MAPP Options History — January 2012

In January 2012, MAPP traded between $13.45 and $14.83. ATM implied volatility averaged 41.7%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 3.0% (HV 20d: 44.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.58.

Notable Days

2012-01-05: Highest Volume — 345 contracts
2012-01-12: Largest IV spike — 37.1% change
2012-01-19: Highest IV Rank — 38.1%
2012-01-19: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.16	$13.45	$14.83	$13.45	$14.15
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	41.7%	31.3%	54.5%	37.7%	49.2%
Expected Move	12.6%	9.0%	15.6%	10.8%	14.1%
HV 20d	44.7%	38.7%	48.4%	38.7%	46.4%
HV 60d	49.3%	46.4%	51.4%	49.2%	46.5%
IV Rank	19.8%	6.6%	38.1%	15.9%	30.3%
IV Percentile	28.0%	2.4%	77.4%	8.3%	58.7%
Term Structure	39.3%	7.9%	60.0%	8.6%	36.6%
VWIV	51.6%	47.3%	56.0%	47.3%	56.0%
Skew 25d	3.5%	-8.3%	13.6%	-4.9%	-4.4%
Skew 10d	13.0%	-0.5%	21.0%	8.6%	14.1%
Call IV 25d	42.6%	28.6%	52.0%	36.9%	48.4%
Put IV 25d	46.1%	32.0%	53.9%	32.0%	44.1%
Bid-Ask Spread %	103.72	100.78	108.56	108.56	105.71
Gamma HHI	0.32	0.23	0.56	0.56	0.24
Net GEX	-18.3K	-63.3K	9.6K	-63.3K	9.6K
Net DEX	-178.8K	-524.9K	396.7K	396.7K	-524.9K
Net VEX	-11.7K	-12.6K	-10.9K	-11.4K	-12.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.00	2.86	0.00	0.55
Total Volume	84.5	2	345	78	85
Total OI	5,641.1	4,760	6,137	5,558	5,230

Daily Data (20 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
2012-01-03	$13.45	$15.00	37.7%	10.8%	38.7%	15.9%	0.0%	-4.9%	8.6%	-63.3K	396.7K	-11.4K	0.00	108.56	N/A	N/A	78	0	1,620	3,938
2012-01-04	$14.04	$15.00	31.3%	9.0%	41.7%	6.6%	0.0%	8.7%	22.7%	-47.7K	225.3K	-11.7K	0.00	107.76	N/A	N/A	41	0	1,698	3,938
2012-01-05	$14.36	$15.00	34.8%	10.0%	42.3%	11.8%	0.0%	-1.4%	7.9%	-39.8K	-36.4K	-12.0K	0.21	105.33	N/A	N/A	285	60	1,739	3,938
2012-01-06	$14.53	$15.00	33.4%	12.7%	42.4%	9.7%	0.0%	13.6%	47.3%	-30.8K	-212.0K	-12.6K	0.00	101.47	N/A	N/A	29	0	2,010	3,998
2012-01-09	$14.15	$15.00	31.6%	13.3%	42.2%	7.1%	0.0%	8.2%	48.4%	-36.4K	-77.0K	-12.2K	2.20	101.30	N/A	N/A	10	22	2,024	3,998
2012-01-10	$14.72	$15.00	36.8%	13.1%	43.3%	11.8%	0.0%	12.1%	46.0%	-30.0K	-152.1K	-12.3K	0.07	101.67	N/A	N/A	70	5	2,024	4,019
2012-01-11	$14.83	$15.00	33.5%	13.1%	40.3%	6.9%	0.0%	13.3%	46.7%	-9.1K	-421.9K	-11.9K	0.00	100.82	N/A	N/A	6	0	2,064	4,019
2012-01-12	$14.64	$15.00	45.9%	13.2%	39.5%	25.4%	0.0%	13.5%	46.6%	-20.5K	-385.8K	-12.1K	0.00	100.87	N/A	N/A	10	0	2,070	4,019
2012-01-13	$13.79	$15.00	41.3%	11.9%	44.9%	18.6%	0.0%	-2.3%	42.0%	-34.5K	64.6K	-11.5K	2.00	102.69	N/A	N/A	10	20	2,073	4,019
2012-01-17	$13.62	$15.00	44.5%	12.8%	45.2%	23.3%	0.0%	-0.8%	60.0%	-25.6K	62.2K	-10.9K	0.00	103.34	N/A	N/A	0	2	2,076	4,039
2012-01-18	$14.05	$15.00	43.8%	12.6%	46.3%	22.3%	0.0%	9.8%	48.0%	-39.3K	159.9K	-11.4K	0.12	103.41	N/A	N/A	86	10	2,076	4,039
2012-01-19	$13.61	$15.00	54.5%	15.6%	46.5%	38.1%	0.0%	4.3%	42.3%	-23.6K	85.4K	-10.9K	0.00	105.52	N/A	N/A	82	0	2,104	4,029
2012-01-20	$14.39	$15.00	46.1%	13.2%	48.2%	25.7%	0.0%	11.3%	45.5%	-29.0K	-101.9K	-11.3K	0.06	103.82	N/A	N/A	181	10	2,108	4,029
2012-01-23	$14.27	$15.00	46.9%	13.4%	48.2%	26.8%	47.3%	9.3%	38.4%	8.1K	-421.9K	-11.2K	0.45	100.78	N/A	N/A	83	37	2,244	2,516
2012-01-24	$14.45	$15.00	46.9%	13.5%	48.0%	26.9%	0.0%	-3.0%	40.0%	9.3K	-494.4K	-11.6K	2.86	104.74	N/A	N/A	7	20	2,326	2,551
2012-01-25	$14.09	$15.00	40.9%	11.7%	48.0%	18.0%	0.0%	-8.3%	40.5%	9.0K	-473.7K	-11.5K	0.06	103.06	N/A	N/A	163	10	2,333	2,571
2012-01-26	$13.84	$15.00	43.9%	12.6%	48.4%	22.4%	56.0%	1.8%	36.5%	9.0K	-341.2K	-11.5K	1.59	101.47	N/A	N/A	39	62	2,476	2,571
2012-01-27	$14.19	$15.00	47.5%	13.6%	46.4%	27.8%	0.0%	-3.9%	41.2%	8.7K	-463.2K	-11.9K	0.00	104.49	N/A	N/A	50	0	2,492	2,631
2012-01-30	$13.96	$15.00	43.2%	12.4%	46.9%	21.4%	0.0%	-6.5%	40.2%	9.3K	-463.9K	-11.7K	0.77	107.55	N/A	N/A	66	51	2,542	2,631
2012-01-31	$14.15	$15.00	49.2%	14.1%	46.4%	30.3%	0.0%	-4.4%	36.6%	9.6K	-524.9K	-12.0K	0.55	105.71	N/A	N/A	55	30	2,569	2,661