MAPP Options History — May 2012

In May 2012, MAPP traded between $11.27 and $12.59. ATM implied volatility averaged 68.0%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 32.6% (HV 20d: 35.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 3.20.

Notable Days

  • 2012-05-23: Highest Volume — 2,314 contracts
  • 2012-05-10: Largest IV spike — 25.3% change
  • 2012-05-29: Highest IV Rank — 31.5%
  • 2012-05-29: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.83$11.27$12.59$12.46$11.77
Max Pain$12.61$12.50$15.00$15.00$12.50
ATM IV68.0%49.1%79.7%58.7%78.2%
Expected Move20.4%16.5%22.8%16.8%22.4%
HV 20d35.4%31.3%39.5%39.5%39.0%
HV 60d52.4%50.0%54.7%54.7%53.3%
IV Rank24.2%12.4%31.5%18.4%30.6%
IV Percentile81.7%42.5%96.0%70.6%95.2%
Term Structure-1.2%-7.8%12.8%10.8%-4.1%
VWIV71.5%56.3%88.5%56.3%75.7%
Skew 25d11.6%3.4%28.3%8.2%28.0%
Skew 10d11.1%-13.4%58.9%12.5%49.0%
Call IV 25d66.1%43.9%78.0%44.6%61.4%
Put IV 25d77.7%52.9%89.4%52.9%89.4%
Bid-Ask Spread %57.9735.7981.6035.7965.84
Gamma HHI0.290.250.330.270.29
Net GEX-85.3K-129.3K-44.9K-76.7K-69.7K
Net DEX4.3M3.0M5.8M3.2M3.8M
Net VEX-34.1K-43.4K-28.4K-43.4K-29.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.200.009.886.910.00
Total Volume228.045252,31426131
Total OI25,959.86422,56327,54827,28923,916

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$12.46$15.0058.7%16.8%39.5%18.4%56.3%8.2%10.8%-76.7K3.2M-43.4K6.9135.79N/AN/A3322813,66913,620
2012-05-02$12.59$12.5058.9%16.9%39.2%18.5%58.4%11.2%11.5%-91.5K3.5M-41.7K0.2236.98N/AN/A461013,70213,672
2012-05-03$12.49$12.5057.4%16.5%39.0%17.6%57.4%8.8%12.8%-93.9K3.5M-41.7K4.5635.90N/AN/A167313,72213,645
2012-05-04$12.10$12.5049.1%19.3%38.9%12.4%69.5%13.1%0.2%-112.0K4.1M-38.8K8.0358.05N/AN/A2923313,73313,627
2012-05-07$11.96$12.5052.5%19.7%37.8%14.5%88.5%15.7%-2.8%-119.8K4.7M-37.4K6.5554.97N/AN/A117213,74613,611
2012-05-08$11.93$12.5050.3%19.4%35.4%13.1%63.5%17.6%-0.8%-127.1K5.0M-35.9K9.8856.76N/AN/A87913,74113,602
2012-05-09$11.95$12.5057.5%20.7%35.2%17.6%72.5%11.1%-4.5%-119.3K4.7M-36.7K2.9454.41N/AN/A9327313,74213,553
2012-05-10$11.92$12.5072.0%20.7%35.1%26.7%71.4%9.8%-3.2%-113.4K4.6M-38.0K1.7750.67N/AN/A356213,79113,709
2012-05-11$11.99$12.5070.4%20.2%35.0%25.7%66.8%11.6%-2.4%-129.3K4.7M-36.7K0.7755.58N/AN/A393013,76613,683
2012-05-14$11.72$12.5074.5%21.3%33.5%28.2%75.0%7.8%-4.7%-114.1K5.3M-33.8K5.3957.59N/AN/A189713,78413,662
2012-05-15$11.52$12.5073.2%21.0%33.0%27.4%72.2%10.8%-3.8%-88.7K5.8M-31.5K0.2765.76N/AN/A1103013,80113,617
2012-05-16$11.54$12.5073.9%21.2%33.0%27.9%74.7%12.0%-5.3%-46.7K5.8M-32.0K0.5071.75N/AN/A703513,91113,608
2012-05-17$11.69$12.5072.3%20.7%33.6%26.9%72.7%7.9%-5.8%-50.9K5.8M-31.8K4.4077.37N/AN/A52213,96213,583
2012-05-18$11.54$12.5076.5%21.9%33.7%29.5%76.9%3.4%-7.8%-44.9K5.7M-31.9K1.4376.25N/AN/A13018613,96713,581
2012-05-21$11.64$12.5070.4%20.2%33.2%25.7%69.4%5.1%-3.6%-64.7K3.4M-29.3K0.0259.91N/AN/A87212,40310,160
2012-05-22$11.60$12.5072.8%20.9%33.0%27.2%74.4%4.6%-2.6%-58.1K3.2M-29.7K0.5849.34N/AN/A764412,46210,161
2012-05-23$11.49$12.5075.2%21.6%31.9%28.7%79.3%8.6%-2.0%-61.8K3.4M-29.9K2.2242.95N/AN/A7181,59612,47410,176
2012-05-24$11.39$12.5073.1%21.0%31.3%27.4%75.9%7.2%-2.6%-66.4K3.6M-32.1K5.7549.17N/AN/A84612,76811,146
2012-05-25$12.15$12.5072.7%20.8%37.6%27.1%64.9%28.3%2.3%-67.8K3.0M-31.2K0.8181.60N/AN/A15812812,65611,136
2012-05-29$11.60$12.5079.7%22.8%35.3%31.5%79.7%19.0%-6.2%-69.4K3.7M-29.9K0.0067.81N/AN/A25012,70211,222
2012-05-30$11.27$12.5077.3%22.2%35.3%30.0%77.7%4.5%-3.3%-89.9K4.3M-28.4K7.3370.94N/AN/A32212,70311,222
2012-05-31$11.77$12.5078.2%22.4%39.0%30.6%75.7%28.0%-4.1%-69.7K3.8M-29.4K0.0065.84N/AN/A31012,70411,212