MAPP Options History — May 2011

In May 2011, MAPP traded between $15.11 and $17.00. ATM implied volatility averaged 41.9%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 8.8% (HV 20d: 33.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.45.

Notable Days

2011-05-31: Highest Volume — 30 contracts
2011-05-25: Largest IV drop — 29.0% change
2011-05-24: Highest IV Rank — 15.7%
2011-05-24: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.21	$15.11	$17.00	$15.44	$16.99
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	41.9%	34.3%	48.9%	45.5%	41.1%
Expected Move	12.2%	10.0%	14.0%	13.1%	11.8%
HV 20d	33.1%	25.4%	36.9%	32.1%	34.8%
HV 60d	30.1%	27.6%	32.7%	27.7%	32.5%
IV Rank	10.8%	5.4%	15.7%	13.3%	10.2%
IV Percentile	19.7%	3.6%	48.4%	29.0%	16.7%
Term Structure	0.2%	-4.2%	3.8%	2.8%	-0.6%
VWIV	45.2%	45.2%	45.2%	45.2%	45.2%
Skew 25d	5.8%	-1.2%	14.5%	7.8%	14.5%
Skew 10d	9.1%	-5.3%	21.2%	14.1%	21.2%
Call IV 25d	40.2%	32.2%	46.0%	39.9%	41.4%
Put IV 25d	46.0%	36.1%	56.0%	47.7%	56.0%
Bid-Ask Spread %	99.13	91.71	105.86	103.84	99.81
Gamma HHI	0.34	0.30	0.43	0.31	0.43
Net GEX	5.2K	4.1K	6.2K	4.2K	6.2K
Net DEX	-233.7K	-299.7K	-150.5K	-183.0K	-251.5K
Net VEX	-765	-908	-637	-908	-645
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.00	5.00	0.00	0.00
Total Volume	4.429	0	30	0	30
Total OI	509.19	404	556	540	425

Daily Data (21 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
2011-05-02	$15.44	$15.00	45.5%	13.1%	32.1%	13.3%	0.0%	7.8%	2.8%	4.2K	-183.0K	-908	0.00	103.84	N/A	N/A	0	0	327	213
2011-05-03	$15.11	$15.00	39.3%	11.3%	33.4%	9.0%	0.0%	5.2%	3.4%	4.1K	-150.5K	-866	0.00	105.16	N/A	N/A	0	0	327	213
2011-05-04	$15.57	$15.00	41.0%	11.8%	34.1%	10.1%	0.0%	5.1%	3.5%	4.7K	-187.2K	-841	0.00	105.61	N/A	N/A	15	0	327	213
2011-05-05	$15.31	$15.00	39.5%	11.3%	33.4%	9.1%	0.0%	2.8%	3.5%	4.5K	-170.9K	-838	0.00	105.48	N/A	N/A	0	0	327	213
2011-05-06	$15.63	$15.00	34.3%	12.4%	34.1%	5.4%	0.0%	8.1%	3.8%	5.4K	-199.3K	-795	0.00	100.05	N/A	N/A	0	0	327	213
2011-05-09	$16.05	$15.00	39.1%	12.7%	34.4%	8.8%	0.0%	-1.2%	0.0%	5.2K	-247.3K	-807	0.00	95.08	N/A	N/A	2	0	327	213
2011-05-10	$16.63	$15.00	40.4%	11.6%	36.2%	9.7%	0.0%	8.8%	3.2%	5.4K	-279.0K	-800	0.00	92.80	N/A	N/A	0	0	329	213
2011-05-11	$16.35	$15.00	45.6%	13.0%	36.9%	13.4%	0.0%	4.8%	-2.9%	4.9K	-250.0K	-836	5.00	91.71	N/A	N/A	2	10	329	213
2011-05-12	$16.52	$15.00	43.4%	12.4%	36.4%	11.8%	0.0%	8.5%	0.8%	4.8K	-252.8K	-859	0.00	93.80	N/A	N/A	0	0	331	223
2011-05-13	$16.49	$15.00	43.9%	12.6%	36.5%	12.2%	0.0%	7.5%	-1.9%	5.5K	-276.2K	-806	0.00	93.85	N/A	N/A	0	0	331	223
2011-05-16	$16.56	$15.00	44.5%	12.8%	36.5%	12.6%	0.0%	10.1%	1.5%	5.6K	-289.1K	-786	0.00	93.00	N/A	N/A	0	0	331	223
2011-05-17	$16.59	$15.00	43.9%	12.6%	36.4%	12.2%	0.0%	4.4%	-0.1%	5.7K	-284.9K	-770	0.00	96.32	N/A	N/A	5	0	331	223
2011-05-18	$16.72	$15.00	42.2%	12.1%	26.6%	11.0%	45.2%	6.9%	-0.7%	5.8K	-296.4K	-737	0.00	96.07	N/A	N/A	3	0	332	223
2011-05-19	$16.47	$15.00	43.7%	12.5%	25.4%	12.1%	0.0%	8.1%	-0.5%	5.7K	-278.2K	-745	0.00	96.27	N/A	N/A	1	0	332	223
2011-05-20	$16.43	$15.00	42.9%	12.3%	25.6%	11.5%	0.0%	6.3%	2.7%	5.0K	-299.7K	-714	0.00	97.80	N/A	N/A	2	0	333	223
2011-05-23	$15.95	$15.00	48.7%	14.0%	28.3%	15.6%	0.0%	4.3%	-0.7%	5.1K	-183.4K	-637	0.00	101.73	N/A	N/A	6	0	276	128
2011-05-24	$15.55	$15.00	48.9%	14.0%	29.6%	15.7%	0.0%	9.4%	-1.9%	4.4K	-158.7K	-653	0.00	101.74	N/A	N/A	2	0	280	128
2011-05-25	$16.36	$15.00	34.7%	10.0%	34.2%	5.7%	0.0%	-0.0%	-4.2%	5.3K	-203.1K	-645	0.00	102.50	N/A	N/A	0	10	282	128
2011-05-26	$16.70	$15.00	37.4%	10.7%	34.6%	7.6%	0.0%	-1.0%	-3.5%	5.5K	-222.8K	-686	0.00	105.86	N/A	N/A	0	0	282	138
2011-05-27	$17.00	$15.00	39.9%	11.4%	34.8%	9.4%	0.0%	1.1%	-3.0%	6.0K	-243.6K	-687	0.00	103.20	N/A	N/A	5	0	282	138
2011-05-31	$16.99	$15.00	41.1%	11.8%	34.8%	10.2%	0.0%	14.5%	-0.6%	6.2K	-251.5K	-645	0.00	99.81	N/A	N/A	30	0	287	138