MAPP Options History — September 2012

In September 2012, MAPP traded between $13.52 and $15.57. ATM implied volatility averaged 54.4%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 25.9% (HV 20d: 28.4%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 2.06.

Notable Days

  • 2012-09-26: Highest Volume — 1,288 contracts
  • 2012-09-05: Largest IV drop — 18.1% change
  • 2012-09-04: Highest IV Rank — 23.6%
  • 2012-09-04: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.95$13.52$15.57$13.52$15.57
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV54.4%50.2%67.1%67.1%50.2%
Expected Move15.7%14.4%19.2%19.2%14.4%
HV 20d28.4%15.7%32.3%15.7%32.2%
HV 60d34.4%30.6%35.6%34.4%30.6%
IV Rank15.6%13.0%23.6%23.6%13.0%
IV Percentile42.2%29.0%72.2%72.2%29.0%
Term Structure8.1%-1.1%12.7%-1.1%9.8%
VWIV53.2%44.9%62.2%62.2%51.5%
Skew 25d13.3%-0.4%27.1%17.7%15.7%
Skew 10d25.8%-3.4%78.3%46.5%19.4%
Call IV 25d47.8%32.6%58.4%53.5%32.6%
Put IV 25d61.1%46.7%71.2%71.2%48.3%
Bid-Ask Spread %56.9124.4276.1248.4344.07
Gamma HHI0.510.320.760.480.45
Net GEX22.5K-102.3K104.8K-102.3K36.4K
Net DEX-960.9K-2.2M1.2M1.2M-1.4M
Net VEX-9.1K-11.8K-7.0K-11.1K-10.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.060.0012.501.066.40
Total Volume194.579221,2886637
Total OI13,020.4743,31416,75716,3344,819

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$13.52$12.5067.1%19.2%15.7%23.6%0.0%17.7%-1.1%-102.3K1.2M-11.1K1.0648.43N/AN/A32348,6487,686
2012-09-05$14.11$12.5055.0%15.8%21.9%16.0%0.0%18.0%-0.7%-55.7K745.6K-11.8K0.0244.41N/AN/A616108,6587,717
2012-09-06$14.77$12.5053.6%15.4%23.3%15.2%62.2%9.4%3.1%15.0K-1.1M-10.1K0.0527.31N/AN/A807409,0307,727
2012-09-07$14.54$12.5052.2%15.3%24.2%14.3%53.6%11.7%11.3%-29.3K-180.2K-11.3K2.3168.68N/AN/A13308,3877,718
2012-09-10$14.13$12.5052.4%15.6%26.8%14.4%54.1%13.7%11.7%-49.3K225.1K-10.8K0.8571.18N/AN/A13118,3927,748
2012-09-11$14.31$12.5055.2%15.8%27.1%16.2%54.5%9.8%12.2%-37.3K71.9K-10.8K0.4064.96N/AN/A25108,3487,759
2012-09-12$14.81$12.5053.6%15.9%29.2%15.1%0.0%12.0%8.8%-23.0K-666.4K-9.4K12.5076.12N/AN/A4508,3737,769
2012-09-13$15.10$12.5056.2%16.1%29.7%16.8%56.1%11.8%9.3%19.3K-1.3M-8.8K0.0071.69N/AN/A6708,3747,803
2012-09-14$15.41$12.5056.1%16.1%30.1%16.7%52.5%10.1%9.6%62.7K-1.8M-8.0K0.0073.47N/AN/A2608,4417,803
2012-09-17$15.18$12.5057.3%16.4%30.6%17.5%57.7%12.1%8.1%84.6K-1.7M-7.8K0.0070.60N/AN/A2208,4617,803
2012-09-18$15.50$12.5054.8%15.7%31.1%15.9%0.0%16.0%8.5%104.8K-2.0M-7.5K0.9270.98N/AN/A12118,4627,803
2012-09-19$15.40$12.5053.1%15.2%30.8%14.9%53.1%11.7%12.7%99.1K-2.0M-7.4K0.0959.32N/AN/A9488,4667,792
2012-09-20$15.42$12.5054.8%15.7%30.2%15.9%47.8%13.0%10.0%103.7K-2.0M-7.4K9.4454.15N/AN/A161518,4877,798
2012-09-21$15.49$12.5053.1%15.2%30.2%14.8%44.9%-0.4%9.2%69.0K-2.2M-7.1K1.3360.99N/AN/A15208,4357,769
2012-09-24$15.32$12.5051.2%14.7%30.9%13.7%51.2%12.6%9.4%32.1K-1.0M-7.1K0.2456.43N/AN/A62151,7011,613
2012-09-25$15.08$12.5051.7%14.8%31.8%14.0%51.7%7.0%7.6%32.1K-978.8K-7.0K0.7854.23N/AN/A45351,7631,628
2012-09-26$15.05$12.5053.6%15.4%31.9%15.2%53.6%23.3%6.8%31.4K-927.3K-7.3K1.0039.89N/AN/A6436451,7971,663
2012-09-27$15.37$12.5051.5%14.8%32.3%13.9%51.5%27.1%7.9%34.4K-1.2M-10.9K1.7924.42N/AN/A28502,4402,308
2012-09-28$15.57$12.5050.2%14.4%32.2%13.0%0.0%15.7%9.8%36.4K-1.4M-10.9K6.4044.07N/AN/A5322,4612,358