MAPP Options History — March 2011

In March 2011, MAPP traded between $13.79 and $16.34. ATM implied volatility averaged 46.0%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 21.5% (HV 20d: 24.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.20.

Notable Days

  • 2011-03-15: Highest Volume — 52 contracts
  • 2011-03-08: Largest IV spike — 32.5% change
  • 2011-03-16: Highest IV Rank — 19.3%
  • 2011-03-16: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.37$13.79$16.34$16.14$13.79
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV46.0%30.7%54.0%42.6%44.5%
Expected Move13.4%8.8%15.5%12.2%12.7%
HV 20d24.5%17.3%34.6%33.7%27.8%
HV 60d37.3%29.1%39.0%38.7%29.1%
IV Rank13.7%2.9%19.3%11.3%12.6%
IV Percentile30.5%2.4%54.8%13.5%23.0%
Term Structure4.4%-0.8%14.1%14.1%1.4%
VWIV52.0%48.4%61.4%51.4%61.4%
Skew 25d4.6%-9.9%21.3%6.1%7.6%
Skew 10d8.6%-81.0%34.0%28.3%15.0%
Call IV 25d43.5%35.0%55.3%46.6%52.3%
Put IV 25d48.1%42.8%63.2%52.7%60.0%
Bid-Ask Spread %104.40100.01110.32101.80103.88
Gamma HHI0.430.260.790.370.26
Net GEX5.9K1.5K17.6K6.0K1.6K
Net DEX-172.0K-294.5K-39.5K-226.8K-39.5K
Net VEX-726-901-611-901-708
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.005.000.005.00
Total Volume9.348052212
Total OI572.87222823747337

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$16.14$15.0042.6%12.2%33.7%11.3%51.4%6.1%14.1%6.0K-226.8K-9010.00101.80N/AN/A02370377
2011-03-02$16.34$15.0030.7%8.8%33.8%2.9%0.0%7.9%7.6%5.9K-294.5K-6650.00108.58N/AN/A00370375
2011-03-03$16.04$15.0040.7%11.7%34.6%9.9%0.0%9.3%12.3%6.2K-238.1K-8270.00109.13N/AN/A00370375
2011-03-04$16.29$0.0038.3%11.9%19.4%8.2%0.0%10.0%13.5%6.3K-242.4K-8670.00108.25N/AN/A80370375
2011-03-07$16.13$0.0038.2%13.0%17.8%8.1%0.0%-9.9%6.1%6.1K-260.0K-7930.00107.17N/AN/A00378375
2011-03-08$16.25$0.0050.6%13.0%17.3%16.9%0.0%1.2%5.1%6.5K-277.0K-7460.00107.80N/AN/A00378375
2011-03-09$16.34$0.0038.1%13.2%17.4%8.1%0.0%8.2%3.0%6.6K-273.1K-8290.00110.32N/AN/A00378375
2011-03-10$15.90$0.0046.9%13.4%19.9%14.3%0.0%0.9%4.2%6.2K-235.9K-7630.00107.85N/AN/A00378375
2011-03-11$15.59$0.0050.1%14.4%20.9%16.6%0.0%2.7%3.2%6.1K-199.4K-7630.00101.20N/AN/A00378375
2011-03-14$15.28$0.0051.7%14.8%21.4%17.7%0.0%0.3%2.9%6.5K-160.0K-7090.00100.29N/AN/A00378375
2011-03-15$15.26$0.0052.9%15.2%21.3%18.5%0.0%9.7%2.2%6.7K-156.8K-6930.00102.34N/AN/A520378375
2011-03-16$14.86$0.0054.0%15.5%22.8%19.3%0.0%21.3%-0.2%11.8K-132.7K-6970.00100.01N/AN/A00430375
2011-03-17$15.12$0.0048.4%13.9%24.1%15.4%48.4%-4.2%6.7%16.1K-173.5K-6821.40100.65N/AN/A1014430375
2011-03-18$15.32$15.0046.8%13.4%24.8%14.2%0.0%6.3%8.7%17.6K-267.5K-6570.00102.39N/AN/A02440383
2011-03-21$15.52$15.0049.0%14.1%25.1%15.8%0.0%9.4%4.4%3.5K-136.4K-6150.00103.92N/AN/A0320616
2011-03-22$15.36$15.0048.7%14.0%25.3%15.6%0.0%8.6%-0.8%3.5K-128.4K-6110.00102.75N/AN/A2020619
2011-03-23$15.37$15.0049.9%14.3%24.7%16.4%0.0%8.1%-0.5%3.5K-129.5K-6150.00103.92N/AN/A04020819
2011-03-24$15.09$15.0047.4%13.6%25.4%14.7%0.0%4.7%2.7%2.3K-98.1K-6880.00102.66N/AN/A0020859
2011-03-25$14.77$15.0047.7%13.7%24.2%14.9%0.0%3.1%2.0%2.1K-83.0K-6660.00104.51N/AN/A15020859
2011-03-28$14.21$15.0049.4%14.2%26.8%16.1%0.0%-1.4%1.8%2.1K-72.8K-6734.44103.87N/AN/A94022359
2011-03-29$14.43$15.0050.2%14.4%27.8%16.7%50.3%0.1%-0.5%1.5K-72.9K-7640.00102.93N/AN/A1023299
2011-03-30$14.14$15.0041.8%12.0%27.4%10.7%48.6%-3.3%1.9%1.5K-58.0K-7560.00104.94N/AN/A5023399
2011-03-31$13.79$15.0044.5%12.7%27.8%12.6%61.4%7.6%1.4%1.6K-39.5K-7085.00103.88N/AN/A21023899