MAPP Options History — December 2011

In December 2011, MAPP traded between $12.90 and $14.63. ATM implied volatility averaged 47.1%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 3.4% (HV 20d: 50.5%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 7.57.

Notable Days

  • 2011-12-19: Highest Volume — 1,297 contracts
  • 2011-12-28: Largest IV spike — 44.4% change
  • 2011-12-14: Highest IV Rank — 49.0%
  • 2011-12-07: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.66$12.90$14.63$13.44$13.17
Max Pain$14.88$12.50$15.00$15.00$15.00
ATM IV47.1%29.4%60.7%50.7%48.9%
Expected Move14.3%8.4%16.8%14.5%14.0%
HV 20d50.5%38.2%55.4%55.3%38.2%
HV 60d53.8%49.0%55.6%55.3%49.1%
IV Rank29.4%4.0%49.0%34.6%32.1%
IV Percentile51.1%1.2%89.3%65.9%56.7%
Term Structure14.0%-4.1%25.5%-4.1%3.1%
VWIV50.3%31.7%58.7%58.7%50.5%
Skew 25d5.5%-17.7%21.0%-3.2%9.5%
Skew 10d11.2%-2.0%26.9%16.7%18.7%
Call IV 25d44.4%30.5%53.3%44.3%42.0%
Put IV 25d49.9%30.8%57.7%41.1%51.5%
Bid-Ask Spread %102.5198.15110.44108.52102.66
Gamma HHI0.380.230.570.240.54
Net GEX-22.9K-63.3K2.1K261-60.9K
Net DEX263.4K40.1K706.9K149.2K645.9K
Net VEX-10.9K-13.4K-9.4K-9.8K-11.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.570.0073.000.830.21
Total Volume175.23801,2974474
Total OI4,5183,6145,8083,6145,500

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$13.44$15.0050.7%14.5%55.3%34.6%0.0%-3.2%-4.1%261149.2K-9.8K0.83108.52N/AN/A24201,4142,200
2011-12-02$13.61$15.0041.0%11.7%55.4%20.6%0.0%1.8%14.3%91136.4K-9.8K1.52108.97N/AN/A60911,4282,220
2011-12-05$13.59$15.0041.4%15.8%54.8%21.3%0.0%1.6%19.5%-737107.8K-9.9K0.0099.35N/AN/A2001,4842,243
2011-12-06$13.70$15.0048.1%16.7%54.7%30.8%0.0%8.5%21.0%1.4K40.1K-9.9K0.0099.08N/AN/A1601,5042,173
2011-12-07$13.75$15.0047.8%16.8%51.7%30.5%0.0%9.0%20.0%2.1K44.7K-9.9K0.0098.73N/AN/A2201,5152,173
2011-12-08$13.36$15.0047.9%16.8%50.9%30.5%0.0%3.5%19.6%-1.5K61.8K-9.8K0.00100.87N/AN/A001,5372,173
2011-12-09$13.73$15.0050.0%16.4%51.5%33.6%0.0%6.4%21.5%55158.9K-9.8K0.00101.06N/AN/A1001,5372,173
2011-12-12$13.20$15.0051.0%16.4%52.3%35.0%0.0%14.5%20.7%-2.4K187.0K-9.4K0.00103.41N/AN/A001,5472,173
2011-12-13$12.90$15.0052.2%16.4%52.6%36.8%0.0%0.4%19.7%-3.0K114.9K-9.4K0.00100.44N/AN/A201,5372,173
2011-12-14$13.28$15.0060.7%16.7%53.3%49.0%58.7%5.2%22.5%-2.1K139.0K-9.4K0.00101.57N/AN/A01,0001,5392,173
2011-12-15$13.31$15.0057.5%16.5%52.7%44.3%0.0%4.3%22.1%-28.3K539.8K-10.9K0.00101.97N/AN/A401,5393,173
2011-12-16$13.46$15.0054.5%15.6%52.6%40.1%53.0%4.4%25.5%-32.9K486.4K-11.0K0.35103.05N/AN/A43151,5393,173
2011-12-19$13.89$12.5050.6%14.5%53.8%34.5%51.5%4.6%7.4%-22.6K151.3K-11.0K9.8198.15N/AN/A1201,1771,3143,041
2011-12-20$14.50$15.0049.1%14.1%53.0%32.3%0.0%15.6%8.6%-43.9K470.6K-13.4K0.8299.73N/AN/A92751,4254,383
2011-12-21$14.63$15.0047.7%13.7%52.9%30.3%0.0%12.5%7.1%-31.4K158.3K-12.4K0.00101.71N/AN/A02001,4933,723
2011-12-22$14.38$15.0031.6%9.0%51.0%7.1%31.7%13.8%16.6%-36.4K67.9K-12.3K20.60100.90N/AN/A102061,4933,843
2011-12-23$14.01$15.0030.8%8.8%51.6%5.9%0.0%-3.6%14.4%-46.8K379.2K-12.5K73.00106.54N/AN/A1731,5034,010
2011-12-27$14.02$15.0029.4%8.4%40.8%4.0%0.0%3.7%19.0%-52.5K301.2K-11.9K0.00110.44N/AN/A2001,5044,076
2011-12-28$13.42$15.0042.4%12.2%42.7%22.7%0.0%-17.7%-1.7%-57.2K584.3K-11.9K0.00106.03N/AN/A8001,5244,076
2011-12-29$13.42$15.0055.5%15.9%38.5%41.5%56.1%21.0%-2.9%-63.3K706.9K-12.1K21.5099.61N/AN/A102151,5544,076
2011-12-30$13.17$15.0048.9%14.0%38.2%32.1%50.5%9.5%3.1%-60.9K645.9K-11.6K0.21102.66N/AN/A61131,5643,936