MAPP Options History — March 2012

In March 2012, MAPP traded between $14.36 and $17.14. ATM implied volatility averaged 97.5%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 36.2%. IV traded above realized volatility by 44.4% (HV 20d: 53.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.13.

Notable Days

2012-03-27: Highest Volume — 30,896 contracts
2012-03-15: Largest IV spike — 132.1% change
2012-03-15: Highest IV Rank — 100.0%
2012-03-23: Largest Expected Move — 54.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.18	$14.36	$17.14	$16.47	$14.36
Max Pain	$15.68	$15.00	$17.50	$15.00	$15.00
ATM IV	97.5%	48.1%	189.1%	68.7%	57.4%
Expected Move	36.2%	16.3%	54.2%	19.7%	16.5%
HV 20d	53.1%	39.3%	75.9%	46.0%	75.9%
HV 60d	47.5%	41.5%	56.8%	43.3%	56.8%
IV Rank	56.5%	17.2%	100.0%	58.8%	17.5%
IV Percentile	87.1%	48.0%	100.0%	93.3%	71.8%
Term Structure	-17.7%	-53.4%	70.6%	69.4%	-0.1%
VWIV	123.4%	59.5%	180.9%	68.6%	59.5%
Skew 25d	40.3%	5.9%	66.4%	11.1%	14.9%
Skew 10d	75.7%	8.9%	136.9%	18.1%	31.2%
Call IV 25d	100.9%	48.5%	151.8%	55.8%	58.2%
Put IV 25d	141.3%	61.4%	203.5%	66.9%	73.1%
Bid-Ask Spread %	40.08	11.43	140.59	89.24	21.33
Gamma HHI	0.24	0.17	0.35	0.26	0.24
Net GEX	124.9K	-85.1K	383.8K	68.7K	-85.1K
Net DEX	-5.0M	-14.6M	3.2M	-3.7M	3.2M
Net VEX	-44.0K	-89.7K	-24.8K	-24.9K	-56.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.19	3.68	0.40	2.17
Total Volume	5,365.773	105	30,896	403	2,640
Total OI	29,401.864	11,020	62,598	11,020	62,598

Daily Data (22 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
2012-03-01	$16.47	$15.00	68.7%	19.7%	46.0%	58.8%	68.6%	11.1%	69.4%	68.7K	-3.7M	-24.9K	0.40	89.24	N/A	N/A	288	115	6,888	4,132
2012-03-02	$16.49	$15.00	58.7%	16.8%	45.8%	44.0%	61.5%	5.9%	70.6%	86.2K	-3.8M	-24.8K	0.69	90.57	N/A	N/A	790	547	7,080	4,155
2012-03-05	$16.81	$15.00	59.3%	37.0%	42.1%	44.8%	141.3%	41.8%	-17.1%	91.4K	-4.1M	-25.9K	3.54	51.95	N/A	N/A	117	414	7,730	4,606
2012-03-06	$16.66	$15.00	61.9%	37.0%	41.2%	48.6%	133.9%	40.0%	-16.3%	87.3K	-3.9M	-25.8K	0.88	54.60	N/A	N/A	56	49	7,745	4,855
2012-03-07	$16.62	$15.00	48.1%	37.9%	41.0%	28.0%	137.8%	40.5%	-22.4%	93.9K	-3.8M	-25.6K	0.76	49.22	N/A	N/A	258	195	7,764	4,886
2012-03-08	$17.14	$15.00	58.3%	37.5%	42.1%	43.3%	134.7%	53.0%	-19.9%	108.2K	-4.4M	-26.6K	1.01	42.43	N/A	N/A	1,018	1,030	7,865	5,043
2012-03-09	$17.06	$17.50	59.1%	40.0%	41.8%	44.5%	127.1%	50.1%	-27.7%	115.7K	-4.7M	-29.2K	0.19	32.19	N/A	N/A	2,276	426	8,514	5,794
2012-03-12	$16.99	$17.50	59.1%	42.2%	41.3%	44.5%	143.3%	49.7%	-31.8%	139.1K	-5.2M	-32.0K	0.88	39.91	N/A	N/A	210	184	10,104	6,105
2012-03-13	$17.09	$17.50	67.8%	43.3%	39.3%	57.6%	143.9%	50.0%	-32.2%	148.1K	-5.5M	-32.6K	0.24	28.48	N/A	N/A	751	179	10,287	6,248
2012-03-14	$16.12	$17.50	76.0%	47.0%	43.3%	69.8%	160.1%	46.2%	-41.8%	70.8K	-4.3M	-30.9K	1.05	28.37	N/A	N/A	799	837	10,787	6,372
2012-03-15	$15.26	$17.50	176.4%	50.6%	47.5%	100.0%	180.9%	32.9%	-49.2%	62.5K	-3.3M	-31.3K	2.21	30.85	N/A	N/A	1,455	3,213	11,350	6,996
2012-03-16	$14.49	$17.50	183.4%	52.6%	43.4%	100.0%	156.6%	60.6%	-53.4%	34.8K	-1.0M	-33.9K	0.24	31.32	N/A	N/A	7,657	1,828	12,285	9,694
2012-03-19	$15.76	$15.00	174.1%	49.9%	53.8%	94.0%	153.0%	53.5%	-35.4%	111.4K	-5.7M	-44.2K	0.36	22.43	N/A	N/A	6,364	2,310	15,506	9,654
2012-03-20	$15.63	$15.00	166.9%	47.9%	53.8%	89.3%	152.6%	58.1%	-34.2%	141.3K	-6.5M	-53.6K	0.84	15.94	N/A	N/A	1,627	1,372	19,636	11,196
2012-03-21	$15.16	$15.00	166.3%	47.7%	54.2%	88.9%	155.3%	51.4%	-37.0%	129.4K	-5.2M	-53.6K	0.93	25.75	N/A	N/A	855	799	20,669	12,120
2012-03-22	$16.76	$15.00	145.8%	41.8%	64.1%	75.6%	155.5%	66.4%	-29.3%	182.3K	-9.7M	-61.6K	0.73	25.37	N/A	N/A	11,067	8,036	21,021	12,540
2012-03-23	$16.03	$15.00	189.1%	54.2%	66.2%	100.0%	176.4%	65.1%	-51.7%	242.3K	-12.4M	-89.7K	1.04	19.47	N/A	N/A	5,604	5,803	30,705	19,833
2012-03-26	$17.14	$15.00	86.7%	24.9%	70.1%	35.9%	81.5%	45.0%	-18.8%	383.8K	-14.6M	-79.3K	1.08	140.59	N/A	N/A	3,703	3,985	32,680	22,609
2012-03-27	$16.44	$15.00	56.8%	16.3%	71.7%	17.2%	62.0%	16.1%	-2.3%	315.0K	-7.4M	-57.8K	1.61	11.69	N/A	N/A	11,844	19,052	32,664	25,165
2012-03-28	$16.19	$15.00	66.7%	19.1%	70.8%	23.4%	67.7%	17.8%	-6.0%	206.2K	-5.0M	-67.0K	3.68	11.43	N/A	N/A	560	2,060	32,443	28,184
2012-03-29	$15.25	$15.00	59.0%	16.9%	73.2%	18.5%	62.2%	17.0%	-2.0%	14.9K	89.6K	-60.7K	0.39	18.64	N/A	N/A	4,095	1,579	31,930	28,403
2012-03-30	$14.36	$15.00	57.4%	16.5%	75.9%	17.5%	59.5%	14.9%	-0.1%	-85.1K	3.2M	-56.3K	2.17	21.33	N/A	N/A	833	1,807	34,271	28,327