MAPP Options History — December 2012

In December 2012, MAPP traded between $15.04 and $15.80. ATM implied volatility averaged 42.6%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 15.4% (HV 20d: 58.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.43.

Notable Days

2012-12-20: Highest Volume — 1,526 contracts
2012-12-06: Largest IV drop — 11.4% change
2012-12-04: Highest IV Rank — 11.4%
2012-12-07: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.38	$15.04	$15.80	$15.80	$15.65
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	42.6%	38.9%	47.6%	46.7%	44.5%
Expected Move	12.5%	11.4%	13.8%	13.4%	12.8%
HV 20d	58.1%	19.8%	80.1%	80.1%	25.0%
HV 60d	49.1%	48.7%	50.5%	50.5%	49.3%
IV Rank	8.3%	6.0%	11.4%	10.9%	9.5%
IV Percentile	9.5%	5.2%	17.1%	14.7%	14.3%
Term Structure	6.0%	-0.7%	10.6%	0.5%	-0.7%
VWIV	45.1%	40.1%	65.1%	46.7%	51.2%
Skew 25d	10.2%	0.5%	22.1%	20.4%	21.1%
Skew 10d	18.6%	-0.8%	40.8%	40.8%	39.4%
Call IV 25d	33.9%	28.7%	41.0%	30.2%	28.7%
Put IV 25d	44.2%	35.7%	55.6%	50.6%	49.8%
Bid-Ask Spread %	28.78	10.37	49.07	19.25	10.37
Gamma HHI	0.47	0.31	0.72	0.31	0.37
Net GEX	63.7K	18.0K	153.0K	23.4K	33.6K
Net DEX	-2.4M	-4.6M	-700.5K	-3.1M	-1.4M
Net VEX	-14.9K	-18.0K	-11.1K	-17.2K	-14.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.43	0.00	15.20	0.00	1.83
Total Volume	211.1	3	1,526	62	294
Total OI	19,119.9	7,104	24,357	22,906	7,459

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-12-03	$15.80	$15.00	46.7%	13.4%	80.1%	10.9%	46.7%	20.4%	0.5%	23.4K	-3.1M	-17.2K	0.00	19.25	N/A	N/A	62	0	5,150	17,756
2012-12-04	$15.53	$15.00	47.6%	13.6%	80.0%	11.4%	47.6%	22.1%	-0.5%	18.0K	-2.4M	-18.0K	2.40	18.45	N/A	N/A	25	60	5,162	17,756
2012-12-05	$15.36	$15.00	44.9%	12.9%	78.9%	9.7%	65.1%	21.3%	4.4%	19.3K	-2.2M	-17.9K	15.20	12.78	N/A	N/A	5	76	5,187	17,748
2012-12-06	$15.47	$15.00	39.8%	11.4%	75.6%	6.6%	40.1%	15.7%	6.2%	30.3K	-2.5M	-16.8K	2.03	16.26	N/A	N/A	125	254	5,188	17,756
2012-12-07	$15.67	$15.00	40.8%	13.8%	74.6%	7.2%	48.5%	11.2%	7.8%	52.1K	-3.5M	-16.0K	0.00	26.74	N/A	N/A	0	22	5,302	17,716
2012-12-10	$15.60	$15.00	42.6%	13.1%	73.7%	8.3%	0.0%	10.8%	9.6%	69.5K	-3.2M	-15.1K	6.67	24.79	N/A	N/A	3	20	5,302	17,706
2012-12-11	$15.80	$15.00	43.2%	13.2%	73.7%	8.7%	0.0%	11.9%	10.6%	61.2K	-3.8M	-14.5K	0.00	32.47	N/A	N/A	7	0	5,304	17,686
2012-12-12	$15.34	$15.00	38.9%	12.7%	74.8%	6.0%	44.4%	8.1%	9.6%	76.4K	-2.6M	-15.0K	0.12	32.18	N/A	N/A	172	20	5,304	17,686
2012-12-13	$15.16	$15.00	42.3%	12.1%	73.2%	8.1%	42.2%	3.7%	9.6%	65.9K	-2.0M	-15.5K	3.75	46.53	N/A	N/A	20	75	5,412	17,691
2012-12-14	$15.20	$15.00	42.1%	12.1%	69.7%	8.0%	46.3%	6.7%	9.6%	81.6K	-2.2M	-14.9K	0.48	37.50	N/A	N/A	21	10	5,418	17,686
2012-12-17	$15.20	$15.00	43.3%	12.4%	69.3%	8.7%	44.9%	4.2%	9.7%	97.2K	-2.4M	-14.0K	0.00	41.44	N/A	N/A	13	0	5,422	17,676
2012-12-18	$15.20	$15.00	43.2%	12.4%	69.3%	8.7%	43.2%	4.7%	9.9%	113.8K	-2.5M	-13.5K	0.00	48.23	N/A	N/A	0	3	5,427	17,676
2012-12-19	$15.16	$15.00	41.9%	12.0%	69.4%	7.9%	41.9%	3.4%	8.8%	138.3K	-2.4M	-12.8K	0.31	49.07	N/A	N/A	434	135	5,427	17,676
2012-12-20	$15.44	$15.00	41.8%	12.0%	68.9%	7.8%	41.8%	7.4%	9.7%	95.8K	-4.6M	-11.1K	0.98	32.67	N/A	N/A	771	755	5,307	17,551
2012-12-21	$15.27	$15.00	41.3%	11.8%	21.7%	7.5%	41.6%	18.1%	9.0%	153.0K	-4.4M	-15.3K	0.22	40.15	N/A	N/A	296	64	6,053	18,304
2012-12-24	$15.43	$15.00	41.3%	11.8%	21.9%	7.5%	41.3%	7.1%	2.1%	37.0K	-1.0M	-14.3K	0.00	13.85	N/A	N/A	30	0	3,016	4,088
2012-12-26	$15.04	$15.00	42.3%	12.1%	19.8%	8.1%	41.7%	1.8%	1.0%	34.1K	-700.5K	-14.1K	6.00	31.52	N/A	N/A	3	18	3,037	4,088
2012-12-27	$15.22	$15.00	41.7%	11.9%	20.5%	7.7%	41.5%	4.3%	3.0%	37.1K	-848.6K	-14.1K	2.58	12.00	N/A	N/A	12	31	3,040	4,098
2012-12-28	$15.08	$15.00	42.3%	12.1%	20.6%	8.1%	42.3%	0.5%	0.8%	36.0K	-731.7K	-13.9K	1.13	29.41	N/A	N/A	181	205	3,039	4,098
2012-12-31	$15.65	$15.00	44.5%	12.8%	25.0%	9.5%	51.2%	21.1%	-0.7%	33.6K	-1.4M	-14.2K	1.83	10.37	N/A	N/A	104	190	3,184	4,275