MAPP Options History — February 2013

In February 2013, MAPP traded between $24.74 and $25.00. ATM implied volatility averaged 2.2%, placing in the 0.3% IV rank vs the trailing year. The 30-day expected move averaged 0.7%. IV traded below realized volatility by 110.9% (HV 20d: 113.1%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 182.81.

Notable Days

  • 2013-02-07: Highest Volume — 13,884 contracts
  • 2013-02-04: Largest IV spike — 67.5% change
  • 2013-02-04: Highest IV Rank — 1.7%
  • 2013-02-06: Largest Expected Move — 1.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.90$24.74$25.00$24.83$25.00
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV2.2%1.2%5.5%3.3%1.8%
Expected Move0.7%0.3%1.3%1.2%0.5%
HV 20d113.1%2.6%164.5%164.2%2.6%
HV 60d101.3%95.9%106.0%106.0%95.9%
IV Rank0.3%0.0%1.7%0.5%0.3%
IV Percentile1.3%0.0%4.0%1.2%3.6%
Term Structure-0.4%-2.5%2.6%-1.6%-0.5%
VWIV11.0%1.4%28.8%4.5%1.6%
Skew 25d17.4%-10.9%103.3%97.1%-10.9%
Skew 10d21.1%-18.1%133.3%125.3%-18.1%
Call IV 25d9.3%5.2%13.3%6.7%13.3%
Put IV 25d26.7%1.0%110.4%103.8%2.4%
Bid-Ask Spread %11.344.1217.4415.177.43
Gamma HHI0.850.581.001.000.93
Net GEX11.7M2.4M27.7M9.9M26.9M
Net DEX-23.6M-29.2M-17.7M-17.7M-28.6M
Net VEX-163.3K-228.4K-76.0K-76.3K-186.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio182.810.612575.506.342.76
Total Volume2,484.7371013,8844,086250
Total OI74,896.89552,84685,43252,84685,432

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$24.83$22.503.3%1.2%164.2%0.5%4.5%97.1%-1.6%9.9M-17.7M-76.3K6.3415.17N/AN/A5573,52921,58331,263
2013-02-04$24.74$22.505.5%1.3%164.4%1.7%28.8%14.4%-2.0%2.9M-18.8M-123.8K3.9517.12N/AN/A6862,71021,95733,677
2013-02-05$24.85$22.504.3%1.3%164.4%1.0%0.0%102.2%-2.5%6.9M-18.3M-135.7K8.6817.11N/AN/A2762,39522,37435,582
2013-02-06$24.83$22.503.1%1.3%164.5%0.4%0.0%103.3%-2.1%10.7M-18.5M-76.0K12.9815.86N/AN/A5166222,58636,684
2013-02-07$24.90$22.501.9%0.5%164.2%0.0%4.8%7.6%-0.7%9.2M-20.6M-129.3K1.869.42N/AN/A4,8609,02422,58337,346
2013-02-08$24.89$22.501.4%0.4%164.2%0.0%1.4%7.3%-0.8%9.7M-22.8M-156.7K2.547.55N/AN/A9682,46326,93644,525
2013-02-11$24.89$22.501.5%0.4%164.2%0.0%25.0%7.4%-0.1%13.0M-26.4M-125.4K0.6112.64N/AN/A3,7172,27027,84745,735
2013-02-12$24.92$22.502.0%0.6%164.1%0.3%0.0%7.9%-0.7%7.8M-28.8M-165.2K12.0014.15N/AN/A1012031,26348,719
2013-02-13$24.92$22.502.5%0.7%164.2%0.6%0.0%8.3%-0.8%7.8M-29.2M-164.4K1.1015.36N/AN/A56862731,27048,816
2013-02-14$24.90$22.501.6%0.5%163.7%0.1%0.0%7.8%-0.8%6.1M-24.0M-228.4K96.0012.37N/AN/A333,16831,79248,959
2013-02-15$24.91$22.501.7%0.5%163.8%0.1%0.0%7.9%-0.8%6.2M-24.6M-220.3K0.0012.55N/AN/A032431,79352,313
2013-02-19$24.93$22.501.8%0.5%163.6%0.2%0.0%-5.2%-0.6%21.0M-24.3M-164.8K6.7017.44N/AN/A14697829,15650,094
2013-02-20$24.92$22.501.3%0.4%163.6%0.0%0.0%-4.2%0.0%21.2M-19.5M-197.1K2575.504.12N/AN/A25,15129,24050,987
2013-02-21$24.92$22.501.4%0.4%2.6%0.0%0.0%-0.2%1.9%2.4M-23.6M-224.3K0.007.91N/AN/A025029,23855,031
2013-02-22$24.94$22.501.5%0.4%2.6%0.1%0.0%-2.6%2.6%6.2M-26.7M-189.1K0.007.30N/AN/A01029,23855,181
2013-02-25$24.95$22.502.1%0.6%2.6%0.4%0.0%-6.7%-0.7%22.9M-25.1M-167.1K2.397.05N/AN/A4611029,23855,181
2013-02-26$24.95$22.501.6%0.5%2.6%0.2%1.6%-6.9%2.6%27.7M-22.7M-177.8K8.728.15N/AN/A5043629,25855,291
2013-02-27$24.99$22.501.2%0.3%2.6%0.0%0.0%-3.3%-0.6%3.1M-27.8M-194.8K2.766.81N/AN/A20356029,25855,615
2013-02-28$25.00$22.501.8%0.5%2.6%0.3%0.0%-10.9%-0.5%26.9M-28.6M-186.8K0.007.43N/AN/A025029,29756,135