MAPP Options History — August 2012

In August 2012, MAPP traded between $13.30 and $13.75. ATM implied volatility averaged 62.7%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 18.7%. IV traded above realized volatility by 32.0% (HV 20d: 30.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.96.

Notable Days

  • 2012-08-01: Highest Volume — 2,020 contracts
  • 2012-08-10: Largest IV drop — 27.5% change
  • 2012-08-01: Highest IV Rank — 28.8%
  • 2012-08-01: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.51$13.30$13.75$13.30$13.44
Max Pain$13.80$12.50$15.00$15.00$12.50
ATM IV62.7%46.3%75.3%75.3%61.1%
Expected Move18.7%17.5%21.6%21.6%17.5%
HV 20d30.7%15.5%37.5%37.5%15.5%
HV 60d40.1%35.2%42.3%41.7%35.2%
IV Rank20.8%10.6%28.8%28.8%19.9%
IV Percentile62.0%15.1%87.7%87.7%60.3%
Term Structure4.1%-7.1%9.7%-4.5%3.6%
VWIV60.0%49.9%71.9%71.9%60.6%
Skew 25d10.2%3.5%15.9%6.0%5.4%
Skew 10d14.2%-13.8%44.8%4.8%8.7%
Call IV 25d56.5%53.5%65.1%65.1%54.8%
Put IV 25d66.8%59.3%72.5%71.1%60.2%
Bid-Ask Spread %63.6540.9378.4555.7851.67
Gamma HHI0.390.290.520.290.52
Net GEX-80.2K-110.8K-43.0K-43.0K-110.8K
Net DEX1.6M835.3K2.5M1.9M1.2M
Net VEX-14.7K-19.0K-11.4K-16.8K-11.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.0018.6118.619.33
Total Volume205.43502,0202,02031
Total OI16,755.69615,51317,58015,52816,329

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$13.30$15.0075.3%21.6%37.5%28.8%71.9%6.0%-4.5%-43.0K1.9M-16.8K18.6155.78N/AN/A1031,9178,0867,442
2012-08-02$13.30$15.0072.2%20.7%35.2%26.8%61.9%8.3%-7.1%-89.4K2.5M-17.7K0.9748.16N/AN/A4003908,1738,666
2012-08-03$13.65$15.0066.5%19.1%37.1%23.3%66.5%12.0%-0.1%-63.7K1.9M-19.0K0.1243.67N/AN/A4258,5488,815
2012-08-06$13.68$15.0067.8%19.0%35.8%24.0%56.4%15.9%7.0%-63.8K1.9M-18.2K0.6276.14N/AN/A21138,5818,812
2012-08-07$13.75$15.0067.8%19.1%32.7%24.1%0.0%15.9%5.7%-63.2K1.9M-17.7K0.0077.73N/AN/A208,5988,825
2012-08-08$13.30$15.0065.6%18.6%33.9%22.7%57.4%11.7%6.7%-90.8K2.2M-18.0K0.2077.54N/AN/A518,6008,825
2012-08-09$13.48$15.0063.9%19.0%34.3%21.6%55.3%14.1%8.3%-92.8K2.2M-16.4K0.0078.45N/AN/A5508,5958,824
2012-08-10$13.50$15.0046.3%18.9%34.4%10.6%0.0%14.6%8.6%-82.4K2.2M-16.4K0.0072.36N/AN/A2408,6458,824
2012-08-13$13.56$15.0050.0%19.0%34.4%12.9%65.3%13.5%6.4%-81.1K1.9M-14.9K3.1473.82N/AN/A29918,6618,824
2012-08-14$13.53$15.0054.0%19.0%32.0%15.4%0.0%15.3%5.7%-86.7K1.9M-14.7K0.0071.68N/AN/A008,6658,915
2012-08-15$13.57$15.0057.0%18.8%31.8%17.3%65.7%11.6%7.8%-80.1K1.8M-14.7K0.0074.75N/AN/A2008,6658,915
2012-08-16$13.69$15.0065.0%18.6%32.1%22.3%61.3%12.5%8.2%-75.2K1.7M-13.8K0.6772.38N/AN/A45308,6608,746
2012-08-17$13.57$12.5064.0%18.4%31.6%21.7%63.4%9.7%9.7%-72.0K1.7M-13.7K0.2876.31N/AN/A54158,6638,746
2012-08-20$13.62$12.5063.8%18.3%31.7%21.5%55.3%10.0%6.0%-79.4K1.3M-12.9K0.1366.52N/AN/A122167,9797,534
2012-08-21$13.47$12.5063.2%18.1%31.5%21.2%58.4%3.5%5.0%-78.9K1.2M-12.6K0.2964.66N/AN/A326958,0977,540
2012-08-22$13.34$12.5062.6%18.0%31.6%20.8%62.4%11.4%3.4%-81.4K1.5M-13.0K0.3461.34N/AN/A246838,4237,507
2012-08-23$13.41$12.5061.6%17.7%31.4%20.2%60.7%4.5%3.3%-81.2K1.0M-13.1K2.7164.71N/AN/A752038,5867,564
2012-08-24$13.51$12.5063.7%18.3%29.4%21.5%53.4%5.1%0.7%-72.5K835.3K-13.7K0.0059.64N/AN/A2208,6617,627
2012-08-27$13.49$12.5061.2%17.5%28.2%19.9%51.8%8.7%6.1%-76.3K890.7K-13.1K0.3954.83N/AN/A51208,6737,627
2012-08-28$13.50$12.5062.4%17.9%28.0%20.7%49.9%5.3%0.7%-95.2K1.2M-12.4K0.0240.93N/AN/A5918,6907,638
2012-08-29$13.50$12.5063.2%18.1%18.2%21.2%0.0%13.3%1.9%-83.7K1.2M-12.7K3.3347.56N/AN/A3108,6487,639
2012-08-30$13.47$12.5063.2%18.1%18.2%21.2%62.9%7.5%1.9%-99.9K1.2M-11.8K0.0053.35N/AN/A01008,6517,649
2012-08-31$13.44$12.5061.1%17.5%15.5%19.9%60.6%5.4%3.6%-110.8K1.2M-11.4K9.3351.67N/AN/A3288,6457,684