JPM Options History — February 2007

In February 2007, JPM traded between $49.22 and $51.65. ATM implied volatility averaged 16.4%. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.2% (HV 20d: 13.3%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.17.

Notable Days

  • 2007-02-28: Highest Volume — 45,292 contracts
  • 2007-02-27: Largest IV spike — 23.6% change
  • 2007-02-27: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.91$49.22$51.65$51.21$49.39
Max Pain$47.76$45.00$50.00$45.00$47.50
ATM IV16.4%13.3%23.0%16.5%20.7%
Expected Move4.6%3.8%6.6%4.7%5.9%
HV 20d13.3%11.5%16.5%13.3%15.7%
Term Structure0.5%-2.6%1.5%-1.1%-1.1%
VWIV15.9%11.3%23.0%15.5%20.7%
Skew 25d2.0%1.1%3.0%2.4%2.1%
Skew 10d4.4%1.0%9.6%1.0%6.4%
Call IV 25d15.2%13.2%23.0%13.8%20.5%
Put IV 25d17.2%15.1%24.5%16.2%22.6%
Bid-Ask Spread %6.333.6517.495.5510.39
Gamma HHI0.250.150.350.260.17
Net GEX25.3M12.7M32.6M27.8M15.2M
Net DEX-1.15B-1.39B-615.1M-1.30B-683.6M
Net VEX-7.1M-8.2M-6.5M-6.5M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.166.030.411.91
Total Volume21,640.4749,51745,29237,17845,292
Total OI834,896.158788,171871,128801,549840,973

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$51.21$45.0016.5%4.7%13.3%0.0%15.5%2.4%-1.1%27.8M-1.30B-6.5M0.415.55N/AN/A26,39310,785427,286374,263
2007-02-02$50.93$47.5016.1%4.4%13.6%0.0%15.5%2.7%1.2%31.8M-1.28B-6.5M1.515.31N/AN/A10,05215,193437,061381,751
2007-02-05$50.96$47.5016.5%4.4%13.0%0.0%15.3%2.1%1.3%30.6M-1.27B-6.9M1.615.76N/AN/A3,7746,061442,237391,377
2007-02-06$51.00$47.5016.6%4.3%13.0%0.0%13.9%2.1%1.0%30.0M-1.27B-6.8M0.306.41N/AN/A7,5222,250441,256390,139
2007-02-07$51.21$47.5016.5%4.3%12.8%0.0%14.4%2.2%0.7%31.9M-1.33B-6.6M0.525.81N/AN/A6,2693,248444,899391,111
2007-02-08$50.93$47.5015.5%4.4%13.1%0.0%14.6%1.9%0.8%32.6M-1.26B-6.9M1.676.35N/AN/A8,82214,714448,781393,257
2007-02-09$50.42$47.5015.8%4.5%13.8%0.0%15.8%2.6%1.0%31.6M-1.15B-7.1M0.697.57N/AN/A10,9197,504452,137399,171
2007-02-12$50.44$47.5016.2%4.7%13.4%0.0%15.8%2.9%0.8%30.4M-1.16B-7.2M1.055.25N/AN/A7,6378,006455,912403,945
2007-02-13$50.95$47.5016.1%4.6%13.6%0.0%16.0%2.3%0.8%30.1M-1.30B-7.0M0.446.39N/AN/A12,6325,501461,135407,821
2007-02-14$51.42$47.5013.8%4.0%13.7%0.0%14.6%1.1%1.4%23.6M-1.39B-6.8M0.343.65N/AN/A17,2425,933460,309410,819
2007-02-15$51.21$47.5015.4%4.4%13.6%0.0%14.4%1.2%0.8%21.9M-1.27B-7.1M0.335.70N/AN/A8,2412,731448,530413,512
2007-02-16$51.25$47.5015.0%4.3%13.2%0.0%11.3%1.2%1.1%24.4M-1.25B-7.1M0.164.23N/AN/A28,1824,566446,092413,084
2007-02-20$51.63$47.5013.3%3.8%11.9%0.0%14.4%1.1%1.4%23.6M-1.16B-6.6M0.974.63N/AN/A5,1975,058407,717380,454
2007-02-21$51.65$47.5013.8%4.0%11.9%0.0%16.0%1.6%1.5%24.7M-1.15B-7.1M1.396.27N/AN/A8,90512,384414,095384,025
2007-02-22$51.64$47.5015.1%4.3%11.5%0.0%16.5%1.7%0.7%22.4M-1.13B-7.3M1.054.23N/AN/A11,90212,453416,266393,016
2007-02-23$51.03$50.0018.0%5.2%12.3%0.0%17.7%3.0%-0.3%17.3M-1.00B-7.5M0.604.81N/AN/A14,7428,900415,665403,039
2007-02-26$50.81$50.0018.6%5.3%11.8%0.0%17.4%3.0%-0.3%19.0M-969.6M-7.5M6.034.51N/AN/A2,74016,525423,784407,356
2007-02-27$49.22$50.0023.0%6.6%16.5%0.0%23.0%1.5%-2.6%12.7M-615.1M-8.2M1.2517.49N/AN/A14,61418,280426,309414,443
2007-02-28$49.39$47.5020.7%5.9%15.7%0.0%20.7%2.1%-1.1%15.2M-683.6M-8.1M1.9110.39N/AN/A15,58129,711427,523413,450