MAPP Options History — September 2011 In September 2011, MAPP traded between $12.77 and $15.67. ATM implied volatility averaged 57.0%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 8.5% (HV 20d: 65.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.27.
Notable Days 2011-09-12 : Highest Volume — 1,000 contracts2011-09-02 : Largest IV spike — 33.1% change2011-09-06 : Highest IV Rank — 58.0%2011-09-07 : Largest Expected Move — 17.9%Monthly Statistics Metric Avg Min Max Open Close Price $14.38 $12.77 $15.67 $13.54 $14.62 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 57.0% 44.9% 66.9% 44.9% 51.9% Expected Move 16.1% 12.9% 17.9% 12.9% 14.9% HV 20d 65.5% 49.9% 86.2% 83.7% 53.4% HV 60d 56.2% 52.9% 60.0% 52.9% 60.0% IV Rank 43.7% 26.3% 58.0% 26.3% 36.4% IV Percentile 82.0% 42.5% 96.8% 42.5% 71.4% Term Structure 1.6% -2.1% 15.4% 15.4% 3.1% VWIV 57.8% 56.4% 59.9% 59.9% 57.0% Skew 25d 8.3% -2.0% 17.6% 4.4% 2.0% Skew 10d 15.1% 4.7% 48.7% 15.7% 16.9% Call IV 25d 48.7% 40.6% 57.4% 44.1% 49.2% Put IV 25d 57.0% 47.4% 67.6% 48.5% 51.2% Bid-Ask Spread % 102.63 97.62 110.79 106.52 110.79 Gamma HHI 0.52 0.32 0.68 0.34 0.63 Net GEX 21.6K -2.2K 40.7K 2.2K 33.2K Net DEX -951.7K -1.6M -101.9K -314.3K -1.2M Net VEX -5.1K -6.3K -2.9K -3.4K -5.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.27 0.00 0.88 0.00 0.00 Total Volume 55.048 0 1,000 1 0 Total OI 1,891.524 1,415 2,406 1,455 2,009
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 2011-09-01 $13.54 $15.00 44.9% 12.9% 83.7% 26.3% 0.0% 4.4% 15.4% 2.2K -314.3K -3.4K 0.00 106.52 N/A N/A 1 0 1,049 406 2011-09-02 $12.77 $15.00 59.8% 17.1% 86.2% 47.7% 59.9% 8.5% -2.1% -1.2K -160.2K -3.2K 0.00 101.87 N/A N/A 0 10 1,050 406 2011-09-06 $12.80 $15.00 66.9% 17.8% 75.4% 58.0% 0.0% 10.5% 1.2% -2.2K -101.9K -2.9K 0.00 99.73 N/A N/A 0 0 1,050 396 2011-09-07 $13.46 $15.00 65.1% 17.9% 77.1% 55.3% 0.0% 5.3% -0.2% -1.3K -245.1K -3.1K 0.00 97.62 N/A N/A 0 0 1,050 396 2011-09-08 $13.50 $15.00 65.0% 16.9% 67.8% 55.2% 0.0% 0.9% 2.8% 3.0K -233.2K -3.2K 0.29 99.18 N/A N/A 24 7 1,050 396 2011-09-09 $13.61 $15.00 57.9% 17.8% 67.3% 44.9% 0.0% 6.7% 2.7% 1.7K -274.6K -3.0K 0.00 99.15 N/A N/A 10 0 1,026 389 2011-09-12 $13.93 $15.00 60.4% 16.2% 65.1% 48.5% 0.0% 13.5% 0.0% 4.4K -317.9K -3.2K 0.00 98.16 N/A N/A 1,000 0 1,026 389 2011-09-13 $14.19 $15.00 57.5% 16.4% 64.0% 44.4% 0.0% 16.4% -0.6% 25.7K -1.1M -6.1K 0.00 100.13 N/A N/A 0 0 2,017 389 2011-09-14 $14.18 $15.00 63.5% 16.2% 63.3% 53.0% 0.0% 15.3% -0.4% 26.1K -1.1M -6.1K 0.00 100.64 N/A N/A 0 0 2,017 389 2011-09-15 $14.30 $15.00 54.9% 15.8% 62.8% 40.7% 0.0% 15.4% 0.1% 28.2K -1.1M -6.1K 0.00 101.29 N/A N/A 0 0 2,017 389 2011-09-16 $15.21 $15.00 54.8% 15.7% 62.3% 40.4% 56.4% 12.6% -1.5% 40.7K -1.4M -6.3K 0.88 100.47 N/A N/A 25 22 2,017 389 2011-09-19 $15.14 $15.00 56.3% 16.1% 62.2% 42.7% 57.0% -2.0% 0.0% 31.6K -1.4M -6.3K 0.71 101.78 N/A N/A 24 17 1,830 140 2011-09-20 $15.08 $15.00 53.2% 15.3% 62.3% 38.2% 0.0% 7.9% 0.4% 31.8K -1.4M -6.3K 0.00 103.40 N/A N/A 0 0 1,836 157 2011-09-21 $15.11 $15.00 53.2% 15.3% 62.3% 38.3% 0.0% 7.0% 1.1% 32.1K -1.4M -6.3K 0.00 103.82 N/A N/A 16 0 1,836 157 2011-09-22 $14.62 $15.00 57.3% 16.4% 64.1% 44.2% 0.0% 17.6% 0.2% 31.3K -1.2M -6.1K 0.00 103.15 N/A N/A 0 0 1,852 157 2011-09-23 $15.67 $15.00 57.6% 16.5% 67.0% 44.5% 0.0% 14.2% 1.1% 34.7K -1.6M -6.3K 0.00 106.40 N/A N/A 0 0 1,852 157 2011-09-26 $15.32 $15.00 56.8% 16.3% 68.1% 43.4% 0.0% 9.8% 0.7% 33.0K -1.5M -6.2K 0.00 105.82 N/A N/A 0 0 1,852 157 2011-09-27 $15.62 $15.00 53.5% 15.4% 49.9% 38.7% 0.0% 9.9% 4.0% 33.6K -1.6M -6.2K 0.00 104.62 N/A N/A 0 0 1,852 157 2011-09-28 $14.64 $15.00 54.6% 15.7% 55.6% 40.3% 0.0% 0.6% -0.1% 32.4K -1.3M -5.9K 0.00 104.52 N/A N/A 0 0 1,852 157 2011-09-29 $14.61 $15.00 51.8% 14.9% 55.0% 36.2% 0.0% -1.8% 4.4% 33.3K -1.2M -5.8K 0.00 106.17 N/A N/A 0 0 1,852 157 2011-09-30 $14.62 $15.00 51.9% 14.9% 53.4% 36.4% 0.0% 2.0% 3.1% 33.2K -1.2M -5.8K 0.00 110.79 N/A N/A 0 0 1,852 157
« Aug 2011 | All History | Oct 2011 » Home MAPP History September 2011