JPM Options History — January 2007

In January 2007, JPM traded between $47.75 and $50.93. ATM implied volatility averaged 17.4%. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 4.5% (HV 20d: 12.9%). Max pain ranged from $35.00 to $47.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2007-01-19: Highest Volume — 56,525 contracts
  • 2007-01-11: Largest IV drop — 19.0% change
  • 2007-01-04: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.91$47.75$50.93$48.07$50.93
Max Pain$45.25$35.00$47.50$35.00$45.00
ATM IV17.4%13.8%22.4%20.2%16.1%
Expected Move4.8%4.0%6.0%5.8%4.6%
HV 20d12.9%12.2%13.6%12.2%13.6%
Term Structure-0.6%-2.6%0.3%-1.7%-0.6%
VWIV17.0%14.0%21.5%21.5%15.8%
Skew 25d3.3%2.2%5.2%3.2%2.5%
Skew 10d7.5%2.0%11.9%7.9%8.2%
Call IV 25d15.1%11.3%19.7%19.3%14.2%
Put IV 25d18.4%16.2%23.1%22.5%16.7%
Bid-Ask Spread %7.234.2615.599.179.42
Gamma HHI0.330.270.430.380.27
Net GEX22.1M11.8M59.6M59.6M26.9M
Net DEX-1.27B-6.64B-797.7M-6.64B-1.26B
Net VEX-6.6M-7.3M-6.0M-7.3M-6.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.191.611.080.19
Total Volume24,863.6510,92356,52531,32127,189
Total OI1,007,347.65732,4342,255,9972,255,997797,395

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$48.07$35.0020.2%5.8%0.0%0.0%21.5%3.2%-1.7%59.6M-6.64B-7.3M1.089.17N/AN/A15,03716,2841,674,982581,015
2007-01-04$48.19$45.0020.9%6.0%0.0%0.0%20.1%3.4%-2.6%17.8M-867.0M-6.8M0.497.41N/AN/A17,0328,307440,160585,716
2007-01-05$47.79$47.5020.6%5.3%0.0%0.0%17.5%3.3%-0.5%14.7M-797.7M-6.8M0.776.33N/AN/A9,7357,521445,785588,787
2007-01-08$47.95$47.5022.4%5.3%0.0%0.0%19.4%3.1%-0.6%16.3M-833.7M-6.7M0.5210.05N/AN/A8,6674,546451,961591,467
2007-01-09$47.75$47.5021.9%5.2%0.0%0.0%18.2%3.4%-0.7%14.7M-810.2M-6.7M1.126.20N/AN/A11,75713,134454,253593,129
2007-01-10$48.10$47.5021.4%5.2%0.0%0.0%21.0%4.2%-1.2%18.9M-879.4M-6.7M0.776.14N/AN/A6,8615,264456,994600,001
2007-01-11$48.31$47.5017.3%5.0%0.0%0.0%16.0%3.6%-0.6%20.7M-916.8M-6.6M0.545.86N/AN/A7,0843,839458,514601,642
2007-01-12$47.99$47.5017.4%5.0%0.0%0.0%18.2%3.5%-0.5%16.9M-858.9M-6.7M1.614.82N/AN/A5,9199,515464,391602,510
2007-01-16$48.39$45.0018.9%5.4%0.0%0.0%18.0%4.2%-1.6%23.4M-959.8M-6.3M0.776.19N/AN/A13,44310,317463,945608,865
2007-01-17$48.43$45.0016.8%4.8%0.0%0.0%16.2%3.3%-0.8%11.8M-974.1M-6.4M0.456.65N/AN/A36,27616,199468,422614,425
2007-01-18$48.15$45.0016.2%4.6%0.0%0.0%17.2%2.7%0.1%15.1M-1.04B-6.6M0.548.05N/AN/A20,93711,406501,807621,202
2007-01-19$48.76$45.0014.1%4.1%0.0%0.0%16.2%3.6%-0.3%16.8M-1.17B-6.4M0.204.64N/AN/A47,2329,293505,365625,165
2007-01-22$49.66$45.0014.1%4.0%0.0%0.0%14.6%2.6%-0.0%22.7M-998.7M-6.4M0.645.06N/AN/A19,27912,278394,087338,347
2007-01-23$49.83$45.0013.8%4.0%0.0%0.0%14.0%2.3%0.0%24.0M-1.03B-6.4M1.487.98N/AN/A6,82810,111402,121344,090
2007-01-24$50.36$45.0014.7%4.2%0.0%0.0%14.7%2.9%-0.6%24.9M-1.14B-6.0M0.788.16N/AN/A13,61510,645404,418347,187
2007-01-25$50.21$45.0015.1%4.3%12.2%0.0%15.2%2.4%-0.1%24.9M-1.11B-6.4M0.5515.59N/AN/A14,8568,152411,560353,721
2007-01-26$49.70$45.0015.2%4.3%12.9%0.0%15.4%5.2%-0.2%24.6M-1.04B-6.4M1.585.26N/AN/A10,89917,211415,807358,004
2007-01-29$49.47$45.0015.7%4.5%12.7%0.0%16.2%4.9%-0.6%22.9M-933.8M-7.1M1.117.38N/AN/A6,7197,432417,675370,135
2007-01-30$50.18$45.0015.4%4.4%13.2%0.0%15.4%2.2%0.3%24.6M-1.09B-6.7M0.614.26N/AN/A10,2136,241420,406371,497
2007-01-31$50.93$45.0016.1%4.6%13.6%0.0%15.8%2.5%-0.6%26.9M-1.26B-6.5M0.199.42N/AN/A22,7624,427424,071373,324