MAPP Options History — November 2011

In November 2011, MAPP traded between $12.27 and $14.59. ATM implied volatility averaged 48.9%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 4.7% (HV 20d: 53.6%). 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 17 of 21 days. Put/call ratio averaged 10.35.

Notable Days

  • 2011-11-25: Highest Volume — 1,746 contracts
  • 2011-11-28: Largest IV drop — 29.5% change
  • 2011-11-25: Highest IV Rank — 48.7%
  • 2011-11-25: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.64$12.27$14.59$13.88$13.75
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV48.9%40.9%60.5%46.5%43.2%
Expected Move14.3%12.2%17.3%13.3%12.4%
HV 20d53.6%45.5%58.6%54.3%54.8%
HV 60d58.2%52.7%63.3%63.3%56.1%
IV Rank32.0%20.5%48.7%28.5%23.9%
IV Percentile56.2%21.4%89.3%50.0%29.4%
Term Structure9.8%-6.9%37.3%-4.6%12.7%
VWIV55.8%40.5%71.5%52.0%71.5%
Skew 25d4.5%-8.6%17.2%10.0%2.7%
Skew 10d11.9%-14.1%33.0%18.6%10.9%
Call IV 25d50.5%39.3%64.5%53.2%39.3%
Put IV 25d55.0%42.0%65.6%63.3%42.0%
Bid-Ask Spread %104.8697.79114.28107.05110.23
Gamma HHI0.490.240.570.560.30
Net GEX30.3K1.5K43.0K39.1K11.0K
Net DEX-284.0K-873.7K409.5K-615.7K31.3K
Net VEX-7.6K-10.1K-5.4K-7.8K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.350.00122.000.000.89
Total Volume162.09501,746185
Total OI3,1762,9553,9372,9553,825

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$13.88$15.0046.5%13.3%54.3%28.5%0.0%10.0%-4.6%39.1K-615.7K-7.8K0.00107.05N/AN/A101,974981
2011-11-02$13.99$15.0044.3%12.7%54.4%25.5%0.0%12.4%-4.4%38.1K-595.3K-7.8K0.00107.35N/AN/A1001,974981
2011-11-03$14.09$15.0051.4%14.7%54.3%35.6%52.0%-5.9%-5.4%40.5K-632.1K-7.8K0.00109.17N/AN/A101,984981
2011-11-04$13.76$15.0040.9%13.7%53.4%20.5%0.0%6.0%16.1%39.6K-489.5K-7.5K0.00104.92N/AN/A001,985981
2011-11-07$13.91$15.0042.9%14.2%51.5%23.4%0.0%9.8%15.7%39.6K-519.3K-7.5K0.00102.95N/AN/A001,985981
2011-11-08$14.59$15.0046.4%14.0%54.6%28.5%48.2%17.2%9.7%43.0K-873.7K-8.0K122.00101.28N/AN/A11221,985981
2011-11-09$14.04$15.0045.2%13.9%54.8%26.7%0.0%11.0%8.6%39.5K-543.4K-7.8K0.00103.43N/AN/A001,9861,103
2011-11-10$13.76$15.0047.8%13.7%54.5%30.5%0.0%7.5%18.4%38.4K-348.1K-7.5K0.00105.81N/AN/A001,9861,103
2011-11-11$14.14$15.0045.5%13.0%55.8%27.1%0.0%12.4%17.5%41.7K-500.8K-7.7K0.00105.20N/AN/A001,9861,103
2011-11-14$13.95$15.0051.7%14.8%52.4%36.1%51.4%5.8%12.4%39.5K-491.4K-7.5K14.00105.00N/AN/A2281,9861,103
2011-11-15$14.22$15.0052.2%15.0%53.0%36.8%0.0%8.1%11.0%35.5K-575.2K-7.7K0.00105.21N/AN/A1301,9881,125
2011-11-16$13.86$15.0051.4%14.7%53.3%35.6%0.0%5.1%15.0%40.2K-479.5K-7.5K0.00105.05N/AN/A2002,0011,125
2011-11-17$13.62$15.0052.7%15.1%53.4%37.5%0.0%-0.5%15.9%37.1K-244.4K-7.2K0.00103.93N/AN/A002,0211,125
2011-11-18$13.58$15.0046.8%13.4%53.2%28.9%0.0%1.0%37.3%29.0K-375.7K-7.3K0.00103.31N/AN/A002,0211,125
2011-11-21$13.00$15.0053.8%15.4%53.7%39.2%48.6%-2.6%6.1%23.9K97.6K-6.1K1.20100.19N/AN/A562,0171,125
2011-11-22$13.00$15.0053.5%15.3%53.4%38.6%68.5%-4.0%9.0%24.3K107.8K-5.9K0.00101.26N/AN/A1502,0201,125
2011-11-23$12.50$15.0054.7%15.7%51.5%40.4%65.8%-8.6%2.5%13.1K217.4K-5.6K0.0097.79N/AN/A50002,0321,125
2011-11-25$12.27$15.0060.5%17.3%45.5%48.7%40.5%13.8%-6.9%12.8K213.9K-5.4K5.98102.39N/AN/A2501,4962,0171,125
2011-11-28$13.44$15.0042.6%12.2%58.6%23.0%0.0%0.8%11.9%8.3K409.5K-8.6K0.81114.28N/AN/A3202591,5172,171
2011-11-29$13.07$15.0052.0%14.9%55.6%36.6%71.5%-6.7%6.7%1.5K242.3K-10.0K0.00106.32N/AN/A27001,5872,350
2011-11-30$13.75$15.0043.2%12.4%54.8%23.9%0.0%2.7%12.7%11.0K31.3K-10.1K0.89110.23N/AN/A45401,6252,200