JPM Options History — April 2007

In April 2007, JPM traded between $48.24 and $52.94. ATM implied volatility averaged 18.0%. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.2% (HV 20d: 17.8%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2007-04-18: Highest Volume — 111,454 contracts
  • 2007-04-05: Largest IV drop — 18.1% change
  • 2007-04-03: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.58$48.24$52.94$48.24$52.10
Max Pain$48.75$47.50$50.00$47.50$50.00
ATM IV18.0%15.7%22.5%22.5%16.3%
Expected Move5.1%4.5%6.5%6.4%4.7%
HV 20d17.8%14.0%23.7%23.7%16.1%
HV 60d18.9%18.3%19.6%18.5%19.3%
Term Structure-0.3%-1.5%0.6%-1.0%-0.0%
VWIV18.6%16.0%30.1%30.1%17.2%
Skew 25d2.9%1.1%5.8%5.8%1.8%
Skew 10d7.5%0.3%16.3%13.9%0.3%
Call IV 25d16.9%15.3%19.6%19.6%16.2%
Put IV 25d19.7%16.8%25.4%25.4%18.1%
Bid-Ask Spread %6.854.4710.276.954.73
Gamma HHI0.260.140.700.140.27
Net GEX27.0M5.4M125.9M5.4M32.4M
Net DEX-941.8M-1.38B-452.8M-452.8M-1.16B
Net VEX-8.4M-8.7M-7.9M-8.7M-8.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.271.560.360.47
Total Volume25,767.656,556111,45412,61515,187
Total OI887,195.05845,068960,362846,204920,931

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$48.24$47.5022.5%6.4%23.7%0.0%30.1%5.8%-1.0%5.4M-452.8M-8.7M0.366.95N/AN/A9,2723,343414,352431,852
2007-04-03$48.56$47.5022.5%6.5%22.6%0.0%22.4%5.6%-1.5%8.0M-547.2M-8.6M1.335.85N/AN/A4,2825,710411,896433,172
2007-04-04$48.56$47.5020.7%5.9%22.6%0.0%20.0%4.1%-0.5%8.9M-594.7M-8.5M0.707.02N/AN/A10,0937,074414,084431,321
2007-04-05$48.77$47.5017.0%4.9%22.5%0.0%19.8%4.3%0.6%10.9M-630.2M-8.6M1.564.47N/AN/A4,0596,315420,136433,261
2007-04-09$49.00$47.5019.1%5.1%22.5%0.0%18.0%3.7%-0.2%12.0M-657.6M-8.6M0.546.04N/AN/A4,2552,301421,805436,666
2007-04-10$49.24$47.5019.7%5.1%22.6%0.0%17.7%2.5%-0.4%14.2M-720.3M-8.5M0.426.32N/AN/A11,7774,998424,364437,103
2007-04-11$49.15$47.5019.4%5.1%15.1%0.0%19.1%3.1%-0.0%15.6M-735.1M-8.3M0.946.36N/AN/A7,7587,309429,146438,004
2007-04-12$49.20$47.5017.5%5.0%14.6%0.0%17.6%3.3%-0.4%16.4M-723.1M-8.5M1.376.99N/AN/A3,2924,520432,672442,612
2007-04-13$49.09$47.5017.1%4.9%14.5%0.0%20.1%3.4%-0.4%16.1M-685.2M-8.5M1.279.52N/AN/A11,95315,207434,083443,066
2007-04-16$49.97$47.5018.6%5.3%14.4%0.0%18.5%3.1%-1.3%22.8M-891.1M-8.1M0.5510.27N/AN/A24,99913,850440,043447,729
2007-04-17$50.18$50.0019.0%5.4%14.0%0.0%19.0%3.4%-1.5%26.0M-957.9M-8.2M1.086.71N/AN/A20,01621,685448,388452,353
2007-04-18$52.07$50.0016.2%4.6%18.6%0.0%16.2%2.4%-0.1%31.4M-1.31B-7.9M0.665.50N/AN/A67,20644,248451,717459,419
2007-04-19$52.09$50.0016.5%4.7%16.6%0.0%17.0%2.0%0.0%36.2M-1.32B-8.4M0.547.71N/AN/A20,97611,291479,299481,063
2007-04-20$52.54$50.0016.1%4.6%15.7%0.0%16.0%2.1%0.4%125.9M-1.38B-8.3M0.275.37N/AN/A35,9409,840475,698477,930
2007-04-23$52.28$50.0016.4%4.7%16.0%0.0%16.4%1.1%0.4%28.4M-1.15B-8.2M0.487.53N/AN/A13,3346,392451,584429,934
2007-04-24$52.16$50.0016.5%4.7%16.1%0.0%17.0%1.4%0.2%28.5M-1.14B-8.3M0.867.86N/AN/A16,08213,868455,703430,084
2007-04-25$52.82$50.0016.4%4.7%16.3%0.0%16.5%1.4%-0.3%33.3M-1.26B-8.3M0.416.53N/AN/A13,5695,610464,955432,664
2007-04-26$52.94$50.0016.3%4.7%15.1%0.0%16.2%1.8%-0.2%35.1M-1.31B-8.2M0.437.34N/AN/A11,4054,939469,882434,881
2007-04-27$52.55$50.0015.7%4.5%15.6%0.0%16.3%1.5%0.2%33.3M-1.22B-8.5M0.647.87N/AN/A13,0668,332473,157436,892
2007-04-30$52.10$50.0016.3%4.7%16.1%0.0%17.2%1.8%-0.0%32.4M-1.16B-8.6M0.474.73N/AN/A10,3324,855481,299439,632