MAPP Options History — November 2010

In November 2010, MAPP traded between $14.29 and $15.69. ATM implied volatility averaged 42.3%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 6.3% (HV 20d: 36.0%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 16 of 16 trading days. Term structure was in contango for 16 of 16 days. Put/call ratio averaged 0.05.

Notable Days

2010-11-15: Highest Volume — 453 contracts
2010-11-05: Largest IV drop — 13.2% change
2010-11-02: Highest IV Rank — 16.1%
2010-11-02: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.91	$14.29	$15.69	$15.25	$14.88
Max Pain	$13.13	$12.50	$15.00	$15.00	$12.50
ATM IV	42.3%	37.6%	50.9%	46.7%	39.2%
Expected Move	12.6%	11.2%	14.6%	13.4%	11.2%
HV 20d	36.0%	28.8%	48.6%	48.6%	28.8%
HV 60d	55.3%	53.2%	57.5%	57.5%	53.3%
IV Rank	9.9%	6.6%	16.1%	13.1%	7.7%
IV Percentile	7.1%	2.4%	22.2%	13.1%	3.2%
Term Structure	8.5%	2.4%	13.0%	6.3%	5.1%
VWIV	42.8%	35.1%	49.6%	46.7%	49.6%
Skew 25d	9.4%	-7.2%	19.0%	6.7%	16.1%
Skew 10d	12.8%	-4.5%	24.5%	9.9%	24.5%
Call IV 25d	39.4%	35.2%	49.8%	40.5%	35.2%
Put IV 25d	48.8%	35.8%	55.7%	47.1%	51.3%
Bid-Ask Spread %	90.32	84.75	103.73	97.04	88.72
Gamma HHI	0.80	0.64	0.92	0.65	0.85
Net GEX	98.2K	56.1K	179.4K	56.1K	87.8K
Net DEX	-1.4M	-1.9M	-961.3K	-1.5M	-1.4M
Net VEX	-4.0K	-4.6K	-3.3K	-4.4K	-3.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.05	0.00	0.38	0.00	0.00
Total Volume	73.313	0	453	150	0
Total OI	3,027.375	2,426	3,553	2,595	2,426

Daily Data (16 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-11-01	$15.25	$15.00	46.7%	13.4%	48.6%	13.1%	46.7%	6.7%	6.3%	56.1K	-1.5M	-4.4K	0.00	97.04	N/A	N/A	150	0	2,198	397
2010-11-02	$15.53	$15.00	50.9%	14.6%	41.1%	16.1%	0.0%	-7.2%	2.4%	65.3K	-1.8M	-4.6K	0.00	94.64	N/A	N/A	0	0	2,348	397
2010-11-03	$15.48	$15.00	45.2%	13.0%	38.7%	12.0%	0.0%	8.8%	8.2%	67.1K	-1.7M	-4.5K	0.00	100.53	N/A	N/A	0	0	2,348	397
2010-11-04	$15.69	$15.00	43.4%	12.4%	38.5%	10.7%	0.0%	10.0%	13.0%	67.4K	-1.9M	-4.3K	0.00	103.73	N/A	N/A	2	0	2,348	397
2010-11-05	$15.08	$12.50	37.6%	13.4%	38.1%	6.6%	35.1%	-7.0%	9.0%	74.9K	-1.5M	-4.2K	0.00	87.93	N/A	N/A	215	0	2,348	397
2010-11-08	$15.10	$12.50	42.6%	13.9%	36.6%	10.1%	0.0%	8.3%	7.0%	90.9K	-1.7M	-4.2K	0.38	84.75	N/A	N/A	112	43	2,543	397
2010-11-09	$14.87	$12.50	40.8%	13.2%	36.9%	8.8%	0.0%	16.5%	8.6%	90.0K	-1.4M	-4.2K	0.00	85.91	N/A	N/A	0	10	2,563	430
2010-11-10	$14.94	$12.50	40.6%	13.9%	37.0%	8.7%	0.0%	19.0%	6.5%	93.2K	-1.4M	-4.2K	0.00	85.18	N/A	N/A	10	0	2,563	440
2010-11-11	$14.79	$12.50	44.1%	12.6%	35.2%	11.2%	0.0%	17.5%	10.6%	96.4K	-1.3M	-4.0K	0.00	85.22	N/A	N/A	150	0	2,563	440
2010-11-12	$14.45	$12.50	44.1%	12.6%	35.1%	11.2%	0.0%	13.9%	10.7%	106.2K	-1.0M	-3.8K	0.00	85.89	N/A	N/A	0	0	2,713	440
2010-11-15	$14.40	$12.50	39.9%	11.4%	34.5%	8.2%	39.9%	-1.3%	12.1%	105.7K	-961.3K	-3.4K	0.00	89.68	N/A	N/A	453	0	2,713	440
2010-11-16	$14.33	$12.50	40.3%	11.6%	33.1%	8.5%	0.0%	9.9%	7.9%	115.7K	-1.1M	-3.9K	0.00	87.78	N/A	N/A	0	0	3,113	440
2010-11-17	$14.29	$12.50	41.3%	11.8%	31.3%	9.2%	0.0%	9.1%	9.4%	101.2K	-1.2M	-3.9K	0.00	90.05	N/A	N/A	0	0	3,113	440
2010-11-18	$14.74	$12.50	40.8%	11.7%	31.8%	8.8%	49.6%	17.3%	10.2%	174.4K	-1.5M	-3.9K	0.00	90.16	N/A	N/A	0	28	3,113	430
2010-11-19	$14.70	$12.50	39.9%	11.4%	30.5%	8.1%	0.0%	12.7%	9.4%	179.4K	-1.4M	-3.7K	0.00	87.95	N/A	N/A	0	0	3,113	430
2010-11-22	$14.88	$12.50	39.2%	11.2%	28.8%	7.7%	0.0%	16.1%	5.1%	87.8K	-1.4M	-3.3K	0.00	88.72	N/A	N/A	0	0	2,179	247