MAPP Options History — July 2011

In July 2011, MAPP traded between $15.36 and $16.38. ATM implied volatility averaged 47.4%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 30.4% (HV 20d: 17.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.16.

Notable Days

2011-07-26: Highest Volume — 643 contracts
2011-07-13: Largest IV spike — 39.3% change
2011-07-28: Highest IV Rank — 98.7%
2011-07-28: Largest Expected Move — 18.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.93	$15.36	$16.38	$16.00	$15.36
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	47.4%	34.7%	65.1%	38.6%	59.9%
Expected Move	13.9%	11.1%	18.7%	11.1%	17.2%
HV 20d	17.0%	12.3%	23.7%	23.7%	16.0%
HV 60d	29.5%	27.3%	31.7%	31.7%	27.3%
IV Rank	50.1%	18.0%	98.7%	26.6%	85.3%
IV Percentile	46.6%	4.8%	99.2%	10.3%	91.7%
Term Structure	0.0%	-13.7%	16.3%	16.3%	-5.6%
VWIV	62.8%	46.0%	87.3%	48.0%	59.4%
Skew 25d	8.3%	0.6%	33.6%	1.9%	27.4%
Skew 10d	12.8%	3.5%	44.3%	7.1%	40.2%
Call IV 25d	43.8%	40.1%	56.7%	46.6%	44.8%
Put IV 25d	52.1%	43.7%	78.0%	48.6%	72.2%
Bid-Ask Spread %	101.35	91.60	105.81	105.45	100.57
Gamma HHI	0.50	0.41	0.64	0.63	0.51
Net GEX	2.2K	-6.2K	6.2K	2.6K	-6.2K
Net DEX	-130.7K	-199.0K	-3.4K	-116.7K	-3.4K
Net VEX	-768	-1.4K	-578	-666	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.16	0.00	0.82	0.00	0.06
Total Volume	52.05	0	643	0	146
Total OI	408.9	252	1,059	299	1,059

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
2011-07-01	$16.00	$15.00	38.6%	11.1%	23.7%	26.6%	0.0%	1.9%	16.3%	2.6K	-116.7K	-666	0.00	105.45	N/A	N/A	0	0	201	98
2011-07-05	$16.00	$15.00	34.7%	13.3%	22.3%	18.0%	0.0%	3.0%	1.3%	1.1K	-123.3K	-619	0.00	100.85	N/A	N/A	0	0	201	98
2011-07-06	$16.02	$15.00	37.6%	12.5%	22.2%	24.3%	0.0%	0.6%	2.6%	1.5K	-122.6K	-607	0.00	100.87	N/A	N/A	0	0	201	98
2011-07-07	$15.99	$15.00	40.0%	13.6%	19.9%	29.7%	48.0%	4.4%	0.8%	1.2K	-122.9K	-606	0.00	100.39	N/A	N/A	9	0	201	98
2011-07-08	$16.00	$15.00	35.6%	13.0%	19.9%	19.8%	0.0%	3.1%	0.5%	1.8K	-134.6K	-611	0.00	102.89	N/A	N/A	0	0	210	98
2011-07-11	$15.90	$15.00	43.3%	13.7%	20.1%	36.9%	0.0%	5.2%	1.3%	1.6K	-128.3K	-583	0.00	101.28	N/A	N/A	0	0	210	98
2011-07-12	$15.81	$15.00	45.7%	13.2%	20.3%	42.3%	46.0%	2.9%	1.8%	1.2K	-129.7K	-581	0.00	100.72	N/A	N/A	7	0	210	98
2011-07-13	$16.11	$15.00	63.6%	13.4%	18.4%	82.3%	0.0%	6.2%	2.2%	3.0K	-148.0K	-586	0.00	101.49	N/A	N/A	9	0	217	98
2011-07-14	$16.00	$15.00	46.0%	13.2%	13.6%	43.1%	0.0%	3.8%	2.0%	2.7K	-144.0K	-591	0.00	101.31	N/A	N/A	0	0	218	98
2011-07-15	$16.04	$15.00	46.4%	13.3%	13.2%	43.9%	0.0%	4.6%	0.2%	3.2K	-142.4K	-578	0.82	104.46	N/A	N/A	11	9	218	98
2011-07-18	$16.08	$15.00	43.5%	12.5%	12.9%	37.5%	0.0%	2.5%	4.1%	4.8K	-146.8K	-605	0.00	105.25	N/A	N/A	1	0	195	57
2011-07-19	$16.18	$15.00	45.8%	13.1%	12.8%	49.2%	0.0%	5.9%	1.8%	4.8K	-151.1K	-606	0.00	104.85	N/A	N/A	40	0	196	57
2011-07-20	$16.19	$15.00	45.8%	13.1%	12.3%	49.1%	0.0%	4.0%	-0.3%	5.8K	-188.2K	-711	0.00	105.81	N/A	N/A	0	0	236	57
2011-07-21	$16.38	$15.00	42.3%	12.1%	12.8%	40.2%	0.0%	5.8%	0.9%	5.7K	-199.0K	-707	0.56	103.49	N/A	N/A	18	10	236	57
2011-07-22	$16.30	$15.00	42.3%	12.1%	13.0%	40.1%	0.0%	9.0%	-2.6%	5.6K	-193.4K	-771	0.00	101.43	N/A	N/A	15	0	239	67
2011-07-25	$15.93	$15.00	48.9%	14.0%	15.3%	57.1%	0.0%	2.9%	-0.0%	5.9K	-190.9K	-796	0.06	100.88	N/A	N/A	50	3	249	67
2011-07-26	$15.50	$15.00	57.4%	16.4%	18.2%	78.7%	87.3%	19.6%	-3.3%	6.2K	-172.9K	-879	0.00	91.60	N/A	N/A	0	643	287	70
2011-07-27	$15.43	$15.00	65.0%	18.6%	16.2%	98.3%	0.0%	18.9%	-9.9%	-4.1K	-33.4K	-1.4K	0.00	99.43	N/A	N/A	0	4	287	702
2011-07-28	$15.40	$15.00	65.1%	18.7%	16.2%	98.7%	73.1%	33.6%	-13.7%	-4.6K	-22.1K	-1.4K	0.00	94.06	N/A	N/A	0	66	287	706
2011-07-29	$15.36	$15.00	59.9%	17.2%	16.0%	85.3%	59.4%	27.4%	-5.6%	-6.2K	-3.4K	-1.4K	0.00	100.57	N/A	N/A	0	146	287	772