MAPP Options History — November 2012

In November 2012, MAPP traded between $12.51 and $16.05. ATM implied volatility averaged 61.7%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 14.8% (HV 20d: 47.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 20.04.

Notable Days

  • 2012-11-15: Highest Volume — 9,658 contracts
  • 2012-11-13: Largest IV spike — 63.2% change
  • 2012-11-21: Highest IV Rank — 53.5%
  • 2012-11-21: Largest Expected Move — 32.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.51$12.51$16.05$15.71$15.94
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV61.7%29.3%114.8%50.2%46.6%
Expected Move18.2%8.4%32.9%14.4%13.4%
HV 20d47.0%22.5%80.4%22.7%80.0%
HV 60d35.8%24.4%51.1%25.2%51.1%
IV Rank20.3%0.0%53.5%13.0%10.8%
IV Percentile39.9%0.0%97.2%27.4%14.3%
Term Structure2.9%-16.9%20.9%1.5%1.9%
VWIV63.1%33.6%114.1%50.2%47.6%
Skew 25d19.3%5.2%42.6%16.3%14.1%
Skew 10d39.2%6.6%84.1%21.8%35.3%
Call IV 25d51.5%24.4%92.6%33.9%39.7%
Put IV 25d70.7%33.6%135.1%50.2%53.7%
Bid-Ask Spread %24.6211.9564.5764.5721.97
Gamma HHI0.440.250.690.600.25
Net GEX-63.7K-137.8K30.6K-68.6K-8.1K
Net DEX1.3M-3.4M6.2M377.7K-2.7M
Net VEX-17.9K-29.7K-10.2K-12.2K-20.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio20.040.03247.001.061.85
Total Volume1,944.095289,6586637
Total OI14,827.6676,37523,4116,37522,904

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$15.71$15.0050.2%14.4%22.7%13.0%50.2%16.3%1.5%-68.6K377.7K-12.2K1.0664.57N/AN/A32341,9454,430
2012-11-02$15.68$15.0029.3%8.4%22.5%0.0%33.6%9.3%20.9%-84.9K335.1K-11.8K6.0617.82N/AN/A674061,9774,448
2012-11-05$15.97$15.0032.7%13.8%23.3%2.1%47.8%12.3%13.1%-69.9K66.2K-12.8K0.0016.51N/AN/A0282,0104,786
2012-11-06$15.37$15.0042.8%13.4%26.9%8.5%48.7%10.4%14.6%-93.8K762.5K-12.9K1.0717.55N/AN/A80862,0104,794
2012-11-07$14.47$15.0040.0%13.1%33.7%6.7%45.7%12.4%15.6%-95.7K1.8M-12.6K2.3618.24N/AN/A22522,0514,872
2012-11-08$14.04$15.0038.1%13.0%34.9%5.5%45.1%18.1%16.8%-92.9K2.2M-12.2K0.0339.73N/AN/A3312,0724,921
2012-11-09$13.65$15.0039.4%16.9%35.5%6.3%62.1%20.9%5.5%-52.0K3.0M-10.9K1.9615.44N/AN/A1583102,1054,921
2012-11-12$13.63$15.0047.8%15.2%35.4%11.5%52.6%5.2%12.2%-56.8K3.1M-10.2K247.0012.90N/AN/A102,4702,0695,186
2012-11-13$13.73$15.0078.0%16.4%35.3%30.5%56.4%16.8%9.2%-107.7K3.8M-13.9K57.8320.00N/AN/A362,0822,0597,600
2012-11-14$13.20$15.0075.1%21.0%34.7%28.6%80.1%24.9%-1.4%-89.0K4.1M-14.1K60.8911.95N/AN/A1177,1242,0617,642
2012-11-15$12.51$15.00106.0%30.4%37.9%48.0%114.1%35.7%-16.9%-137.8K6.2M-21.8K6.3627.89N/AN/A1,3138,3452,03414,095
2012-11-16$12.91$15.00103.6%29.7%40.7%46.5%98.3%36.7%-15.6%-137.8K5.5M-26.8K1.2527.73N/AN/A1,1121,3893,64417,286
2012-11-19$12.97$15.00105.3%30.2%41.0%47.6%93.3%35.9%-3.3%-123.5K4.8M-27.1K0.2333.59N/AN/A1,4503303,92215,939
2012-11-20$13.04$15.00108.3%31.0%41.0%49.4%99.8%34.8%-12.9%-106.4K4.3M-29.2K0.4631.82N/AN/A2,0589565,23316,269
2012-11-21$12.82$15.00114.8%32.9%40.8%53.5%105.9%42.6%-11.6%-93.5K3.7M-29.7K4.5928.72N/AN/A3071,4095,75915,947
2012-11-23$15.42$15.0050.4%14.5%79.5%13.2%55.6%15.9%0.3%21.3K-2.7M-21.5K1.8821.83N/AN/A2,5734,8325,68217,270
2012-11-26$15.52$15.0047.9%13.7%79.6%11.6%50.0%13.1%3.7%12.4K-2.3M-19.7K2.3122.00N/AN/A1653815,11718,294
2012-11-27$16.05$15.0047.7%13.7%80.4%11.5%52.5%10.6%3.0%-5.7K-2.8M-20.0K1.5726.55N/AN/A2824434,95417,541
2012-11-28$16.02$15.0046.9%13.4%80.2%11.0%42.0%9.7%2.0%30.6K-3.4M-18.0K1.2918.28N/AN/A73945,07417,627
2012-11-29$16.00$15.0045.6%13.1%80.2%10.2%44.6%9.3%2.1%22.4K-3.2M-18.7K0.7722.03N/AN/A73565,13017,701
2012-11-30$15.94$15.0046.6%13.4%80.0%10.8%47.6%14.1%1.9%-8.1K-2.7M-20.1K1.8521.97N/AN/A13245,14717,757