JPM Options History — July 2007

In July 2007, JPM traded between $44.01 and $50.05. ATM implied volatility averaged 27.8%, placing in the 76.9% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 4.8% (HV 20d: 23.0%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.32.

Notable Days

2007-07-26: Highest Volume — 135,298 contracts
2007-07-12: Largest IV drop — 26.4% change
2007-07-11: Highest IV Rank — 100.0%
2007-07-27: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.61	$44.01	$50.05	$49.15	$44.01
Max Pain	$47.86	$47.50	$50.00	$50.00	$47.50
ATM IV	27.8%	20.9%	39.0%	20.9%	36.8%
Expected Move	7.8%	5.9%	11.2%	6.0%	10.6%
HV 20d	23.0%	19.9%	26.5%	21.0%	26.0%
HV 60d	18.5%	17.4%	20.7%	17.4%	20.7%
IV Rank	76.9%	48.7%	100.0%	60.2%	91.7%
IV Percentile	94.4%	81.1%	100.0%	89.7%	97.9%
Term Structure	-2.3%	-6.6%	-0.0%	-0.7%	-3.9%
VWIV	27.7%	20.6%	39.5%	23.6%	37.8%
Skew 25d	4.7%	2.6%	7.9%	3.7%	7.9%
Skew 10d	9.3%	3.0%	16.3%	6.1%	16.3%
Call IV 25d	25.5%	19.8%	37.0%	21.0%	34.4%
Put IV 25d	30.2%	23.3%	42.9%	24.7%	42.3%
Bid-Ask Spread %	7.63	4.56	10.90	8.60	6.60
Gamma HHI	0.16	0.11	0.45	0.14	0.11
Net GEX	-668.8K	-41.1M	20.6M	4.3M	-15.4M
Net DEX	-259.9M	-829.1M	436.3M	-455.6M	436.3M
Net VEX	-9.8M	-11.0M	-4.9M	-9.7M	-11.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.32	0.43	2.37	2.30	1.54
Total Volume	57,982.19	8,097	135,298	15,450	77,014
Total OI	1,037,709	505,136	1,254,509	965,631	1,254,509

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-07-02	$49.15	$50.00	20.9%	6.0%	21.0%	0.0%	23.6%	3.7%	-0.7%	4.3M	-455.6M	-9.7M	2.30	8.60	N/A	N/A	4,683	10,767	468,890	496,741
2007-07-03	$49.34	$50.00	21.5%	6.2%	21.0%	0.0%	21.6%	4.1%	-0.1%	6.8M	-565.3M	-9.7M	0.81	6.36	N/A	N/A	7,390	6,010	467,890	502,613
2007-07-05	$48.79	$50.00	22.4%	6.4%	20.9%	60.2%	23.0%	2.6%	-1.5%	4.5M	-473.6M	-9.6M	0.80	4.56	N/A	N/A	7,958	6,343	473,099	500,556
2007-07-06	$48.97	$47.50	21.7%	5.9%	20.4%	55.5%	20.6%	3.5%	-0.0%	6.0M	-534.8M	-9.7M	0.51	8.83	N/A	N/A	5,367	2,730	474,856	501,533
2007-07-09	$48.79	$47.50	23.3%	6.0%	19.9%	66.3%	21.9%	3.5%	-0.6%	4.6M	-481.1M	-9.5M	0.90	7.48	N/A	N/A	13,292	11,952	477,206	502,088
2007-07-10	$47.51	$47.50	27.9%	7.1%	21.7%	96.3%	25.9%	3.9%	-1.3%	-1.1M	-248.3M	-9.5M	0.59	7.43	N/A	N/A	24,005	14,080	481,368	506,099
2007-07-11	$48.13	$47.50	31.5%	7.2%	21.3%	100.0%	24.7%	4.0%	-1.2%	2.6M	-402.7M	-9.7M	1.77	7.45	N/A	N/A	18,178	32,179	495,058	513,547
2007-07-12	$49.53	$47.50	23.1%	6.6%	22.7%	54.3%	23.6%	3.3%	-1.6%	10.1M	-672.2M	-9.9M	0.95	6.75	N/A	N/A	23,286	22,047	501,432	522,366
2007-07-13	$50.05	$47.50	22.1%	6.3%	23.1%	48.7%	22.5%	2.7%	-1.0%	16.9M	-829.1M	-9.6M	0.90	8.63	N/A	N/A	8,064	7,242	508,386	525,924
2007-07-16	$49.83	$47.50	22.8%	6.5%	23.0%	52.6%	22.5%	4.3%	-1.2%	14.1M	-311.4M	-4.9M	0.43	8.24	N/A	N/A	27,290	11,677	260,756	244,380
2007-07-17	$49.92	$47.50	23.3%	6.7%	23.0%	55.4%	23.8%	4.5%	-1.7%	20.6M	-809.6M	-9.6M	0.77	7.93	N/A	N/A	28,730	22,026	519,937	530,048
2007-07-18	$48.88	$47.50	22.5%	6.5%	23.9%	50.9%	25.7%	5.4%	-0.3%	9.6M	-502.3M	-9.7M	1.92	8.48	N/A	N/A	29,644	56,803	524,044	538,352
2007-07-19	$48.62	$47.50	26.1%	7.5%	21.9%	70.4%	24.9%	5.2%	-2.5%	4.3M	-458.6M	-9.9M	1.52	10.90	N/A	N/A	37,298	56,592	532,566	564,273
2007-07-20	$47.56	$47.50	28.4%	8.1%	22.9%	83.1%	27.7%	5.8%	-2.7%	-41.1M	-226.0M	-10.0M	1.44	7.93	N/A	N/A	41,498	59,932	533,723	579,914
2007-07-23	$47.15	$47.50	28.4%	8.1%	21.8%	83.2%	27.8%	4.3%	-3.2%	-5.1M	-180.0M	-10.1M	1.00	5.77	N/A	N/A	25,014	24,969	501,255	559,520
2007-07-24	$45.34	$47.50	33.3%	9.5%	25.5%	100.0%	33.5%	5.0%	-4.1%	-9.1M	152.7M	-10.2M	1.95	6.24	N/A	N/A	25,864	50,464	507,804	573,885
2007-07-25	$45.27	$47.50	33.9%	9.7%	25.3%	100.0%	34.5%	3.8%	-3.9%	-10.7M	182.0M	-10.4M	1.72	6.21	N/A	N/A	31,189	53,706	517,379	596,822
2007-07-26	$44.08	$47.50	38.3%	11.0%	25.8%	100.0%	38.9%	6.9%	-6.6%	-11.1M	317.4M	-10.5M	1.86	8.44	N/A	N/A	47,256	88,042	530,635	607,859
2007-07-27	$44.23	$47.50	39.0%	11.2%	26.0%	100.0%	39.5%	5.9%	-5.3%	-12.3M	342.1M	-10.9M	1.59	8.77	N/A	N/A	29,873	47,539	547,602	644,092
2007-07-30	$44.75	$47.50	37.2%	10.7%	26.5%	93.2%	38.1%	7.6%	-5.1%	-12.4M	262.8M	-10.9M	2.37	8.57	N/A	N/A	35,474	84,159	553,170	649,712
2007-07-31	$44.01	$47.50	36.8%	10.6%	26.0%	91.7%	37.8%	7.9%	-3.9%	-15.4M	436.3M	-11.0M	1.54	6.60	N/A	N/A	30,337	46,677	558,975	695,534