MAPP Options History — January 2011

In January 2011, MAPP traded between $15.38 and $16.81. ATM implied volatility averaged 41.0%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 9.9% (HV 20d: 50.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 6.89.

Notable Days

2011-01-31: Highest Volume — 171 contracts
2011-01-10: Largest IV spike — 29.2% change
2011-01-24: Highest IV Rank — 14.5%
2011-01-24: Largest Expected Move — 13.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.23	$15.38	$16.81	$16.81	$15.38
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	41.0%	26.6%	47.1%	38.4%	46.9%
Expected Move	12.2%	8.1%	13.5%	11.0%	13.5%
HV 20d	50.9%	48.5%	54.1%	52.8%	51.3%
HV 60d	46.7%	42.1%	57.5%	57.0%	42.5%
IV Rank	9.9%	0.0%	14.5%	7.1%	14.3%
IV Percentile	13.0%	0.0%	26.6%	2.8%	26.6%
Term Structure	4.0%	-1.4%	17.6%	4.2%	4.0%
VWIV	41.6%	34.6%	46.2%	44.0%	46.2%
Skew 25d	4.1%	-3.3%	12.2%	-1.6%	7.5%
Skew 10d	8.2%	-6.5%	30.8%	8.2%	11.1%
Call IV 25d	40.4%	30.2%	46.0%	38.1%	39.9%
Put IV 25d	44.5%	35.9%	49.0%	36.5%	47.4%
Bid-Ask Spread %	94.73	82.93	110.78	102.07	96.55
Gamma HHI	0.49	0.29	0.71	0.45	0.30
Net GEX	12.4K	1.3K	25.4K	13.5K	1.3K
Net DEX	-443.8K	-661.8K	-25.1K	-629.1K	-25.1K
Net VEX	-924	-1.3K	-669	-1.1K	-847
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.89	0.00	29.00	10.00	0.21
Total Volume	25.45	0	171	3	171
Total OI	1,004.95	468	1,257	1,124	602

Daily Data (20 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
2011-01-03	$16.81	$15.00	38.4%	11.0%	52.8%	7.1%	0.0%	-1.6%	4.2%	13.5K	-629.1K	-1.1K	0.00	102.07	N/A	N/A	0	3	557	567
2011-01-04	$16.30	$15.00	28.3%	8.1%	54.1%	0.0%	0.0%	12.2%	13.7%	22.3K	-621.1K	-1.1K	0.00	106.54	N/A	N/A	0	23	557	567
2011-01-05	$16.44	$15.00	35.6%	10.2%	54.1%	5.2%	0.0%	5.8%	17.6%	11.1K	-521.5K	-1.3K	0.00	110.78	N/A	N/A	0	30	557	587
2011-01-06	$16.35	$15.00	36.5%	10.5%	51.3%	5.9%	0.0%	5.3%	-1.2%	17.7K	-580.0K	-1.1K	0.00	101.39	N/A	N/A	0	40	557	617
2011-01-07	$16.58	$15.00	26.6%	12.3%	51.4%	0.0%	0.0%	6.5%	1.1%	16.8K	-661.8K	-945	10.00	89.25	N/A	N/A	1	10	557	657
2011-01-10	$16.75	$15.00	34.4%	12.6%	51.2%	5.5%	0.0%	7.5%	1.3%	14.8K	-634.3K	-1.0K	0.00	86.30	N/A	N/A	0	10	558	667
2011-01-11	$16.67	$15.00	40.9%	12.4%	51.2%	10.1%	0.0%	-1.5%	5.6%	14.4K	-624.1K	-1.1K	0.00	82.93	N/A	N/A	0	10	558	677
2011-01-12	$16.78	$15.00	36.5%	12.3%	51.1%	7.0%	0.0%	-0.3%	3.0%	13.2K	-594.1K	-1.0K	0.00	84.82	N/A	N/A	1	0	518	687
2011-01-13	$16.81	$15.00	43.0%	12.3%	48.5%	11.5%	0.0%	7.2%	2.1%	13.6K	-599.3K	-930	0.00	88.83	N/A	N/A	0	0	518	687
2011-01-14	$16.72	$15.00	43.1%	12.4%	48.7%	11.7%	0.0%	-3.3%	2.4%	13.5K	-595.9K	-935	0.00	88.26	N/A	N/A	0	10	518	687
2011-01-18	$16.40	$15.00	44.1%	12.7%	48.9%	12.4%	44.0%	1.0%	4.4%	15.7K	-609.2K	-801	0.00	87.79	N/A	N/A	0	28	518	697
2011-01-19	$15.95	$15.00	45.9%	13.2%	50.3%	13.6%	0.0%	0.3%	0.5%	14.7K	-587.6K	-770	5.00	91.76	N/A	N/A	2	10	518	719
2011-01-20	$15.66	$15.00	46.5%	13.3%	50.7%	14.0%	0.0%	10.4%	2.2%	25.4K	-550.2K	-745	0.00	98.61	N/A	N/A	0	10	518	729
2011-01-21	$15.62	$15.00	45.6%	13.1%	49.8%	13.4%	0.0%	-0.1%	6.3%	24.3K	-545.3K	-752	0.00	93.40	N/A	N/A	10	0	518	739
2011-01-24	$15.98	$15.00	47.1%	13.5%	50.1%	14.5%	0.0%	3.8%	-1.4%	5.1K	-149.5K	-669	0.00	97.28	N/A	N/A	0	40	231	237
2011-01-25	$15.80	$15.00	45.7%	13.1%	50.3%	13.5%	0.0%	1.3%	2.2%	3.5K	-116.2K	-784	29.00	94.69	N/A	N/A	1	29	231	271
2011-01-26	$16.15	$15.00	43.5%	12.5%	50.6%	11.9%	34.6%	8.6%	6.1%	3.8K	-126.9K	-785	4.00	96.29	N/A	N/A	10	40	232	300
2011-01-27	$15.88	$15.00	43.9%	12.6%	50.3%	12.2%	0.0%	0.6%	4.1%	1.9K	-64.6K	-923	0.00	96.72	N/A	N/A	0	20	242	340
2011-01-28	$15.50	$15.00	47.1%	13.5%	51.3%	14.4%	0.0%	10.0%	1.8%	1.3K	-40.4K	-912	0.00	100.32	N/A	N/A	0	0	242	360
2011-01-31	$15.38	$15.00	46.9%	13.5%	51.3%	14.3%	46.2%	7.5%	4.0%	1.3K	-25.1K	-847	0.21	96.55	N/A	N/A	141	30	242	360