MAPP Options History — January 2013

In January 2013, MAPP traded between $15.55 and $24.79. ATM implied volatility averaged 28.9%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 41.3% (HV 20d: 70.1%). Max pain ranged from $15.00 to $25.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.79.

Notable Days

  • 2013-01-23: Highest Volume — 22,595 contracts
  • 2013-01-23: Largest IV drop — 93.7% change
  • 2013-01-03: Highest IV Rank — 9.8%
  • 2013-01-03: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.81$15.55$24.79$15.55$24.77
Max Pain$18.45$15.00$25.00$15.00$25.00
ATM IV28.9%2.4%45.0%42.3%3.5%
Expected Move8.3%0.7%12.9%12.1%1.0%
HV 20d70.1%20.9%164.8%25.0%164.0%
HV 60d68.1%48.5%106.1%49.3%106.0%
IV Rank5.3%0.0%9.8%8.1%0.6%
IV Percentile5.7%0.0%15.5%10.3%1.6%
Term Structure3.0%-2.0%8.7%0.9%1.5%
VWIV27.2%1.8%45.8%42.9%6.6%
Skew 25d2.2%-6.2%15.9%11.4%0.6%
Skew 10d0.6%-14.9%18.6%13.7%-6.0%
Call IV 25d25.7%2.9%40.0%30.0%3.2%
Put IV 25d27.9%1.8%45.0%41.4%3.8%
Bid-Ask Spread %22.474.3072.0712.177.21
Gamma HHI0.490.281.000.381.00
Net GEX1.3M-11.2K8.0M34.7K8.0M
Net DEX-5.8M-17.2M-477.8K-1.3M-17.0M
Net VEX-34.9K-123.1K-809-14.4K-75.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.790.0625.460.476.24
Total Volume2,614.048822,595474,586
Total OI17,562.816,53448,7767,68148,776

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$15.55$15.0042.3%12.1%25.0%8.1%42.9%11.4%0.9%34.7K-1.3M-14.4K0.4712.17N/AN/A32153,2734,408
2013-01-03$15.80$15.0045.0%12.9%24.8%9.8%45.8%15.9%-1.4%35.0K-1.6M-14.4K0.5613.00N/AN/A27153,2854,423
2013-01-04$15.97$15.0040.8%12.2%24.7%7.1%37.0%2.1%6.5%36.1K-1.8M-14.1K3.9323.47N/AN/A271063,3054,438
2013-01-07$16.05$17.5044.4%12.3%24.6%9.4%36.3%3.6%6.2%34.3K-1.9M-13.7K5.1129.24N/AN/A19973,3324,523
2013-01-08$16.14$17.5035.4%11.9%24.3%3.8%37.5%1.9%6.3%31.1K-2.0M-13.6K1.1225.13N/AN/A2322603,3384,548
2013-01-09$15.99$17.5043.0%11.6%24.5%8.6%38.7%-0.8%5.4%34.2K-1.9M-14.6K0.0629.99N/AN/A328213,5584,779
2013-01-10$15.95$17.5043.3%12.4%24.2%8.7%0.0%1.7%3.4%44.7K-2.0M-14.8K0.6031.04N/AN/A20123,8644,795
2013-01-11$15.93$17.5040.6%11.6%21.4%7.0%41.0%0.2%5.3%45.4K-2.0M-14.6K0.3632.23N/AN/A1453,8824,807
2013-01-14$15.90$15.0042.3%12.1%20.9%8.1%0.0%2.8%4.4%45.2K-1.9M-14.2K0.6030.90N/AN/A533,8894,812
2013-01-15$15.95$15.0043.0%12.3%20.9%8.5%0.0%2.1%4.3%25.6K-2.2M-13.7K0.0931.18N/AN/A6463,8944,815
2013-01-16$15.67$15.0039.6%11.4%22.1%6.5%39.0%1.6%6.8%32.9K-1.9M-13.6K0.0932.46N/AN/A156143,9494,815
2013-01-17$15.71$15.0042.9%12.3%22.1%8.5%43.3%1.2%4.3%24.8K-2.1M-13.6K1.7036.69N/AN/A44754,0054,745
2013-01-18$15.58$15.0038.2%10.9%22.3%5.5%38.1%6.0%6.0%24.2K-2.0M-13.3K4.9029.84N/AN/A582844,0194,770
2013-01-22$15.58$15.0038.2%10.9%21.4%5.5%38.2%6.0%8.7%-11.2K-477.8K-13.4K25.4672.07N/AN/A246113,0713,463
2013-01-23$24.71$15.002.4%0.7%164.7%0.0%1.8%-1.2%-1.0%11.8K-7.5M-8091.725.09N/AN/A8,30314,2923,0734,562
2013-01-24$24.72$25.003.3%0.9%164.8%0.5%3.5%0.5%-1.0%578.1K-9.9M-62.7K0.966.61N/AN/A6,1455,8969,80017,634
2013-01-25$24.75$25.002.9%0.8%164.0%0.3%2.9%0.0%-1.0%4.0M-14.1M-81.0K1.616.99N/AN/A8191,32015,60722,296
2013-01-28$24.75$25.003.5%1.0%164.2%0.6%3.9%0.8%1.4%3.7M-14.5M-83.3K0.884.30N/AN/A3,7613,29915,66323,244
2013-01-29$24.75$25.006.5%1.9%164.0%2.2%6.8%-3.8%-1.7%4.9M-16.7M-110.0K1.585.23N/AN/A58592319,69426,241
2013-01-30$24.79$25.005.7%1.6%164.1%1.7%6.6%-6.2%-2.0%5.2M-17.2M-123.1K0.657.08N/AN/A1,44794520,05327,371
2013-01-31$24.77$25.003.5%1.0%164.0%0.6%0.0%0.6%1.5%8.0M-17.0M-75.4K6.247.21N/AN/A6333,95320,81627,960