%65.6%65.6%52.7%
Expected Move17.8%15.1%19.2%18.8%15.1%
HV 20d53.7%41.6%62.1%62.1%54.2%
HV 60d62.8%61.2%65.6%61.6%61.5%
IV Rank19.6%11.6%23.6%23.6%13.9%
IV Percentile36.6%6.0%52.4%50.0%8.7%
Term Structure0.5%-2.7%7.6%2.4%7.6%
VWIV60.0%51.3%67.0%67.0%51.3%
Skew 25d7.7%-13.9%26.6%2.3%11.1%
Skew 10d16.5%-3.8%37.0%1.8%37.0%
Call IV 25d55.1%42.4%67.2%55.0%42.4%
Put IV 25d62.9%53.3%71.2%57.3%53.5%
Bid-Ask Spread %84.8171.0698.4794.7798.10
Gamma HHI0.570.440.680.680.44
Net GEX-13.4K-17.5K-6.8K-16.0K-6.8K
Net DEX368.8K125.1K614.9K614.9K129.5K
Net VEX-3.7K-4.2K-3.5K-3.5K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.0010.000.300.00
Total Volume46.333029965251
Total OI1,900.0481,6832,1971,6832,197

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$12.50$12.5065.6%18.8%62.1%23.6%67.0%2.3%2.4%-16.0K614.9K-3.5K0.3094.77N/AN/A50154031,280
2010-07-02$12.80$12.5063.7%18.3%61.6%22.2%63.7%7.6%2.5%-15.9K524.0K-3.7K10.0098.47N/AN/A1104531,284
2010-07-06$12.57$15.0058.9%18.8%53.7%18.5%0.0%5.6%0.1%-16.7K565.2K-3.5K1.0074.20N/AN/A10104541,278
2010-07-07$12.75$15.0061.9%18.9%45.4%20.8%0.0%7.9%0.3%-16.4K537.8K-3.6K0.0074.76N/AN/A004641,278
2010-07-08$12.65$15.0059.9%19.2%45.1%19.3%0.0%7.4%-1.2%-16.8K557.5K-3.5K0.0071.06N/AN/A004641,278
2010-07-09$13.05$15.0049.6%19.1%41.6%11.6%0.0%9.6%0.8%-16.6K474.0K-3.6K0.0075.22N/AN/A2004641,278
2010-07-12$12.71$15.0062.2%18.7%42.5%21.0%0.0%6.3%0.2%-17.5K538.3K-3.5K0.0079.14N/AN/A004751,278
2010-07-13$13.75$15.0061.4%17.7%50.8%20.4%62.8%7.4%3.0%-14.9K344.2K-3.5K0.0076.78N/AN/A29904751,278
2010-07-14$13.91$15.0060.2%17.3%49.9%19.6%0.0%8.5%-1.5%-8.1K125.1K-4.2K0.0079.50N/AN/A017531,278
2010-07-15$13.32$15.0062.9%18.0%52.0%21.6%0.0%-7.2%1.0%-10.5K249.3K-4.0K0.0076.04N/AN/A007531,278
2010-07-16$12.57$15.0065.0%18.6%55.8%23.2%0.0%-13.9%-1.4%-15.5K394.6K-3.8K0.0079.43N/AN/A0207531,268
2010-07-19$12.40$15.0065.2%18.7%56.0%23.3%0.0%21.7%-2.7%-14.1K500.5K-3.6K0.0090.48N/AN/A007021,244
2010-07-20$12.67$15.0063.0%18.1%55.6%21.6%0.0%26.6%-1.2%-13.9K452.1K-3.7K0.0089.44N/AN/A007021,244
2010-07-21$12.61$15.0060.2%17.3%55.4%19.6%60.2%10.3%0.6%-13.4K406.9K-3.7K0.0085.75N/AN/A0207021,244
2010-07-22$13.47$12.5062.3%17.9%58.5%21.1%0.0%2.6%-2.2%-12.6K295.2K-3.8K0.0089.05N/AN/A007021,264
2010-07-23$13.76$12.5056.8%16.3%58.8%17.0%0.0%7.7%-0.3%-10.5K183.4K-3.9K0.0086.87N/AN/A1007021,264
2010-07-26$13.99$12.5058.8%16.9%58.5%18.5%0.0%14.4%-2.5%-9.8K125.6K-3.8K0.5687.30N/AN/A36207121,264
2010-07-27$13.90$12.5056.4%16.2%58.2%16.7%0.0%9.9%0.8%-10.1K140.5K-3.8K0.0085.74N/AN/A007331,264
2010-07-28$13.49$12.5064.1%18.4%55.5%22.4%0.0%4.8%-0.1%-11.0K242.9K-3.7K0.0091.30N/AN/A007331,264
2010-07-29$13.11$12.5055.1%15.8%56.4%15.8%55.1%12.0%3.5%-15.3K343.0K-3.5K0.0097.53N/AN/A20007331,264
2010-07-30$13.40$12.5052.7%15.1%54.2%13.9%51.3%11.1%7.6%-6.8K129.5K-3.6K0.0098.10N/AN/A25019331,264