JPM Options History — June 2007

In June 2007, JPM traded between $48.36 and $51.90. ATM implied volatility averaged 19.8%. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.9% (HV 20d: 15.9%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2007-06-26: Highest Volume — 46,400 contracts
  • 2007-06-29: Largest IV spike — 21.9% change
  • 2007-06-25: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.97$48.36$51.90$51.90$48.45
Max Pain$50.83$50.00$52.50$50.00$50.00
ATM IV19.8%15.1%24.4%15.1%23.7%
Expected Move5.7%4.3%7.0%4.3%6.8%
HV 20d15.9%12.5%20.1%13.5%20.1%
HV 60d16.5%15.2%18.0%17.7%17.1%
Term Structure-0.4%-1.8%1.9%1.9%-1.3%
VWIV19.9%15.4%23.4%15.4%23.1%
Skew 25d3.4%2.2%5.0%4.2%3.1%
Skew 10d7.1%4.0%10.6%6.0%5.7%
Call IV 25d18.3%12.8%22.0%12.8%22.0%
Put IV 25d21.6%17.0%26.3%17.0%25.1%
Bid-Ask Spread %8.394.3517.755.656.07
Gamma HHI0.210.150.330.320.15
Net GEX14.0M-1.3M36.5M36.5M-933.4K
Net DEX-646.5M-1.09B-293.4M-1.09B-297.4M
Net VEX-8.7M-9.7M-8.2M-8.5M-9.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.393.701.200.60
Total Volume24,628.6673,44846,4006,50644,739
Total OI923,645.905803,106986,953950,254948,325

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$51.90$50.0015.1%4.3%13.5%0.0%15.4%4.2%1.9%36.5M-1.09B-8.5M1.205.65N/AN/A2,9543,552486,304463,950
2007-06-04$51.57$52.5017.2%5.0%13.6%0.0%17.7%3.3%0.2%34.0M-1.00B-8.5M0.394.75N/AN/A2,477971487,809466,560
2007-06-05$51.22$52.5019.5%5.6%13.7%0.0%18.9%3.1%-0.5%31.8M-947.3M-8.4M1.9112.10N/AN/A1,9473,719488,210467,061
2007-06-06$50.56$52.5019.2%5.4%14.3%0.0%18.5%3.1%-0.1%24.3M-783.5M-8.6M1.2513.10N/AN/A8,23710,320488,680467,553
2007-06-07$49.82$52.5021.1%5.8%13.7%0.0%20.4%2.9%-0.9%18.0M-667.5M-8.5M1.3317.75N/AN/A7,55810,027492,634473,209
2007-06-08$50.41$52.5018.4%5.6%12.6%0.0%19.8%3.6%-0.1%21.8M-779.0M-8.5M0.7611.11N/AN/A7,0115,341490,649476,831
2007-06-11$50.43$52.5020.9%5.6%12.5%0.0%19.1%3.3%-0.4%22.3M-785.3M-8.6M1.009.20N/AN/A5,2415,260493,021477,379
2007-06-12$49.35$52.5019.4%5.8%14.3%0.0%20.7%2.7%-0.6%11.2M-558.7M-8.4M1.155.21N/AN/A11,03012,646492,698480,983
2007-06-13$50.29$50.0020.5%5.5%16.1%0.0%20.2%3.7%-0.1%18.2M-747.8M-8.6M0.527.09N/AN/A9,4174,863496,548484,805
2007-06-14$50.32$50.0018.6%5.3%14.3%0.0%19.3%3.1%0.1%29.7M-803.4M-8.2M0.707.83N/AN/A13,5229,520500,520486,433
2007-06-15$50.56$50.0019.0%5.4%14.4%0.0%19.0%2.8%-1.0%18.4M-807.1M-8.2M0.754.35N/AN/A12,2619,145495,426489,721
2007-06-18$50.43$50.0017.1%4.9%14.4%0.0%17.0%2.2%0.3%8.9M-661.9M-8.2M1.405.33N/AN/A9,56913,434392,988410,118
2007-06-19$50.85$50.0017.3%5.0%14.8%0.0%16.8%2.6%0.3%10.4M-710.2M-8.4M1.535.66N/AN/A8,51213,026398,997419,528
2007-06-20$49.46$50.0018.9%5.4%17.5%0.0%20.1%2.3%-0.4%4.6M-504.5M-8.5M2.747.33N/AN/A11,74832,213402,178424,697
2007-06-21$49.84$50.0019.2%5.5%17.8%0.0%20.2%3.9%-0.0%4.2M-546.2M-8.8M1.368.07N/AN/A11,08815,035408,893442,199
2007-06-22$48.72$50.0023.2%6.6%19.2%0.0%22.0%4.1%-1.2%481.2K-397.9M-9.1M1.069.30N/AN/A21,26322,534412,443448,518
2007-06-25$48.36$50.0024.4%7.0%19.2%0.0%23.4%4.7%-1.7%-1.3M-293.4M-9.4M1.2211.17N/AN/A17,85621,855424,590457,582
2007-06-26$48.60$50.0024.2%6.9%19.3%0.0%23.4%4.1%-1.8%-1.2M-348.0M-9.4M0.9211.00N/AN/A24,16222,238431,944467,238
2007-06-27$49.24$50.0019.7%5.7%19.9%0.0%21.2%5.0%-0.0%2.3M-448.6M-9.5M0.956.41N/AN/A20,27719,340444,934472,925
2007-06-28$48.96$50.0019.4%5.6%19.9%0.0%20.9%3.0%-0.3%1.1M-397.2M-9.5M3.707.75N/AN/A6,65824,636459,111482,372
2007-06-29$48.45$50.0023.7%6.8%20.1%0.0%23.1%3.1%-1.3%-933.4K-297.4M-9.7M0.606.07N/AN/A27,90116,838456,641491,684