MAPP Options History — August 2011

In August 2011, MAPP traded between $11.17 and $15.05. ATM implied volatility averaged 66.5%, placing in the 57.4% IV rank vs the trailing year. The 30-day expected move averaged 18.7%. IV traded above realized volatility by 7.0% (HV 20d: 59.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 6.80.

Notable Days

  • 2011-08-02: Highest Volume — 950 contracts
  • 2011-08-02: Largest IV drop — 22.5% change
  • 2011-08-01: Highest IV Rank — 100.0%
  • 2011-08-01: Largest Expected Move — 27.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.90$11.17$15.05$15.05$14.00
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV66.5%55.3%96.1%96.1%58.0%
Expected Move18.7%15.8%27.6%27.6%16.6%
HV 20d59.5%17.2%88.0%17.2%87.3%
HV 60d41.9%27.4%52.7%27.4%52.7%
IV Rank57.4%41.2%100.0%100.0%45.1%
IV Percentile94.4%83.7%100.0%100.0%88.5%
Term Structure-4.7%-29.4%1.2%-29.4%-3.2%
VWIV67.4%49.6%106.0%106.0%69.0%
Skew 25d8.8%-14.2%40.2%40.2%3.5%
Skew 10d16.5%-6.9%35.3%30.4%30.1%
Call IV 25d57.9%49.4%73.8%69.8%53.6%
Put IV 25d66.7%36.3%110.0%110.0%57.1%
Bid-Ask Spread %99.2488.70110.9991.61105.54
Gamma HHI0.500.320.680.470.32
Net GEX-9.9K-26.4K6.4K-10.3K6.3K
Net DEX195.2K-378.2K693.0K180.5K-336.0K
Net VEX-3.1K-4.9K-1.8K-1.8K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.800.0049.9021.130.00
Total Volume156.304095086332
Total OI1,852.6521,1932,6481,1931,423

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$15.05$15.0096.1%27.6%17.2%100.0%106.0%40.2%-29.4%-10.3K180.5K-1.8K21.1391.61N/AN/A39824287906
2011-08-02$14.50$15.0074.5%21.4%21.0%68.9%75.1%30.3%-18.4%-25.0K468.3K-2.5K0.2498.86N/AN/A7651853201,561
2011-08-03$14.50$15.0072.7%20.8%20.9%66.2%78.2%20.1%-15.0%-10.7K49.2K-4.9K6.1296.17N/AN/A503061,0761,572
2011-08-04$13.43$15.0070.8%20.3%32.9%63.6%59.8%-6.6%-16.3%-25.9K449.5K-4.1K2.06104.02N/AN/A17351,0661,557
2011-08-05$13.54$15.0067.4%18.2%33.3%58.7%0.0%5.9%-5.4%-18.2K330.9K-3.8K36.0093.48N/AN/A31081,0831,292
2011-08-08$12.07$15.0070.9%17.3%50.3%63.7%61.4%6.3%-0.2%-20.6K653.4K-3.2K49.9092.51N/AN/A104991,0801,228
2011-08-09$12.27$15.0078.0%18.1%51.4%73.9%63.5%7.0%-2.2%-11.7K470.6K-2.9K1.1695.40N/AN/A50581,070960
2011-08-10$11.17$15.0067.1%18.3%57.5%58.2%0.0%0.9%-1.1%-6.7K693.0K-2.3K0.00102.00N/AN/A9301,120939
2011-08-11$11.52$15.0063.5%18.2%60.0%53.0%63.5%6.4%-1.2%-7.6K441.2K-3.2K0.0088.70N/AN/A0401,283939
2011-08-12$12.20$15.0063.5%18.2%65.2%53.0%63.2%17.9%-1.4%-11.2K420.8K-3.4K4.0098.25N/AN/A10401,283919
2011-08-15$12.70$15.0062.8%18.0%67.8%52.0%62.2%-8.3%-1.3%-19.8K352.0K-3.1K0.0099.99N/AN/A0101,213909
2011-08-16$12.43$15.0061.9%17.7%67.5%50.7%61.9%23.0%-0.1%-18.8K347.7K-3.1K0.6398.18N/AN/A16101,213894
2011-08-17$12.77$15.0063.8%18.3%68.9%53.5%0.0%-1.9%-1.4%-26.4K253.2K-3.2K0.0097.45N/AN/A1001,223889
2011-08-18$12.16$15.0064.2%18.4%69.5%54.1%49.6%20.0%-4.4%-18.2K425.0K-3.0K0.2597.31N/AN/A2051,233889
2011-08-19$12.06$15.0065.1%18.7%69.4%55.3%63.4%18.5%-4.7%-18.9K444.9K-2.9K0.0097.40N/AN/A01441,243889
2011-08-22$12.34$15.0064.0%18.3%70.6%53.7%0.0%1.6%-1.7%840-82.0K-2.8K0.00103.81N/AN/A100916349
2011-08-23$12.40$15.0062.5%17.9%70.7%51.6%0.0%5.4%1.2%336-95.9K-2.8K0.00105.04N/AN/A100916349
2011-08-24$12.47$15.0063.6%18.2%70.9%53.3%0.0%3.6%0.3%402-90.3K-2.8K0.0091.72N/AN/A00926349
2011-08-25$12.26$15.0063.7%18.3%70.8%53.4%0.0%1.4%-0.5%498-59.8K-2.7K0.00104.57N/AN/A00926349
2011-08-26$12.40$15.0062.4%17.9%71.2%51.5%0.0%4.9%-0.8%43-75.7K-2.8K0.00108.30N/AN/A100926349
2011-08-29$14.20$15.0057.8%16.6%88.0%44.8%69.0%17.3%-2.2%6.4K-373.0K-3.4K0.85101.12N/AN/A10085926349
2011-08-30$14.29$15.0055.3%15.8%87.1%41.2%0.0%-14.2%0.5%6.2K-378.2K-3.8K0.00110.99N/AN/A101,016406
2011-08-31$14.00$15.0058.0%16.6%87.3%45.1%0.0%3.5%-3.2%6.3K-336.0K-3.7K0.00105.54N/AN/A3201,017406