MAPP Options History — April 2012

In April 2012, MAPP traded between $12.70 and $14.28. ATM implied volatility averaged 59.1%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 2.6% (HV 20d: 61.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 6.96.

Notable Days

  • 2012-04-23: Highest Volume — 5,167 contracts
  • 2012-04-10: Largest IV spike — 22.1% change
  • 2012-04-16: Highest IV Rank — 23.8%
  • 2012-04-16: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.34$12.70$14.28$14.28$12.82
Max Pain$14.63$12.50$15.00$15.00$15.00
ATM IV59.1%49.2%67.4%56.7%61.7%
Expected Move17.1%14.3%19.3%16.3%17.7%
HV 20d61.7%38.7%76.3%75.2%38.7%
HV 60d55.3%54.0%57.1%56.7%55.9%
IV Rank18.6%12.4%23.8%17.1%20.2%
IV Percentile72.1%48.8%88.1%69.8%76.2%
Term Structure5.3%-1.2%12.4%1.2%10.9%
VWIV60.5%50.0%67.4%59.1%61.9%
Skew 25d8.3%-7.5%16.8%12.4%-4.9%
Skew 10d18.5%-13.9%41.4%30.2%-9.9%
Call IV 25d56.4%36.5%62.7%58.8%62.7%
Put IV 25d64.7%49.1%73.0%71.2%57.8%
Bid-Ask Spread %50.688.2080.6614.4438.14
Gamma HHI0.250.220.290.240.26
Net GEX-48.4K-105.3K2.7K-78.4K-59.4K
Net DEX3.6M1.0M5.5M3.2M2.3M
Net VEX-42.3K-52.4K-35.6K-52.4K-44.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.960.3226.480.560.32
Total Volume1,297.35535,1671,793107
Total OI50,369.723,33462,94062,16727,217

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$14.28$15.0056.7%16.3%75.2%17.1%59.1%12.4%1.2%-78.4K3.2M-52.4K0.5614.44N/AN/A1,15064334,50527,662
2012-04-03$13.89$15.0056.1%16.1%75.5%16.7%62.6%10.7%0.6%-94.3K4.3M-48.8K2.6011.02N/AN/A30077934,01527,389
2012-04-04$13.94$15.0053.2%15.2%75.6%14.9%63.1%13.5%5.4%-105.3K4.3M-46.5K10.818.20N/AN/A931,00533,54227,098
2012-04-05$14.22$15.0050.0%14.3%75.0%12.9%50.9%9.0%5.7%-99.2K3.1M-48.5K17.2510.18N/AN/A1101,89733,54127,015
2012-04-09$13.76$15.0049.2%16.0%75.4%12.4%59.7%11.6%1.9%-97.1K4.2M-41.6K11.4467.96N/AN/A881,00733,53726,471
2012-04-10$13.19$15.0060.1%18.0%76.2%19.2%63.0%13.1%1.3%-48.5K5.5M-36.9K2.4071.56N/AN/A38191533,53525,711
2012-04-11$13.30$15.0058.4%18.0%76.3%18.2%64.0%14.8%1.6%-36.4K5.1M-35.6K9.0774.25N/AN/A4641733,49825,478
2012-04-12$13.14$15.0063.4%18.2%74.3%21.3%63.2%12.1%3.0%-42.8K5.2M-36.1K2.3170.76N/AN/A1,3483,11833,50825,487
2012-04-13$12.93$15.0062.7%18.0%72.5%20.9%62.7%14.4%7.6%-55.3K5.3M-39.7K2.6580.66N/AN/A13335334,53826,300
2012-04-16$13.30$15.0067.4%19.3%71.7%23.8%67.4%14.8%-0.7%-18.9K4.6M-39.1K2.9375.38N/AN/A22866834,53826,126
2012-04-17$13.45$15.0062.0%17.8%64.0%20.4%62.7%6.7%4.5%2.7K4.0M-39.4K3.9558.60N/AN/A9537534,53726,102
2012-04-18$13.21$15.0066.3%19.0%64.1%23.1%66.7%11.3%-1.2%-20.9K4.5M-38.6K13.6253.13N/AN/A3750434,54326,150
2012-04-19$13.05$15.0062.5%17.9%63.6%20.8%64.6%9.4%3.2%-20.3K4.4M-37.1K2.2355.03N/AN/A1,0712,38634,53726,171
2012-04-20$13.04$15.0060.7%17.4%49.4%19.6%60.8%4.6%4.8%-8.4K4.1M-38.9K19.4656.83N/AN/A2446735,42427,516
2012-04-23$12.70$15.0057.5%16.5%48.3%17.6%57.5%-7.5%12.2%-8.0K1.2M-36.4K26.4864.80N/AN/A1884,97913,4469,888
2012-04-24$12.77$15.0057.2%16.4%39.1%17.4%57.5%-6.0%11.3%-57.7K2.6M-45.7K3.3150.38N/AN/A8929513,49413,409
2012-04-25$13.00$12.5056.6%16.2%39.3%17.0%55.9%16.8%12.4%-56.2K2.2M-46.5K0.4369.01N/AN/A371613,57013,611
2012-04-26$13.14$12.5057.3%16.4%40.1%17.5%50.0%1.6%11.4%-45.8K1.8M-46.6K6.3325.34N/AN/A95713,60413,614
2012-04-27$13.61$12.5062.4%17.9%38.7%20.7%57.7%6.9%8.3%-18.5K1.0M-47.5K1.1457.85N/AN/A24928313,47013,597
2012-04-30$12.82$15.0061.7%17.7%38.7%20.2%61.9%-4.9%10.9%-59.4K2.3M-44.2K0.3238.14N/AN/A812613,59813,619