MAPP Options History — October 2011

In October 2011, MAPP traded between $13.76 and $15.97. ATM implied volatility averaged 51.1%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 7.6% (HV 20d: 58.7%). 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 8 of 21 days. Put/call ratio averaged 2.63.

Notable Days

  • 2011-10-25: Highest Volume — 557 contracts
  • 2011-10-13: Largest IV spike — 20.8% change
  • 2011-10-19: Highest IV Rank — 42.0%
  • 2011-10-10: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.92$13.76$15.97$13.76$14.78
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV51.1%41.8%55.8%48.3%48.4%
Expected Move15.0%12.0%16.3%13.8%13.9%
HV 20d58.7%53.4%62.0%53.8%57.3%
HV 60d64.9%61.2%67.0%61.2%66.4%
IV Rank35.2%21.8%42.0%31.2%31.4%
IV Percentile67.3%24.2%84.1%58.3%57.9%
Term Structure-0.9%-10.4%10.5%-0.3%-10.4%
VWIV53.3%51.2%55.3%55.3%51.2%
Skew 25d8.9%-4.1%19.6%10.7%-4.1%
Skew 10d14.7%2.0%28.1%18.9%5.7%
Call IV 25d47.2%38.4%56.0%56.0%51.1%
Put IV 25d56.1%45.6%66.8%66.8%47.0%
Bid-Ask Spread %104.26101.52109.45108.23105.31
Gamma HHI0.610.540.710.630.55
Net GEX36.7K30.2K47.6K30.2K44.3K
Net DEX-1.3M-1.7M-911.0K-911.0K-1.1M
Net VEX-6.0K-8.6K-5.0K-5.3K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.630.0013.280.000.00
Total Volume56.762055700
Total OI2,202.6671,9002,9552,0092,955

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$13.76$15.0048.3%13.8%53.8%31.2%0.0%10.7%-0.3%30.2K-911.0K-5.3K0.00108.23N/AN/A001,852157
2011-10-04$14.91$15.0055.5%15.9%60.2%41.5%0.0%4.6%2.5%33.0K-1.3M-5.8K0.00107.89N/AN/A001,852157
2011-10-05$14.77$15.0053.2%15.3%58.3%38.3%0.0%5.0%2.2%32.9K-1.3M-5.7K0.00106.46N/AN/A001,852157
2011-10-06$14.96$15.0053.5%15.3%58.4%38.6%0.0%4.6%3.3%33.0K-1.3M-5.7K0.00107.81N/AN/A001,852157
2011-10-07$14.43$0.0046.7%15.9%60.2%28.9%0.0%12.2%-3.0%32.7K-1.2M-5.5K0.00102.67N/AN/A001,852157
2011-10-10$15.00$0.0052.9%16.3%61.1%37.8%0.0%19.6%-4.6%34.4K-1.3M-5.6K0.00102.95N/AN/A001,852157
2011-10-11$15.07$0.0052.6%15.7%60.9%37.4%0.0%8.3%-2.6%34.5K-1.4M-5.5K0.00101.52N/AN/A001,852157
2011-10-12$15.51$0.0045.8%15.5%61.5%27.6%0.0%0.5%0.6%33.1K-1.5M-5.6K0.00102.22N/AN/A001,852157
2011-10-13$15.77$0.0055.3%15.9%61.6%41.3%55.3%3.0%-1.8%33.7K-1.7M-5.6K0.00101.85N/AN/A2301,852157
2011-10-14$15.62$15.0051.8%14.9%58.0%36.2%0.0%0.1%-0.2%34.4K-1.6M-5.6K0.00103.53N/AN/A001,875157
2011-10-17$14.75$15.0054.4%15.6%61.6%40.0%0.0%19.4%-2.3%32.1K-1.3M-5.3K0.00102.44N/AN/A501,875157
2011-10-18$14.75$15.0053.4%15.3%61.6%38.5%0.0%16.5%-1.0%34.6K-1.2M-5.2K0.00102.23N/AN/A001,880157
2011-10-19$14.46$15.0055.8%16.0%62.0%42.0%0.0%13.9%-5.5%34.2K-1.1M-5.1K0.00102.41N/AN/A001,880157
2011-10-20$14.26$15.0055.2%15.8%61.1%41.0%0.0%7.1%-2.5%35.4K-1.0M-5.0K0.00102.53N/AN/A001,880157
2011-10-21$14.38$15.0048.9%14.0%55.3%32.1%0.0%15.1%1.0%36.0K-1.1M-5.0K0.00101.95N/AN/A501,880157
2011-10-24$14.81$15.0051.3%14.7%56.1%35.4%51.2%17.5%-2.8%47.6K-1.3M-5.0K7.80104.30N/AN/A594601,85050
2011-10-25$14.48$15.0052.9%15.2%56.0%37.7%0.0%17.1%-3.7%41.5K-1.1M-6.4K13.28102.81N/AN/A395181,890463
2011-10-26$15.11$15.0050.0%14.3%53.4%33.6%0.0%3.9%1.0%40.1K-1.1M-8.4K0.00105.63N/AN/A2001,919981
2011-10-27$15.97$15.0041.8%12.0%56.6%21.8%0.0%4.8%10.5%47.2K-1.5M-8.5K0.00105.26N/AN/A4301,925981
2011-10-28$15.73$15.0045.4%13.0%57.1%27.0%0.0%7.3%1.5%46.2K-1.5M-8.6K0.00109.45N/AN/A2001,968981
2011-10-31$14.78$15.0048.4%13.9%57.3%31.4%0.0%-4.1%-10.4%44.3K-1.1M-8.3K0.00105.31N/AN/A001,974981