JPM Options History — May 2007

In May 2007, JPM traded between $51.59 and $53.20. ATM implied volatility averaged 16.8%. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.2% (HV 20d: 15.5%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2007-05-10: Highest Volume — 45,436 contracts
  • 2007-05-25: Largest IV drop — 6.0% change
  • 2007-05-14: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.29$51.59$53.20$52.26$51.83
Max Pain$49.32$47.50$50.00$50.00$47.50
ATM IV16.8%15.6%18.4%16.3%16.0%
Expected Move4.8%4.6%5.3%4.7%4.6%
HV 20d15.5%13.5%19.1%15.9%13.5%
HV 60d19.3%17.8%20.2%19.2%17.8%
Term Structure0.6%-0.1%1.5%0.0%0.9%
VWIV17.5%16.2%19.9%16.6%16.2%
Skew 25d2.3%0.3%6.1%1.4%5.1%
Skew 10d6.3%0.6%13.7%0.6%6.2%
Call IV 25d16.1%12.4%18.0%16.7%13.2%
Put IV 25d18.5%17.2%19.8%18.1%18.3%
Bid-Ask Spread %6.794.2812.3412.346.05
Gamma HHI0.290.250.410.280.30
Net GEX32.1M25.6M48.3M33.4M34.7M
Net DEX-1.17B-1.39B-966.6M-1.20B-1.06B
Net VEX-8.6M-8.8M-8.3M-8.5M-8.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.142.250.790.45
Total Volume16,289.55,32945,4368,7785,856
Total OI946,556.727916,728981,748922,573948,844

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$52.26$50.0016.3%4.7%15.9%0.0%16.6%1.4%0.0%33.4M-1.20B-8.5M0.7912.34N/AN/A4,9043,874482,563440,010
2007-05-02$52.55$50.0016.7%4.8%15.9%0.0%17.1%0.7%0.2%34.4M-1.26B-8.4M0.6510.91N/AN/A4,4362,903482,253440,409
2007-05-03$52.70$50.0016.0%4.6%15.8%0.0%17.3%0.3%0.2%35.3M-1.28B-8.4M0.675.92N/AN/A6,8264,584482,802441,345
2007-05-04$52.63$47.5015.6%4.6%15.9%0.0%16.5%2.3%1.1%34.2M-1.27B-8.3M1.885.43N/AN/A5,97311,203483,201444,522
2007-05-07$52.73$47.5016.1%4.7%15.9%0.0%16.4%2.3%0.7%34.2M-1.28B-8.4M0.494.28N/AN/A8,2334,012483,451451,936
2007-05-08$52.45$47.5015.8%4.8%16.2%0.0%16.6%2.6%0.6%33.7M-1.24B-8.5M0.1410.76N/AN/A28,3363,879489,528453,266
2007-05-09$53.20$47.5016.5%5.0%16.6%0.0%16.8%3.2%0.3%39.6M-1.39B-8.4M0.564.42N/AN/A19,71611,036495,524455,568
2007-05-10$52.00$47.5017.5%5.0%19.1%0.0%17.5%1.9%0.2%30.1M-1.14B-8.6M2.056.63N/AN/A14,90030,536495,580458,201
2007-05-11$52.15$50.0018.0%5.1%19.0%0.0%18.5%1.7%0.1%27.1M-1.14B-8.8M0.648.72N/AN/A14,0368,993494,461474,802
2007-05-14$51.83$50.0018.4%5.3%18.4%0.0%19.3%1.8%0.3%25.6M-1.08B-8.8M2.258.92N/AN/A3,8988,760498,690472,219
2007-05-15$52.03$50.0018.2%5.2%18.4%0.0%18.1%2.4%0.1%26.9M-1.15B-8.5M0.187.22N/AN/A22,7654,193498,310475,285
2007-05-16$52.98$50.0017.9%5.1%14.4%0.0%17.7%2.0%0.6%29.7M-1.34B-8.5M0.244.98N/AN/A12,9173,084500,236476,712
2007-05-17$52.56$50.0018.3%5.3%14.8%0.0%19.9%1.6%-0.1%31.9M-1.25B-8.7M0.384.54N/AN/A6,1732,329504,046477,702
2007-05-18$52.54$50.0017.4%5.0%14.5%0.0%17.8%1.7%1.1%48.3M-1.26B-8.6M0.816.16N/AN/A8,0706,547503,109477,072
2007-05-21$52.56$50.0016.4%4.7%14.3%0.0%16.4%1.8%0.9%28.6M-1.16B-8.5M0.856.23N/AN/A8,5147,261460,283456,445
2007-05-22$52.29$50.0015.9%4.6%14.4%0.0%17.6%1.5%1.5%28.5M-1.13B-8.4M0.316.01N/AN/A7,9852,506464,346460,898
2007-05-23$51.99$50.0016.2%4.7%13.8%0.0%16.7%1.3%0.7%27.9M-1.05B-8.7M1.147.99N/AN/A2,4852,844468,826461,665
2007-05-24$51.59$50.0017.0%4.9%14.0%0.0%18.7%2.1%0.6%26.2M-966.6M-8.8M0.435.52N/AN/A10,7364,569469,751461,398
2007-05-25$51.64$50.0016.0%4.6%13.8%0.0%16.2%2.1%0.4%29.4M-1.02B-8.7M0.715.95N/AN/A11,0267,838476,003463,062
2007-05-29$51.82$50.0016.7%4.8%13.6%0.0%19.0%5.9%0.7%32.2M-1.07B-8.6M1.344.61N/AN/A4,9636,655481,889466,906
2007-05-30$52.06$50.0016.3%4.7%13.6%0.0%18.4%6.1%0.9%34.4M-1.10B-8.6M1.275.75N/AN/A3,5314,484484,070467,059
2007-05-31$51.83$47.5016.0%4.6%13.5%0.0%16.2%5.1%0.9%34.7M-1.06B-8.7M0.456.05N/AN/A4,0331,823485,164463,680