MAPP Options History — October 2010

In October 2010, MAPP traded between $15.08 and $16.60. ATM implied volatility averaged 45.5%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 0.5% (HV 20d: 46.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2010-10-04: Highest Volume — 160 contracts
  • 2010-10-11: Largest IV spike — 49.3% change
  • 2010-10-13: Highest IV Rank — 18.6%
  • 2010-10-12: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.78$15.08$16.60$15.42$15.23
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV45.5%28.5%54.4%40.4%48.0%
Expected Move14.5%11.6%15.6%11.6%13.8%
HV 20d46.1%36.8%68.6%68.1%48.9%
HV 60d58.1%56.9%60.6%59.4%57.6%
IV Rank11.8%0.0%18.6%4.8%14.0%
IV Percentile14.3%0.0%32.1%2.0%15.9%
Term Structure4.2%1.1%10.5%10.5%3.0%
VWIV49.9%40.3%53.5%40.3%48.1%
Skew 25d3.8%-8.7%29.8%29.8%5.4%
Skew 10d6.0%-9.8%68.8%68.8%9.9%
Call IV 25d47.1%35.7%53.5%39.7%40.1%
Put IV 25d50.9%42.2%69.5%69.5%45.5%
Bid-Ask Spread %86.0570.64102.92102.9298.33
Gamma HHI0.640.540.820.810.61
Net GEX55.9K44.6K78.2K61.7K52.8K
Net DEX-2.1M-2.9M-1.3M-1.8M-1.5M
Net VEX-5.1K-5.6K-4.6K-5.5K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.040.000.00
Total Volume31.4290160500
Total OI2,702.6672,4242,9772,5342,595

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$15.42$15.0040.4%11.6%68.1%4.8%40.3%29.8%10.5%61.7K-1.8M-5.5K0.00102.92N/AN/A5002,176358
2010-10-04$15.22$15.0041.3%15.0%68.6%5.4%53.2%5.0%1.1%66.3K-1.7M-5.5K0.0074.39N/AN/A16002,226358
2010-10-05$16.37$15.0030.3%14.4%64.7%0.0%51.0%3.1%3.7%55.9K-2.6M-5.3K0.0070.64N/AN/A12602,386358
2010-10-06$15.73$15.0028.5%15.6%37.9%0.0%51.2%5.6%1.4%78.2K-2.4M-5.6K0.0073.95N/AN/A7402,496358
2010-10-07$16.00$15.0033.7%15.0%36.8%3.8%0.0%6.0%2.0%68.0K-2.6M-5.6K0.0075.99N/AN/A022,565358
2010-10-08$16.60$15.0029.5%14.0%37.9%0.8%0.0%2.2%3.4%57.6K-2.9M-5.4K0.0080.01N/AN/A002,565356
2010-10-11$16.06$15.0044.1%15.3%39.9%11.2%0.0%-1.8%1.6%58.9K-2.7M-5.3K0.0081.13N/AN/A402,565356
2010-10-12$16.03$15.0047.7%15.6%39.3%13.7%53.5%-3.8%2.4%58.3K-2.7M-5.3K0.0479.83N/AN/A5022,569356
2010-10-13$15.95$15.0054.4%15.1%39.4%18.6%0.0%-1.0%4.3%63.3K-2.7M-5.3K0.0085.80N/AN/A202,619358
2010-10-14$16.40$15.0050.9%14.6%40.0%16.1%48.0%-0.9%4.2%50.3K-2.9M-5.2K0.0081.66N/AN/A082,617358
2010-10-15$16.01$15.0051.8%14.9%41.3%16.7%50.4%-2.2%3.4%54.5K-2.8M-5.1K0.0081.62N/AN/A1002,617358
2010-10-18$15.66$15.0053.3%15.3%42.3%17.7%53.3%-4.2%2.9%49.1K-1.7M-5.0K0.0086.19N/AN/A0802,107317
2010-10-19$15.19$15.0052.4%15.0%44.1%17.2%0.0%-6.9%6.3%44.6K-1.4M-5.0K0.0091.11N/AN/A002,107397
2010-10-20$15.59$15.0053.7%15.4%44.8%18.1%0.0%6.1%2.0%47.3K-1.7M-5.0K0.0088.16N/AN/A002,107397
2010-10-21$15.08$15.0048.6%13.9%44.8%14.4%48.1%-8.7%7.1%45.6K-1.3M-4.8K0.0090.88N/AN/A7102,107397
2010-10-22$15.43$15.0048.9%14.0%45.0%14.6%0.0%6.9%4.6%51.1K-1.6M-4.9K0.0093.77N/AN/A002,177397
2010-10-25$15.87$15.0049.8%14.3%45.7%15.2%0.0%11.0%3.1%51.1K-1.8M-4.9K0.0086.52N/AN/A002,177397
2010-10-26$15.71$15.0048.5%13.9%45.8%14.3%0.0%11.8%6.7%52.8K-1.7M-4.7K0.0097.07N/AN/A1102,177397
2010-10-27$15.88$15.0050.4%14.4%46.0%15.7%0.0%13.6%6.8%54.1K-1.8M-4.7K0.0091.16N/AN/A002,188397
2010-10-28$15.94$15.0049.4%14.2%45.9%15.0%0.0%2.8%8.0%51.3K-1.9M-4.8K0.0095.81N/AN/A1002,188397
2010-10-29$15.23$15.0048.0%13.8%48.9%14.0%0.0%5.4%3.0%52.8K-1.5M-4.6K0.0098.33N/AN/A002,198397