MAPP Options History — February 2012

In February 2012, MAPP traded between $14.14 and $16.67. ATM implied volatility averaged 64.3%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded above realized volatility by 19.4% (HV 20d: 45.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.77.

Notable Days

  • 2012-02-08: Highest Volume — 2,001 contracts
  • 2012-02-09: Largest IV spike — 93.2% change
  • 2012-02-09: Highest IV Rank — 78.2%
  • 2012-02-07: Largest Expected Move — 25.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.68$14.14$16.67$14.25$16.05
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV64.3%42.2%81.6%48.8%68.8%
Expected Move20.8%13.7%25.3%14.0%19.7%
HV 20d45.0%41.7%48.6%46.0%45.5%
HV 60d46.3%42.7%48.8%46.5%43.1%
IV Rank52.5%19.2%78.2%29.7%59.0%
IV Percentile80.3%21.4%99.6%54.8%93.7%
Term Structure60.4%36.8%116.5%40.6%80.5%
VWIV73.5%47.3%96.6%47.3%59.2%
Skew 25d8.6%-7.3%23.6%-3.2%2.3%
Skew 10d24.2%4.8%49.3%13.7%4.8%
Call IV 25d66.0%47.8%85.8%47.9%68.6%
Put IV 25d74.6%40.5%96.5%44.7%70.8%
Bid-Ask Spread %86.5456.28104.26104.2689.93
Gamma HHI0.300.240.400.240.33
Net GEX36.5K10.7K70.7K10.7K70.7K
Net DEX-2.4M-3.3M-599.6K-599.6K-3.1M
Net VEX-18.1K-22.7K-12.1K-12.2K-22.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.003.210.150.36
Total Volume404.8472,0011151,015
Total OI7,329.155,28510,3595,28510,359

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$14.25$15.0048.8%14.0%46.0%29.7%0.0%-3.2%40.6%10.7K-599.6K-12.2K0.15104.26N/AN/A100152,5942,691
2012-02-02$14.14$15.0047.8%13.7%43.6%28.2%47.3%-7.3%41.2%11.2K-626.1K-12.1K1.0356.28N/AN/A33342,6352,701
2012-02-03$14.98$15.0049.9%25.3%47.5%31.4%89.5%10.8%41.9%13.2K-883.3K-12.5K0.0484.04N/AN/A21292,6512,725
2012-02-06$15.46$15.0046.1%24.5%48.6%25.7%87.4%2.9%41.8%18.5K-1.2M-12.9K0.2381.18N/AN/A79182,7552,734
2012-02-07$15.72$15.0045.1%25.3%47.5%23.5%84.1%2.3%38.3%20.0K-1.5M-12.8K0.2285.04N/AN/A185412,7792,744
2012-02-08$15.68$15.0042.2%24.9%45.8%19.2%78.0%9.5%36.8%21.4K-1.5M-12.9K0.0077.45N/AN/A2,00102,7902,781
2012-02-09$15.49$15.0081.6%23.4%46.1%78.2%81.4%4.6%41.4%38.5K-2.8M-19.3K1.0278.25N/AN/A1281304,7212,781
2012-02-10$15.26$15.0078.5%22.5%46.2%73.6%78.5%17.6%49.4%37.0K-2.6M-19.4K1.0487.17N/AN/A25264,7862,888
2012-02-13$15.87$15.0072.9%20.9%41.7%65.2%72.3%19.6%54.8%40.3K-3.2M-19.5K3.2184.52N/AN/A722314,8082,908
2012-02-14$15.36$15.0077.0%22.1%43.6%71.3%76.8%12.1%49.0%39.6K-2.7M-20.2K2.2987.03N/AN/A31714,8353,138
2012-02-15$15.10$15.0073.3%21.0%43.2%65.7%66.4%8.9%56.2%40.5K-2.5M-19.7K0.6485.24N/AN/A47304,8453,181
2012-02-16$16.19$15.0069.2%19.8%47.1%59.7%69.5%16.8%58.6%40.4K-3.0M-19.9K0.6384.12N/AN/A32204,8763,211
2012-02-17$16.24$15.0074.7%21.4%43.7%67.9%0.0%4.0%53.2%40.8K-3.3M-20.3K0.5287.66N/AN/A31164,8833,231
2012-02-21$16.13$15.0069.1%19.8%43.6%59.4%70.7%4.0%98.9%47.0K-2.8M-20.0K0.2393.70N/AN/A149354,6133,002
2012-02-22$15.75$15.0066.9%19.2%44.8%56.2%69.9%6.9%116.5%44.0K-2.8M-20.0K0.5992.72N/AN/A70414,7313,053
2012-02-23$16.32$15.0072.8%20.9%44.7%65.0%77.2%4.0%80.4%43.4K-2.9M-20.4K0.4797.20N/AN/A3391584,7873,081
2012-02-24$16.32$15.0075.0%21.5%43.8%68.4%96.6%23.6%72.3%40.2K-3.1M-21.5K1.3295.23N/AN/A841114,9623,239
2012-02-27$16.67$15.0067.8%19.4%43.6%57.6%67.9%12.7%78.4%50.9K-3.3M-21.5K0.9493.38N/AN/A3042875,0303,330
2012-02-28$16.62$15.0059.1%16.9%42.9%44.4%50.2%19.8%77.4%62.7K-3.3M-21.5K0.5086.32N/AN/A1,2606265,2153,509
2012-02-29$16.05$15.0068.8%19.7%45.5%59.0%59.2%2.3%80.5%70.7K-3.1M-22.7K0.3689.93N/AN/A7462696,3184,041