MAPP Options History — June 2011

In June 2011, MAPP traded between $15.00 and $16.71. ATM implied volatility averaged 42.9%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 8.3% (HV 20d: 34.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.32.

Notable Days

2011-06-17: Highest Volume — 83 contracts
2011-06-03: Largest IV spike — 49.7% change
2011-06-17: Highest IV Rank — 42.0%
2011-06-14: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.57	$15.00	$16.71	$16.71	$15.97
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	42.9%	36.8%	55.1%	40.4%	39.9%
Expected Move	11.9%	10.5%	13.1%	11.6%	11.4%
HV 20d	34.6%	28.9%	38.4%	34.4%	30.2%
HV 60d	33.5%	32.3%	34.6%	32.6%	32.3%
IV Rank	23.3%	7.2%	42.0%	9.7%	29.5%
IV Percentile	26.2%	6.3%	72.6%	13.1%	13.9%
Term Structure	5.1%	-0.7%	15.7%	-0.7%	11.6%
VWIV	42.6%	40.1%	45.7%	40.1%	45.7%
Skew 25d	5.4%	-3.1%	12.3%	9.7%	11.5%
Skew 10d	15.0%	-1.0%	94.2%	17.2%	94.2%
Call IV 25d	40.1%	30.1%	48.3%	41.7%	32.8%
Put IV 25d	45.5%	38.6%	54.0%	51.5%	44.3%
Bid-Ask Spread %	101.44	92.89	107.17	100.27	106.61
Gamma HHI	0.47	0.38	0.54	0.50	0.48
Net GEX	3.5K	232	7.3K	7.2K	1.2K
Net DEX	-123.5K	-258.9K	-59.4K	-258.9K	-114.1K
Net VEX	-652	-728	-553	-728	-664
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.32	0.00	10.00	0.00	0.00
Total Volume	8.818	0	83	17	0
Total OI	408.364	269	507	455	299

Daily Data (22 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
2011-06-01	$16.71	$15.00	40.4%	11.6%	34.4%	9.7%	40.1%	9.7%	-0.7%	7.2K	-258.9K	-728	0.00	100.27	N/A	N/A	17	0	317	138
2011-06-02	$16.61	$15.00	36.8%	10.5%	33.2%	7.2%	0.0%	2.3%	0.4%	7.3K	-246.4K	-727	0.00	104.67	N/A	N/A	0	0	322	138
2011-06-03	$15.77	$15.00	55.1%	11.5%	38.0%	20.1%	0.0%	3.5%	6.9%	6.2K	-182.2K	-649	0.00	94.50	N/A	N/A	0	0	322	138
2011-06-06	$15.44	$15.00	52.7%	12.2%	38.1%	18.4%	42.0%	7.9%	4.5%	5.4K	-157.0K	-609	10.00	97.49	N/A	N/A	4	40	322	138
2011-06-07	$15.38	$15.00	42.2%	12.1%	36.8%	11.0%	0.0%	12.3%	4.8%	4.2K	-140.6K	-672	0.00	92.89	N/A	N/A	0	0	326	178
2011-06-08	$15.00	$15.00	49.2%	12.8%	34.8%	15.9%	0.0%	6.4%	-0.7%	3.0K	-91.2K	-670	0.00	103.08	N/A	N/A	0	0	326	178
2011-06-09	$15.01	$15.00	43.0%	12.3%	34.5%	11.6%	0.0%	7.4%	3.3%	3.1K	-98.9K	-659	0.00	97.34	N/A	N/A	0	0	326	178
2011-06-10	$15.01	$15.00	43.8%	12.6%	34.2%	12.1%	0.0%	8.0%	1.7%	3.6K	-99.0K	-642	0.00	97.44	N/A	N/A	0	0	326	178
2011-06-13	$15.05	$15.00	45.7%	13.1%	34.2%	13.5%	45.7%	5.5%	1.5%	4.3K	-104.6K	-612	3.33	101.92	N/A	N/A	3	10	326	178
2011-06-14	$15.53	$15.00	45.8%	13.1%	36.5%	13.5%	0.0%	1.1%	3.3%	4.2K	-143.0K	-613	0.00	99.56	N/A	N/A	0	0	329	178
2011-06-15	$15.03	$15.00	43.8%	12.5%	37.9%	38.1%	0.0%	5.7%	4.2%	5.7K	-108.8K	-602	0.00	98.08	N/A	N/A	0	0	329	178
2011-06-16	$15.20	$15.00	43.9%	12.6%	38.0%	38.4%	0.0%	5.1%	3.5%	6.7K	-121.1K	-586	0.00	102.70	N/A	N/A	0	0	329	178
2011-06-17	$15.36	$15.00	45.5%	13.1%	38.2%	42.0%	0.0%	7.2%	2.0%	6.4K	-143.7K	-553	0.57	102.78	N/A	N/A	53	30	329	178
2011-06-20	$15.49	$15.00	39.0%	11.2%	38.4%	27.5%	0.0%	11.1%	7.2%	232	-59.4K	-642	0.00	101.86	N/A	N/A	0	3	171	98
2011-06-21	$15.67	$15.00	42.7%	12.3%	37.4%	35.8%	0.0%	0.4%	5.6%	899	-71.8K	-653	0.00	101.66	N/A	N/A	4	0	171	98
2011-06-22	$15.71	$15.00	39.3%	11.3%	36.3%	28.1%	0.0%	-3.1%	5.3%	736	-75.7K	-636	0.00	102.31	N/A	N/A	30	0	171	98
2011-06-23	$15.75	$15.00	44.3%	12.7%	31.1%	39.4%	0.0%	9.9%	2.6%	1.9K	-101.9K	-710	0.00	104.88	N/A	N/A	0	0	201	98
2011-06-24	$15.61	$15.00	40.0%	11.5%	30.0%	29.8%	0.0%	-2.5%	7.4%	1.2K	-92.4K	-693	0.00	102.34	N/A	N/A	0	0	201	98
2011-06-27	$15.52	$15.00	37.9%	10.9%	28.9%	25.0%	0.0%	2.8%	8.2%	762	-92.9K	-680	0.00	107.17	N/A	N/A	0	0	201	98
2011-06-28	$15.87	$15.00	36.9%	10.6%	30.4%	22.8%	0.0%	7.8%	14.7%	962	-106.8K	-672	0.00	107.00	N/A	N/A	0	0	201	98
2011-06-29	$15.87	$15.00	37.0%	10.6%	30.1%	23.0%	0.0%	-1.4%	15.7%	1.9K	-106.9K	-678	0.00	105.17	N/A	N/A	0	0	201	98
2011-06-30	$15.97	$15.00	39.9%	11.4%	30.2%	29.5%	0.0%	11.5%	11.6%	1.2K	-114.1K	-664	0.00	106.61	N/A	N/A	0	0	201	98