MAPP Options History — April 2011

In April 2011, MAPP traded between $13.95 and $15.42. ATM implied volatility averaged 44.5%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 12.6% (HV 20d: 31.9%). 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 19 of 20 days. Put/call ratio averaged 0.67.

Notable Days

2011-04-25: Highest Volume — 110 contracts
2011-04-04: Largest IV spike — 45.1% change
2011-04-11: Highest IV Rank — 17.2%
2011-04-12: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.78	$13.95	$15.42	$13.95	$15.42
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	44.5%	31.8%	50.9%	31.8%	40.3%
Expected Move	13.2%	9.1%	14.6%	9.1%	11.6%
HV 20d	31.9%	27.4%	38.2%	27.4%	32.1%
HV 60d	30.8%	29.1%	32.7%	29.1%	32.3%
IV Rank	12.6%	3.7%	17.2%	3.7%	9.7%
IV Percentile	26.7%	2.8%	50.0%	2.8%	10.7%
Term Structure	4.2%	-2.2%	12.7%	12.7%	8.9%
VWIV	49.3%	45.7%	57.5%	57.5%	45.7%
Skew 25d	6.3%	-9.5%	19.5%	19.5%	5.8%
Skew 10d	15.9%	1.6%	81.9%	25.1%	10.5%
Call IV 25d	43.0%	37.6%	51.6%	37.8%	37.6%
Put IV 25d	49.3%	31.1%	57.5%	57.3%	43.4%
Bid-Ask Spread %	100.15	94.57	105.61	105.61	102.81
Gamma HHI	0.29	0.26	0.38	0.26	0.30
Net GEX	2.2K	990	3.9K	1.3K	3.9K
Net DEX	-106.4K	-173.7K	-32.8K	-37.9K	-173.7K
Net VEX	-856	-945	-675	-713	-945
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.00	4.50	0.00	0.00
Total Volume	14.75	0	110	5	1
Total OI	437.05	346	539	349	539

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
2011-04-01	$13.95	$15.00	31.8%	9.1%	27.4%	3.7%	0.0%	19.5%	12.7%	1.3K	-37.9K	-713	0.00	105.61	N/A	N/A	5	0	240	109
2011-04-04	$14.03	$15.00	46.2%	13.8%	27.8%	13.8%	57.5%	5.8%	4.6%	990	-32.8K	-675	3.00	94.57	N/A	N/A	5	15	237	109
2011-04-05	$14.34	$15.00	40.6%	14.3%	29.3%	9.9%	0.0%	-2.3%	4.2%	1.2K	-62.3K	-754	0.56	95.53	N/A	N/A	18	10	242	124
2011-04-06	$14.78	$15.00	41.4%	13.8%	31.8%	10.4%	47.9%	16.0%	3.8%	1.4K	-72.2K	-858	0.00	97.81	N/A	N/A	39	0	260	134
2011-04-07	$14.80	$15.00	45.3%	14.0%	30.7%	13.2%	48.7%	3.0%	3.9%	2.6K	-114.3K	-924	0.00	98.03	N/A	N/A	0	2	299	134
2011-04-08	$15.15	$15.00	40.3%	14.1%	31.5%	9.6%	0.0%	5.4%	3.9%	2.9K	-138.1K	-933	0.00	98.85	N/A	N/A	10	0	299	134
2011-04-11	$15.11	$15.00	50.9%	14.4%	30.8%	17.2%	0.0%	8.3%	2.2%	3.2K	-145.0K	-929	0.00	98.73	N/A	N/A	10	0	304	134
2011-04-12	$15.08	$15.00	49.0%	14.6%	30.8%	15.8%	0.0%	6.5%	2.0%	3.1K	-158.2K	-927	0.00	99.35	N/A	N/A	0	0	314	134
2011-04-13	$14.88	$15.00	47.7%	14.1%	29.6%	14.9%	0.0%	15.6%	2.0%	2.9K	-137.2K	-877	0.00	99.24	N/A	N/A	0	20	312	134
2011-04-14	$14.92	$15.00	49.9%	14.3%	28.9%	16.5%	0.0%	16.5%	0.7%	2.3K	-118.8K	-936	0.00	100.97	N/A	N/A	11	0	312	154
2011-04-15	$15.01	$15.00	49.2%	14.1%	28.6%	16.0%	0.0%	4.2%	-2.2%	1.3K	-123.1K	-877	0.00	98.90	N/A	N/A	0	0	312	154
2011-04-18	$14.97	$15.00	49.1%	14.1%	28.1%	15.9%	0.0%	15.7%	2.0%	3.1K	-121.2K	-876	0.00	101.44	N/A	N/A	5	0	296	123
2011-04-19	$14.08	$15.00	45.0%	12.9%	35.1%	13.0%	46.5%	5.2%	4.8%	2.3K	-69.7K	-792	0.00	99.31	N/A	N/A	9	0	291	123
2011-04-20	$14.63	$15.00	42.8%	12.3%	38.2%	11.4%	0.0%	-1.1%	5.5%	2.4K	-84.9K	-792	0.00	103.12	N/A	N/A	0	0	291	123
2011-04-21	$14.67	$15.00	42.4%	12.1%	37.8%	11.1%	0.0%	-1.3%	6.7%	2.6K	-95.8K	-799	0.00	105.31	N/A	N/A	0	0	291	123
2011-04-25	$14.62	$15.00	42.5%	12.2%	37.1%	11.2%	0.0%	-9.5%	6.0%	2.6K	-89.1K	-753	4.50	96.90	N/A	N/A	20	90	291	123
2011-04-26	$14.92	$15.00	44.8%	12.8%	34.9%	12.8%	0.0%	2.0%	4.8%	1.8K	-117.5K	-938	0.00	102.85	N/A	N/A	0	0	301	213
2011-04-27	$15.02	$15.00	45.2%	13.0%	34.6%	13.1%	0.0%	5.3%	4.8%	1.2K	-110.0K	-915	0.00	103.11	N/A	N/A	0	0	301	213
2011-04-28	$15.22	$15.00	45.9%	13.2%	33.7%	13.6%	45.7%	4.7%	3.7%	1.5K	-125.5K	-907	0.00	100.56	N/A	N/A	25	0	301	213
2011-04-29	$15.42	$15.00	40.3%	11.6%	32.1%	9.7%	0.0%	5.8%	8.9%	3.9K	-173.7K	-945	0.00	102.81	N/A	N/A	1	0	326	213