MAPP Options History — September 2010

In September 2010, MAPP traded between $10.99 and $15.30. ATM implied volatility averaged 48.7%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 23.7% (HV 20d: 72.4%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.61.

Notable Days

  • 2010-09-24: Highest Volume — 1,032 contracts
  • 2010-09-08: Largest IV drop — 24.9% change
  • 2010-09-07: Highest IV Rank — 18.5%
  • 2010-09-07: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.63$10.99$15.30$11.42$15.30
Max Pain$16.58$15.00$17.50$15.00$15.00
ATM IV48.7%41.2%58.8%55.5%41.2%
Expected Move14.1%11.8%17.1%15.9%11.8%
HV 20d72.4%52.1%82.8%53.5%68.2%
HV 60d59.0%49.2%62.0%50.6%59.5%
IV Rank11.0%5.4%18.5%16.1%5.4%
IV Percentile11.6%2.0%42.1%27.4%2.0%
Term Structure8.0%-4.4%15.7%-4.4%15.4%
VWIV47.5%36.1%59.5%55.5%36.1%
Skew 25d6.0%-6.8%18.3%18.3%11.3%
Skew 10d9.3%-7.6%26.7%15.8%13.3%
Call IV 25d46.0%37.6%57.7%56.2%37.6%
Put IV 25d52.1%36.4%74.5%74.5%48.8%
Bid-Ask Spread %95.6288.53100.9595.26100.95
Gamma HHI0.630.270.940.790.79
Net GEX-11.1K-90.6K52.8K-26.3K52.8K
Net DEX-176.1K-1.6M1.1M815.5K-1.6M
Net VEX-2.2K-5.1K-1.2K-2.1K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.610.0015.002.000.60
Total Volume103.52401,0323268
Total OI1,694.196712,2891,9602,289

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$11.42$15.0055.5%15.9%53.5%16.1%55.5%18.3%-4.4%-26.3K815.5K-2.1K2.0095.26N/AN/A126641,296
2010-09-02$11.45$15.0047.1%13.5%52.1%9.8%0.0%-4.8%-2.7%-28.9K803.4K-2.1K0.0098.84N/AN/A006651,294
2010-09-03$11.76$0.0048.9%14.4%52.8%11.1%0.0%14.8%10.1%-37.5K770.0K-2.1K0.0092.25N/AN/A006651,294
2010-09-07$10.99$0.0058.8%17.1%55.6%18.5%59.5%1.1%7.5%-9.3K1.1M-1.2K14.0088.53N/AN/A1146651,294
2010-09-08$13.01$17.5044.1%15.2%82.8%7.5%0.0%-0.4%8.3%-90.6K189.5K-2.0K0.0092.14N/AN/A0486661,297
2010-09-09$12.80$17.5053.3%15.3%82.3%14.4%0.0%9.6%7.3%-69.5K350.7K-2.1K0.5096.94N/AN/A636661,345
2010-09-10$12.91$17.5052.4%15.0%81.9%13.7%0.0%10.2%7.5%-73.4K266.4K-2.1K0.0096.93N/AN/A1206721,346
2010-09-13$13.41$17.5053.7%15.4%82.5%14.7%0.0%4.5%7.6%-30.5K-131.1K-1.6K1.0093.97N/AN/A10106721,346
2010-09-14$13.25$17.5051.7%14.8%82.5%13.2%0.0%7.3%9.8%-44.9K-95.9K-1.6K0.0096.77N/AN/A006721,354
2010-09-15$13.52$17.5052.5%15.0%82.7%13.8%0.0%4.6%8.1%-9.7K-190.8K-1.4K0.0096.11N/AN/A006721,354
2010-09-16$13.66$17.5053.8%15.4%82.5%14.8%0.0%4.8%8.0%-8.6K-201.3K-1.4K0.0092.52N/AN/A106721,354
2010-09-17$13.99$17.5047.7%13.7%76.5%10.3%0.0%8.8%8.6%5.9K-247.1K-1.4K0.0092.65N/AN/A006721,354
2010-09-20$14.25$17.5042.6%12.2%76.5%6.4%0.0%7.6%15.7%6.1K-273.0K-1.4K1.5791.83N/AN/A1422517162
2010-09-21$14.31$17.5046.2%13.2%75.2%9.1%46.2%-6.8%8.6%6.5K-294.0K-1.4K15.0099.91N/AN/A230531140
2010-09-22$14.44$17.5044.5%12.8%73.3%7.8%0.0%11.2%9.3%6.1K-282.8K-1.4K0.0095.75N/AN/A00533170
2010-09-23$14.99$17.5044.9%12.9%73.5%8.2%44.9%2.9%10.4%6.6K-340.2K-1.4K0.3097.93N/AN/A16148533170
2010-09-24$15.28$15.0045.9%13.1%73.5%8.8%0.0%5.7%9.1%11.3K-464.2K-1.7K0.0295.75N/AN/A1,01220644190
2010-09-27$15.06$15.0045.6%13.1%74.1%8.7%45.6%4.6%8.8%33.4K-1.3M-4.5K0.5598.01N/AN/A66361,656210
2010-09-28$15.19$15.0048.3%13.9%69.4%10.7%48.3%5.4%5.6%32.9K-1.3M-4.6K1.0097.34N/AN/A881,692241
2010-09-29$15.22$15.0043.7%12.5%69.5%7.2%43.6%6.2%8.4%33.8K-1.3M-4.6K0.0297.68N/AN/A36291,700249
2010-09-30$15.30$15.0041.2%11.8%68.2%5.4%36.1%11.3%15.4%52.8K-1.6M-5.1K0.60100.95N/AN/A1671012,031258