MAPP Options History — October 2012

In October 2012, MAPP traded between $15.25 and $16.00. ATM implied volatility averaged 53.2%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 29.1% (HV 20d: 24.2%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.35.

Notable Days

  • 2012-10-23: Highest Volume — 1,218 contracts
  • 2012-10-08: Largest IV spike — 13.7% change
  • 2012-10-12: Highest IV Rank — 19.0%
  • 2012-10-10: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.75$15.25$16.00$15.98$15.42
Max Pain$14.52$12.50$15.00$12.50$15.00
ATM IV53.2%48.3%59.8%52.2%48.3%
Expected Move15.6%13.8%17.4%15.0%13.8%
HV 20d24.2%20.2%32.8%32.6%21.5%
HV 60d28.2%25.0%30.9%30.9%25.0%
IV Rank14.9%11.8%19.0%14.3%11.8%
IV Percentile39.3%21.0%59.5%36.9%21.0%
Term Structure4.0%0.8%9.2%5.2%1.2%
VWIV51.9%43.7%57.9%51.4%52.6%
Skew 25d8.2%-1.1%16.5%5.5%16.3%
Skew 10d14.4%-3.0%36.4%3.1%25.2%
Call IV 25d46.0%34.6%53.6%45.4%34.6%
Put IV 25d54.2%44.9%63.4%50.9%50.9%
Bid-Ask Spread %50.1923.7984.9023.7972.08
Gamma HHI0.420.220.600.450.60
Net GEX7.8K-73.6K48.6K38.3K-73.6K
Net DEX-1.0M-1.9M732.4K-1.6M686.5K
Net VEX-10.6K-13.2K-9.0K-10.6K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.350.0033.807.140.00
Total Volume195.14301,218572
Total OI5,331.2384,8256,3744,8566,374

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$15.98$12.5052.2%15.0%32.6%14.3%0.0%5.5%5.2%38.3K-1.6M-10.6K7.1423.79N/AN/A7502,4662,390
2012-10-02$15.97$12.5051.5%14.8%32.8%13.8%51.4%10.7%9.2%37.8K-1.7M-10.5K0.1267.36N/AN/A7392,4732,366
2012-10-03$15.84$12.5051.4%14.7%30.6%13.8%43.7%4.6%8.2%38.6K-1.6M-10.4K0.0066.37N/AN/A1202,4502,375
2012-10-04$15.97$12.5052.6%15.1%26.8%14.5%48.5%3.3%6.9%44.2K-1.6M-10.2K0.0058.14N/AN/A4602,4622,375
2012-10-05$15.84$15.0050.9%17.2%26.2%13.5%0.0%9.5%3.8%38.9K-1.6M-10.3K0.0081.24N/AN/A5902,4642,375
2012-10-08$15.97$15.0057.9%16.6%23.1%17.8%57.7%15.5%4.9%43.1K-1.7M-10.0K0.4184.56N/AN/A51212,5232,375
2012-10-09$15.80$15.0052.1%16.7%23.7%14.2%57.9%14.0%3.7%46.9K-1.6M-9.9K0.0083.04N/AN/A03992,4882,396
2012-10-10$15.86$15.0052.4%17.4%21.0%14.4%0.0%16.5%2.2%40.5K-1.5M-10.3K1.8284.90N/AN/A11202,4882,616
2012-10-11$15.90$15.0058.7%16.8%20.2%18.3%0.0%13.8%3.2%48.6K-1.6M-10.0K0.0029.91N/AN/A202,4992,616
2012-10-12$15.55$15.0059.8%17.1%20.9%19.0%52.8%11.0%0.8%48.0K-1.3M-10.0K3.3331.53N/AN/A18602,5012,616
2012-10-15$16.00$15.0059.2%17.0%22.3%18.7%0.0%13.6%3.9%17.3K-1.9M-9.2K0.0033.73N/AN/A002,5082,676
2012-10-16$15.97$15.0054.5%15.6%21.2%15.8%53.4%11.6%1.2%15.4K-1.9M-9.0K8.2934.19N/AN/A665472,5082,676
2012-10-17$15.98$15.0054.0%15.5%21.0%15.4%53.4%10.0%4.9%-3.1K-1.5M-10.3K0.2834.42N/AN/A120332,4823,163
2012-10-18$15.97$15.0053.9%15.4%21.0%15.3%0.0%0.9%3.8%-4.6K-1.6M-10.2K0.0039.08N/AN/A2502,5443,144
2012-10-19$15.59$15.0053.5%15.3%22.9%15.1%0.0%-0.8%5.8%8.2K-1.4M-10.4K1.3727.93N/AN/A46632,5633,144
2012-10-22$15.25$15.0052.2%15.0%23.9%14.3%52.2%-1.1%4.6%-16.8K-119.3K-10.2K0.8532.79N/AN/A5154361,8692,995
2012-10-23$15.59$15.0050.1%14.4%24.4%13.0%47.4%4.0%2.7%-27.1K-165.9K-10.3K33.8069.42N/AN/A351,1831,8923,192
2012-10-24$15.58$15.0052.4%15.0%24.4%14.4%52.6%1.7%0.8%-56.6K498.2K-13.1K0.1828.79N/AN/A66121,8994,346
2012-10-25$15.48$15.0048.4%13.9%23.5%11.9%0.0%0.0%3.6%-59.4K536.9K-13.1K2.6432.02N/AN/A25661,9594,354
2012-10-26$15.29$15.0052.0%14.9%23.4%14.2%0.0%12.4%2.9%-59.9K732.4K-13.2K0.0038.65N/AN/A0201,9444,410
2012-10-31$15.42$15.0048.3%13.8%21.5%11.8%0.0%16.3%1.2%-73.6K686.5K-12.3K0.0072.08N/AN/A201,9444,430