MAPP Options History — July 2012

In July 2012, MAPP traded between $14.10 and $16.21. ATM implied volatility averaged 65.7%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded above realized volatility by 23.9% (HV 20d: 41.8%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 7.31.

Notable Days

  • 2012-07-12: Highest Volume — 5,177 contracts
  • 2012-07-12: Largest IV spike — 62.2% change
  • 2012-07-12: Highest IV Rank — 30.3%
  • 2012-07-12: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.73$14.10$16.21$15.77$14.11
Max Pain$15.60$12.50$17.50$12.50$15.00
ATM IV65.7%45.5%77.8%45.5%71.0%
Expected Move19.8%13.0%22.3%13.0%20.4%
HV 20d41.8%35.0%45.2%38.7%35.0%
HV 60d41.5%39.6%42.6%41.4%39.8%
IV Rank22.8%10.1%30.3%10.1%26.1%
IV Percentile64.7%15.9%90.9%15.9%76.2%
Term Structure-1.5%-7.1%22.2%12.1%-2.0%
VWIV74.0%46.3%89.3%46.3%78.8%
Skew 25d10.5%4.3%17.7%14.8%7.2%
Skew 10d22.1%-9.1%54.5%19.5%4.1%
Call IV 25d66.1%30.9%78.6%30.9%73.6%
Put IV 25d76.6%45.3%94.0%45.7%80.8%
Bid-Ask Spread %52.3717.9081.3717.9047.32
Gamma HHI0.260.220.330.260.26
Net GEX102.4K-1.6K244.0K244.0K308
Net DEX-1.2M-5.1M707.1K-4.6M511.1K
Net VEX-26.4K-32.2K-19.3K-32.2K-19.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.310.0246.360.664.00
Total Volume539285,17712355
Total OI18,963.90515,14122,03320,36115,509

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$15.77$12.5045.5%13.0%38.7%10.1%0.0%14.8%12.1%244.0K-4.6M-32.2K0.6617.90N/AN/A744911,5968,765
2012-07-03$16.21$12.5048.3%13.8%38.7%11.8%46.3%5.5%9.8%244.0K-5.1M-31.0K0.4343.03N/AN/A1104710,6848,763
2012-07-05$15.49$12.5045.8%13.1%43.3%10.2%0.0%13.1%22.2%211.7K-4.0M-31.0K14.1581.37N/AN/A2738210,6838,810
2012-07-06$15.30$17.5049.5%18.8%42.2%12.6%63.7%9.6%-1.6%189.8K-3.0M-30.6K0.0061.85N/AN/A02810,6899,084
2012-07-09$15.64$17.5051.0%19.0%41.2%13.5%67.2%10.3%-2.9%208.7K-3.7M-29.8K1.6854.65N/AN/A386410,6899,092
2012-07-10$14.92$17.5046.9%18.9%45.2%10.9%0.0%4.3%-1.2%187.4K-2.4M-29.3K46.3664.95N/AN/A1151010,6939,125
2012-07-11$14.65$17.5048.0%19.6%43.7%11.6%68.8%10.7%-2.9%140.7K-969.5K-27.3K0.0263.13N/AN/A61110,6929,622
2012-07-12$14.44$17.5077.8%22.3%43.6%30.3%89.3%17.7%-5.6%91.5K-832.7K-29.6K7.9144.48N/AN/A5814,59610,6919,622
2012-07-13$14.36$17.5077.0%22.1%42.1%29.8%81.9%15.9%-4.7%74.9K-792.6K-30.3K3.0153.02N/AN/A17151410,97910,853
2012-07-16$14.41$17.5077.5%22.2%41.5%30.1%82.5%11.8%-5.5%73.7K-530.1K-29.2K32.8352.99N/AN/A1239410,93711,074
2012-07-17$14.86$17.5075.1%21.5%42.4%28.6%80.4%13.6%-6.0%133.2K-1.4M-28.9K1.3153.05N/AN/A17322710,94011,013
2012-07-18$14.62$15.0073.5%21.1%43.0%27.6%74.2%12.0%-2.3%125.1K-942.3K-27.9K0.1255.08N/AN/A2453011,05010,983
2012-07-19$14.58$15.0072.6%20.8%43.0%27.1%74.2%12.5%-2.1%177.1K-989.7K-27.3K0.7555.03N/AN/A201511,07510,910
2012-07-20$14.30$15.0073.5%21.1%43.5%27.6%74.7%8.2%-5.7%-183534.4K-25.0K29.3353.76N/AN/A782,28811,08510,915
2012-07-23$14.31$15.0075.8%21.7%42.8%29.1%76.8%8.4%-5.5%11.1K337.9K-21.9K1.4247.21N/AN/A48687,8757,266
2012-07-24$14.10$15.0077.8%22.3%43.2%30.3%80.1%7.4%-6.8%3.1K549.1K-22.1K0.2550.95N/AN/A3287,9097,328
2012-07-25$14.12$15.0075.2%21.6%42.8%28.7%72.3%7.7%-5.9%-1.6K707.1K-20.6K0.4146.37N/AN/A37157,9127,336
2012-07-26$14.26$15.0073.2%21.0%40.3%27.4%72.8%7.2%-2.9%6.5K440.3K-21.5K0.0450.82N/AN/A7037,9357,350
2012-07-27$14.67$15.0073.4%21.0%41.5%27.5%73.2%13.6%-4.6%21.8K22.3K-21.0K0.1853.37N/AN/A3877,9807,352
2012-07-30$14.28$15.0072.5%20.8%40.6%27.0%0.0%8.3%-7.1%8.1K410.6K-19.3K1.3749.38N/AN/A811118,0177,359
2012-07-31$14.11$15.0071.0%20.4%35.0%26.1%78.8%7.2%-2.0%308511.1K-19.8K4.0047.32N/AN/A11448,0757,434