MAPP Options History — June 2012

In June 2012, MAPP traded between $11.46 and $14.95. ATM implied volatility averaged 70.1%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded above realized volatility by 25.6% (HV 20d: 44.5%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.20.

Notable Days

  • 2012-06-22: Highest Volume — 2,183 contracts
  • 2012-06-14: Largest IV drop — 23.9% change
  • 2012-06-13: Highest IV Rank — 42.3%
  • 2012-06-01: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.12$11.46$14.95$11.46$14.95
Max Pain$11.43$10.00$12.50$12.50$12.50
ATM IV70.1%45.1%96.9%85.4%45.1%
Expected Move19.2%12.9%24.5%24.5%12.9%
HV 20d44.5%36.3%49.5%39.9%36.3%
HV 60d47.5%39.1%54.3%53.4%40.2%
IV Rank25.5%9.8%42.3%35.1%9.8%
IV Percentile72.6%14.7%97.2%96.4%14.7%
Term Structure3.0%-13.5%14.3%-13.5%13.0%
VWIV65.7%45.1%85.8%62.9%45.1%
Skew 25d13.1%7.2%20.9%10.2%18.6%
Skew 10d25.8%-8.1%68.8%68.8%28.5%
Call IV 25d60.1%34.5%74.4%73.0%34.5%
Put IV 25d73.2%53.1%84.9%83.1%53.1%
Bid-Ask Spread %59.0119.4278.0370.3719.42
Gamma HHI0.270.220.340.300.25
Net GEX-13.4K-109.0K149.5K-73.8K149.5K
Net DEX965.4K-2.1M3.8M3.8M-2.1M
Net VEX-28.8K-30.6K-26.4K-29.5K-28.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.0010.619.750.01
Total Volume377.14392,183431,020
Total OI21,004.04815,12824,91623,92819,365

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$11.46$12.5085.4%24.5%39.9%35.1%62.9%10.2%-13.5%-73.8K3.8M-29.5K9.7570.37N/AN/A43912,71611,212
2012-06-04$11.50$10.0079.8%21.4%38.6%31.6%74.4%7.4%-1.5%-70.9K3.8M-29.1K0.0074.84N/AN/A25012,71611,233
2012-06-05$11.82$10.0078.0%20.9%39.8%30.4%73.4%10.4%1.6%-75.5K3.4M-30.1K0.8077.79N/AN/A5412,74111,233
2012-06-06$12.30$10.0078.8%21.4%42.3%30.9%72.6%7.2%-0.8%-82.6K2.8M-29.5K2.3772.08N/AN/A194512,74511,233
2012-06-07$12.01$10.0081.1%21.2%43.3%32.4%85.8%10.5%0.9%-74.8K2.8M-30.6K4.3273.64N/AN/A11951412,75611,227
2012-06-08$12.49$10.0079.6%21.6%45.4%31.4%72.4%14.5%0.2%-91.5K2.6M-29.3K0.5877.92N/AN/A311812,84711,702
2012-06-11$12.29$10.0085.4%21.5%45.8%35.0%0.0%9.3%-0.9%-93.7K2.5M-29.9K0.0075.04N/AN/A01012,86611,693
2012-06-12$12.91$10.0088.7%22.7%47.9%37.2%75.0%11.1%-0.9%-97.0K1.4M-28.9K1.5878.03N/AN/A17828112,86611,683
2012-06-13$12.71$10.0096.9%21.4%47.8%42.3%75.1%13.4%-1.4%-109.0K1.7M-27.8K0.2773.97N/AN/A742012,87811,933
2012-06-14$13.20$10.0073.7%21.1%49.2%27.7%73.5%8.3%-1.6%-58.3K-68.2K-28.3K10.6176.08N/AN/A6265812,90611,933
2012-06-15$13.52$12.5072.3%20.7%49.5%26.9%69.8%10.2%1.5%-1.6K-252.8K-28.6K2.2075.26N/AN/A204412,93111,985
2012-06-18$13.41$12.5074.2%21.3%49.3%28.0%69.3%20.9%-0.6%443398.6K-27.5K1.3948.19N/AN/A1572197,2887,840
2012-06-19$13.39$12.5071.9%20.6%49.4%26.6%62.7%17.5%0.4%-3.3K426.2K-27.6K0.0067.81N/AN/A6207,4238,044
2012-06-20$13.55$12.5065.9%18.9%49.3%22.9%63.4%17.1%4.5%177438.5K-27.6K1.1336.98N/AN/A67767,4638,044
2012-06-21$13.43$12.5063.8%18.3%49.2%21.6%54.5%14.1%5.4%-6.6K623.8K-26.4K0.0267.12N/AN/A682147,5048,102
2012-06-22$13.76$12.5053.4%15.3%49.2%15.0%48.9%15.7%11.4%26.3K70.9K-28.1K0.0136.26N/AN/A2,171128,1758,096
2012-06-25$13.79$12.5050.2%14.4%44.7%13.0%56.5%10.2%12.2%68.0K-368.1K-26.9K6.0534.30N/AN/A7444810,3318,094
2012-06-26$14.02$12.5051.4%14.7%40.2%13.8%58.2%14.5%10.2%87.3K-850.2K-29.2K1.7232.64N/AN/A16929110,3598,475
2012-06-27$14.60$12.5047.3%13.6%38.9%11.2%54.6%17.8%14.3%120.4K-1.6M-30.5K0.7735.28N/AN/A1269710,4668,675
2012-06-28$14.45$12.5049.8%14.3%38.0%12.8%0.0%16.2%9.6%104.2K-1.3M-30.2K0.4836.27N/AN/A442110,5718,735
2012-06-29$14.95$12.5045.1%12.9%36.3%9.8%45.1%18.6%13.0%149.5K-2.1M-28.7K0.0119.42N/AN/A1,0071310,6098,756