JPM Options History — March 2007

In March 2007, JPM traded between $46.70 and $49.20. ATM implied volatility averaged 21.8%. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.5% (HV 20d: 22.3%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.36.

Notable Days

  • 2007-03-14: Highest Volume — 83,787 contracts
  • 2007-03-13: Largest IV spike — 100.1% change
  • 2007-03-14: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.20$46.70$49.20$49.20$48.38
Max Pain$48.75$47.50$50.00$50.00$47.50
ATM IV21.8%14.2%28.5%21.8%22.2%
Expected Move6.3%5.0%7.2%6.2%6.4%
HV 20d22.3%14.6%27.1%14.6%24.2%
HV 60d18.3%15.5%19.2%15.6%18.5%
Term Structure-0.9%-1.7%0.2%-1.7%-1.2%
VWIV22.3%19.0%27.5%22.7%22.3%
Skew 25d4.5%2.5%6.6%2.5%5.6%
Skew 10d10.2%6.3%16.9%6.3%14.1%
Call IV 25d19.8%17.1%22.9%21.3%18.8%
Put IV 25d24.3%21.6%28.0%23.9%24.4%
Bid-Ask Spread %7.225.0311.275.036.56
Gamma HHI0.180.130.330.180.15
Net GEX7.6M-2.2M19.4M14.9M5.8M
Net DEX-439.5M-629.5M-151.7M-629.5M-472.3M
Net VEX-8.6M-8.9M-8.2M-8.4M-8.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.223.641.820.53
Total Volume28,860.53,98383,78724,80215,818
Total OI863,009.909777,045972,966859,162840,031

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$49.20$50.0021.8%6.2%14.6%0.0%22.7%2.5%-1.7%14.9M-629.5M-8.4M1.825.03N/AN/A8,78516,017437,979421,183
2007-03-02$48.19$47.5023.9%6.8%15.8%0.0%22.6%3.0%-1.1%10.9M-434.1M-8.2M3.647.27N/AN/A4,88217,775436,162422,037
2007-03-05$47.54$50.0026.2%7.0%16.2%0.0%24.6%4.7%-1.5%8.2M-335.3M-8.2M1.627.58N/AN/A27,26944,173435,523418,127
2007-03-06$48.52$50.0022.2%6.4%18.3%0.0%22.5%4.5%-1.6%15.6M-508.0M-8.2M1.139.24N/AN/A22,57125,498443,874426,952
2007-03-07$48.36$50.0021.3%6.0%18.2%0.0%21.3%3.2%-0.8%13.2M-467.6M-8.2M0.227.53N/AN/A24,8535,350453,458436,137
2007-03-08$48.74$50.0021.3%6.0%18.5%0.0%19.6%3.6%-1.0%17.4M-563.2M-8.4M0.897.58N/AN/A8,3957,471459,339436,694
2007-03-09$48.82$50.0017.1%5.4%18.5%0.0%19.8%3.5%-0.3%19.4M-584.3M-8.4M1.617.88N/AN/A5,1638,333461,938437,827
2007-03-12$48.84$50.0014.2%5.5%18.2%0.0%19.5%3.6%-0.6%18.3M-578.7M-8.2M0.958.25N/AN/A6,5556,249461,616442,391
2007-03-13$46.70$50.0028.5%6.9%23.8%0.0%25.2%4.6%-1.2%-2.2M-151.7M-8.4M1.677.74N/AN/A18,64431,089462,702444,445
2007-03-14$47.30$50.0024.9%7.2%24.0%0.0%27.5%5.1%-1.3%-575.8K-277.1M-8.7M3.0310.19N/AN/A20,78663,001470,128450,974
2007-03-15$47.70$50.0023.2%6.7%24.0%0.0%23.0%5.2%-0.8%-598.8K-345.2M-8.7M0.549.33N/AN/A26,09214,040474,477487,547
2007-03-16$47.03$50.0023.4%6.7%24.3%0.0%24.1%5.5%-1.3%-1.8M-166.6M-8.9M1.326.73N/AN/A16,33221,634484,169488,797
2007-03-19$47.58$47.5022.2%6.4%24.9%0.0%22.4%4.7%-0.3%11.9K-309.0M-8.7M0.545.84N/AN/A14,6957,867371,063405,982
2007-03-20$47.75$47.5021.2%6.1%24.7%0.0%23.8%4.7%-0.4%1.2M-344.9M-8.7M1.427.31N/AN/A14,29920,335381,215409,740
2007-03-21$49.05$47.5017.5%5.0%27.0%0.0%19.0%4.5%0.2%7.3M-553.2M-8.7M2.125.92N/AN/A15,12032,083387,989417,467
2007-03-22$48.47$47.5020.6%5.9%27.1%0.0%20.1%4.7%-0.7%6.4M-499.3M-8.7M0.885.34N/AN/A8,0997,101399,338423,456
2007-03-23$48.52$47.5020.4%5.9%27.0%0.0%20.0%3.9%-0.5%6.9M-507.9M-8.7M0.295.30N/AN/A3,097886402,748424,054
2007-03-26$48.70$47.5022.2%6.4%27.1%0.0%24.1%6.6%-1.6%7.6M-521.5M-8.7M1.505.79N/AN/A5,2757,895403,785424,311
2007-03-27$48.57$47.5021.9%6.3%24.7%0.0%22.0%6.0%-0.9%7.1M-502.9M-8.7M1.2111.27N/AN/A3,8244,631406,325426,189
2007-03-28$47.99$47.5022.3%6.4%25.0%0.0%23.1%4.2%-0.7%5.4M-419.7M-8.8M0.985.92N/AN/A5,8085,709408,272423,440
2007-03-29$48.50$47.5022.2%6.4%25.3%0.0%22.3%5.1%-0.8%7.3M-497.5M-8.8M1.945.19N/AN/A3,8907,542410,003426,334
2007-03-30$48.38$47.5022.2%6.4%24.2%0.0%22.3%5.6%-1.2%5.8M-472.3M-8.8M0.536.56N/AN/A10,3525,466410,601429,430