MAPP Options History — August 2010

In August 2010, MAPP traded between $10.78 and $13.20. ATM implied volatility averaged 51.4%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 3.4% (HV 20d: 48.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2010-08-06: Highest Volume — 100 contracts
  • 2010-08-30: Largest IV spike — 66.2% change
  • 2010-08-24: Highest IV Rank — 23.2%
  • 2010-08-24: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.97$10.78$13.20$13.20$10.82
Max Pain$14.55$12.50$15.00$12.50$15.00
ATM IV51.4%34.6%65.1%56.5%56.9%
Expected Move15.0%9.9%18.7%16.2%16.3%
HV 20d48.1%43.4%56.1%54.0%48.5%
HV 60d54.6%51.8%60.4%60.4%51.8%
IV Rank13.0%0.5%23.2%16.8%17.1%
IV Percentile17.9%0.4%62.3%26.2%35.3%
Term Structure7.5%-0.6%23.2%1.4%6.4%
VWIV49.5%34.8%58.5%54.5%34.8%
Skew 25d7.7%-5.0%18.5%11.8%9.9%
Skew 10d11.3%-7.1%26.0%18.0%12.7%
Call IV 25d46.2%37.0%59.3%44.9%47.7%
Put IV 25d53.9%42.9%69.4%56.7%57.5%
Bid-Ask Spread %94.6087.88107.6399.9697.84
Gamma HHI0.480.230.780.340.47
Net GEX-9.0K-32.5K14.0K959-9.2K
Net DEX532.2K-100.4K1.1M-100.4K1.1M
Net VEX-2.8K-3.9K-1.2K-3.9K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.002.800.000.00
Total Volume19.1820100300
Total OI2,324.51,9112,5812,4471,970

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$13.20$12.5056.5%16.2%54.0%16.8%0.0%11.8%1.4%959-100.4K-3.9K0.0099.96N/AN/A0301,1831,264
2010-08-03$13.06$12.5044.2%12.7%53.7%7.6%0.0%4.0%10.2%199-27.9K-3.8K0.00107.63N/AN/A001,1831,294
2010-08-04$13.03$12.5046.1%13.2%53.5%9.0%0.0%5.5%6.3%-1.4K-4.9K-3.7K0.00107.21N/AN/A0221,1831,294
2010-08-05$12.53$12.5047.2%13.5%55.3%9.9%0.0%-5.0%3.5%-3.1K182.4K-3.6K0.00101.31N/AN/A001,1831,290
2010-08-06$12.75$15.0046.8%15.1%54.5%9.5%0.0%-4.1%8.6%-2.0K175.5K-3.6K0.0095.84N/AN/A10001,1831,290
2010-08-09$12.18$15.0049.7%15.7%56.1%11.7%0.0%18.5%6.9%-2.2K367.2K-3.3K0.0089.36N/AN/A2001,1831,290
2010-08-10$12.44$15.0050.5%15.0%48.3%12.3%0.0%9.3%9.2%-3.1K250.1K-3.4K0.0091.54N/AN/A001,2031,290
2010-08-11$12.07$15.0044.3%15.6%48.7%7.7%54.5%3.1%6.8%-2.0K422.0K-3.2K0.0090.95N/AN/A0341,2031,290
2010-08-12$11.86$15.0055.4%15.9%46.9%16.0%0.0%15.5%6.1%-3.1K476.7K-3.2K0.0087.96N/AN/A0201,2031,300
2010-08-13$12.16$15.0054.6%15.6%43.8%15.3%0.0%4.8%6.4%-129391.5K-3.2K2.8091.91N/AN/A10281,2031,320
2010-08-16$12.40$15.0054.3%15.6%44.2%15.2%0.0%4.4%8.0%3.0K335.6K-3.3K0.0092.75N/AN/A081,2131,348
2010-08-17$12.53$15.0055.9%16.0%43.7%16.3%0.0%7.1%6.6%8.5K293.5K-3.2K0.6892.26N/AN/A22151,2131,348
2010-08-18$12.38$15.0055.3%15.8%43.8%15.9%0.0%6.1%6.1%14.0K299.4K-3.1K0.0092.31N/AN/A001,2331,348
2010-08-19$11.44$15.0055.1%15.8%44.7%15.7%53.6%7.3%5.3%-23.1K788.8K-2.6K0.0089.42N/AN/A091,2331,338
2010-08-20$11.56$15.0045.8%13.1%43.9%8.8%45.9%13.5%14.8%-28.3K871.9K-2.4K1.8089.85N/AN/A10181,2331,337
2010-08-23$11.23$15.0050.1%14.4%43.4%12.0%0.0%4.2%23.2%-27.7K850.8K-2.2K0.0091.87N/AN/A1006141,297
2010-08-24$10.87$15.0065.1%18.7%44.0%23.2%58.5%10.1%1.3%-18.4K1.1M-1.5K0.0087.88N/AN/A046141,297
2010-08-25$11.24$15.0059.6%17.1%46.3%19.1%34.8%18.4%10.6%-24.1K916.5K-2.0K0.0090.75N/AN/A0126141,297
2010-08-26$11.38$15.0045.7%13.1%46.3%8.8%0.0%8.5%-0.6%-29.8K907.2K-2.1K0.0093.28N/AN/A006141,306
2010-08-27$11.40$15.0034.6%9.9%45.2%0.5%0.0%5.9%15.0%-32.5K1.0M-1.8K0.00101.47N/AN/A006141,306
2010-08-30$10.78$15.0057.5%16.5%48.3%17.5%0.0%10.7%3.0%-13.5K1.1M-1.2K0.0097.79N/AN/A5006141,306
2010-08-31$10.82$15.0056.9%16.3%48.5%17.1%0.0%9.9%6.4%-9.2K1.1M-1.2K0.0097.84N/AN/A006641,306