MAPP Options History — February 2011 In February 2011, MAPP traded between $15.44 and $16.73. ATM implied volatility averaged 47.9%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 12.5% (HV 20d: 35.4%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.09.
Notable Days 2011-02-24 : Highest Volume — 104 contracts2011-02-07 : Largest IV spike — 61.4% change2011-02-17 : Highest IV Rank — 20.8%2011-02-17 : Largest Expected Move — 16.1%Monthly Statistics Metric Avg Min Max Open Close Price $16.05 $15.44 $16.73 $15.52 $16.13 Max Pain $16.84 $15.00 $17.50 $15.00 $15.00 ATM IV 47.9% 28.8% 56.1% 47.3% 52.8% Expected Move 14.0% 11.1% 16.1% 13.6% 15.1% HV 20d 35.4% 23.1% 38.3% 25.1% 33.9% HV 60d 41.9% 39.1% 45.8% 42.5% 39.1% IV Rank 15.0% 1.5% 20.8% 14.6% 18.5% IV Percentile 33.2% 1.2% 63.9% 28.6% 46.0% Term Structure 1.4% -6.4% 17.9% 1.1% -3.8% VWIV 50.6% 47.4% 53.8% 49.0% 47.4% Skew 25d 9.0% -0.8% 17.6% 8.6% 12.1% Skew 10d 13.9% 2.0% 35.4% 13.4% 35.4% Call IV 25d 41.6% 33.4% 46.9% 40.1% 40.4% Put IV 25d 50.6% 38.6% 57.4% 48.7% 52.5% Bid-Ask Spread % 98.61 88.07 109.37 100.53 106.60 Gamma HHI 0.39 0.30 0.59 0.46 0.37 Net GEX 5.7K 511 13.1K 7.7K 6.1K Net DEX -210.0K -282.0K -74.6K -130.4K -235.3K Net VEX -976 -1.1K -835 -1.1K -892 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.09 0.00 0.45 0.45 0.00 Total Volume 9.211 0 104 0 0 Total OI 763.053 648 810 773 747
Daily Data (19 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 2011-02-01 $15.52 $15.00 47.3% 13.6% 25.1% 14.6% 0.0% 8.6% 1.1% 7.7K -130.4K -1.1K 0.00 100.53 N/A N/A 0 0 383 390 2011-02-02 $15.44 $15.00 48.1% 13.8% 23.1% 15.2% 0.0% 10.0% 1.2% 7.8K -138.5K -1.1K 0.00 101.89 N/A N/A 0 0 383 390 2011-02-03 $16.73 $15.00 38.7% 11.1% 37.3% 8.5% 0.0% -0.8% 3.4% 6.2K -258.2K -1.1K 0.45 105.79 N/A N/A 11 5 383 390 2011-02-04 $16.33 $17.50 28.8% 12.4% 38.3% 1.5% 0.0% 5.0% 3.3% 6.7K -244.7K -1.1K 0.00 99.93 N/A N/A 0 0 388 395 2011-02-07 $16.10 $17.50 46.5% 13.6% 38.3% 14.0% 0.0% 9.4% 9.3% 7.7K -222.1K -1.1K 0.00 100.81 N/A N/A 0 0 388 395 2011-02-08 $16.11 $17.50 43.2% 11.9% 38.0% 11.7% 0.0% 17.6% 17.9% 7.3K -205.1K -978 0.00 109.37 N/A N/A 15 0 388 395 2011-02-09 $16.01 $17.50 44.8% 15.1% 38.1% 12.8% 0.0% 6.7% -1.2% 13.1K -249.6K -1.0K 0.00 95.52 N/A N/A 0 0 403 395 2011-02-10 $16.11 $17.50 55.8% 16.0% 38.0% 20.6% 0.0% 2.8% -1.5% 7.5K -241.9K -998 0.00 88.07 N/A N/A 0 0 403 395 2011-02-11 $16.26 $17.50 44.7% 12.8% 38.2% 12.8% 0.0% 8.2% 3.7% 6.8K -258.7K -1.0K 0.00 94.14 N/A N/A 0 0 403 395 2011-02-14 $16.33 $17.50 45.6% 13.1% 38.3% 13.4% 0.0% 8.0% 1.8% 6.1K -270.3K -984 0.00 91.71 N/A N/A 0 0 403 395 2011-02-15 $16.26 $17.50 41.9% 12.0% 37.7% 10.8% 49.0% 9.1% 5.4% 5.1K -263.1K -924 0.00 93.29 N/A N/A 0 12 403 395 2011-02-16 $16.19 $17.50 52.7% 15.1% 36.3% 18.4% 52.3% 7.5% -0.2% 4.7K -263.3K -926 0.00 90.54 N/A N/A 0 16 403 391 2011-02-17 $16.19 $17.50 56.1% 16.1% 35.6% 20.8% 0.0% 10.5% 1.0% 3.3K -262.3K -914 0.00 93.22 N/A N/A 10 0 403 407 2011-02-18 $16.00 $17.50 51.1% 14.7% 35.9% 17.3% 0.0% 6.7% 2.7% 4.0K -282.0K -954 0.00 98.05 N/A N/A 0 0 413 387 2011-02-22 $15.92 $17.50 54.7% 15.7% 35.0% 19.8% 0.0% 15.5% -6.4% 690 -99.7K -870 0.00 101.55 N/A N/A 0 0 271 377 2011-02-23 $15.65 $17.50 53.1% 15.2% 35.3% 18.7% 0.0% 14.3% -5.8% 511 -78.7K -856 0.00 99.13 N/A N/A 0 0 271 377 2011-02-24 $15.62 $17.50 53.9% 15.5% 34.3% 19.3% 53.8% 13.4% -5.0% 513 -74.6K -835 0.00 100.35 N/A N/A 104 0 271 377 2011-02-25 $16.02 $15.00 49.4% 14.2% 35.1% 16.1% 47.4% 5.9% -1.2% 5.9K -211.3K -908 0.00 103.05 N/A N/A 2 0 368 377 2011-02-28 $16.13 $15.00 52.8% 15.1% 33.9% 18.5% 0.0% 12.1% -3.8% 6.1K -235.3K -892 0.00 106.60 N/A N/A 0 0 370 377
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