JPM Options History — August 2007 In August 2007, JPM traded between $43.00 and $47.01. ATM implied volatility averaged 38.1%, placing in the 67.6% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 3.7% (HV 20d: 34.4%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.59.
Notable Days 2007-08-17 : Highest Volume — 133,994 contracts2007-08-09 : Largest IV spike — 42.6% change2007-08-01 : Highest IV Rank — 100.0%2007-08-03 : Largest Expected Move — 14.8%Monthly Statistics Metric Avg Min Max Open Close Price $44.87 $43.00 $47.01 $44.38 $44.52 Max Pain $47.28 $45.00 $47.50 $47.50 $47.50 ATM IV 38.1% 29.2% 51.5% 39.8% 33.4% Expected Move 10.5% 8.4% 14.8% 11.4% 9.6% HV 20d 34.4% 26.2% 40.3% 26.2% 38.0% HV 60d 25.8% 20.8% 29.2% 20.8% 29.2% IV Rank 67.6% 41.7% 100.0% 100.0% 52.7% IV Percentile 93.2% 84.8% 100.0% 100.0% 88.0% Term Structure -0.9% -4.2% 3.4% -3.8% 1.8% VWIV 38.3% 27.7% 50.7% 43.3% 33.4% Skew 25d 10.0% 4.8% 15.5% 8.5% 4.8% Skew 10d 20.9% 11.0% 32.3% 20.2% 11.0% Call IV 25d 32.5% 24.1% 47.1% 37.5% 32.3% Put IV 25d 42.5% 32.7% 54.5% 46.0% 37.2% Bid-Ask Spread % 11.29 7.72 19.44 15.06 10.85 Gamma HHI 0.12 0.10 0.14 0.11 0.12 Net GEX -9.3M -15.3M 682.8K -13.4M -9.6M Net DEX 243.6M -265.2M 601.4M 340.2M 310.4M Net VEX -11.8M -12.5M -11.3M -11.4M -11.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.59 0.30 3.10 0.97 0.30 Total Volume 56,384.435 25,402 133,994 78,755 33,675 Total OI 1,376,692.043 1,255,274 1,463,432 1,255,274 1,425,175
Daily Data (23 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 2007-08-01 $44.38 $47.50 39.8% 11.4% 26.2% 100.0% 43.3% 8.5% -3.8% -13.4M 340.2M -11.4M 0.97 15.06 N/A N/A 40,049 38,706 564,876 690,398 2007-08-02 $44.59 $45.00 39.2% 11.2% 26.4% 97.8% 40.4% 9.6% -2.4% -11.3M 275.0M -11.4M 1.68 8.76 N/A N/A 32,671 54,828 575,355 693,530 2007-08-03 $43.65 $45.00 51.5% 14.8% 26.8% 100.0% 50.7% 7.4% -3.9% -10.2M 395.8M -11.7M 0.97 12.74 N/A N/A 45,296 43,862 589,941 719,516 2007-08-06 $45.11 $47.50 42.6% 11.0% 30.1% 76.7% 38.5% 11.3% -3.7% -8.2M 231.1M -11.8M 1.11 11.43 N/A N/A 49,027 54,482 607,647 729,052 2007-08-07 $45.34 $47.50 36.2% 9.8% 29.1% 60.0% 34.1% 11.1% -2.8% -8.0M 164.3M -11.8M 0.87 12.33 N/A N/A 24,559 21,436 627,989 760,004 2007-08-08 $46.51 $47.50 32.1% 8.8% 30.3% 49.2% 34.5% 9.1% -1.7% -1.9M -96.7M -11.9M 1.83 19.44 N/A N/A 23,689 43,398 627,234 750,228 2007-08-09 $44.17 $47.50 45.8% 10.9% 32.9% 85.0% 45.3% 10.6% -3.1% -9.7M 338.8M -11.8M 3.10 14.90 N/A N/A 19,351 60,066 637,078 761,505 2007-08-10 $44.25 $47.50 46.1% 11.7% 32.4% 85.9% 40.9% 12.0% -3.5% -11.5M 357.7M -12.3M 1.19 12.46 N/A N/A 21,575 25,679 640,283 793,609 2007-08-13 $43.83 $47.50 43.4% 11.0% 32.5% 78.7% 37.6% 10.5% -3.6% -14.0M 485.1M -11.7M 0.70 7.72 N/A N/A 21,864 15,367 644,013 776,699 2007-08-14 $43.30 $47.50 46.3% 12.2% 32.4% 86.4% 49.7% 13.2% -4.0% -15.1M 593.2M -11.5M 2.06 7.93 N/A N/A 9,973 20,564 651,450 776,583 2007-08-15 $43.00 $47.50 50.9% 12.9% 32.0% 98.4% 48.1% 13.2% -3.7% -15.3M 601.4M -11.6M 1.45 7.80 N/A N/A 17,726 25,678 652,320 783,046 2007-08-16 $45.47 $47.50 43.5% 12.5% 38.9% 79.1% 43.3% 15.5% -4.2% -4.1M -14.6M -12.5M 0.99 9.58 N/A N/A 31,613 31,175 655,985 792,969 2007-08-17 $47.01 $47.50 35.8% 10.3% 40.3% 58.9% 37.2% 15.2% -1.9% 682.8K -265.2M -12.5M 1.17 10.86 N/A N/A 61,880 72,114 665,632 797,800 2007-08-20 $46.49 $47.50 32.6% 9.3% 40.3% 50.6% 37.6% 12.0% 0.7% -4.0M -27.6M -12.3M 1.59 11.82 N/A N/A 15,197 24,099 592,256 734,318 2007-08-21 $46.20 $47.50 34.0% 9.7% 37.8% 54.2% 32.8% 10.1% 1.5% -5.3M 17.3M -12.0M 1.58 8.33 N/A N/A 9,851 15,551 598,534 738,684 2007-08-22 $46.00 $47.50 30.9% 8.9% 37.8% 46.2% 34.1% 9.1% 2.3% -6.4M 55.6M -11.8M 2.72 13.62 N/A N/A 13,185 35,838 601,299 741,803 2007-08-23 $45.67 $47.50 30.8% 8.8% 36.6% 45.8% 31.3% 9.2% 2.1% -6.6M 108.0M -11.6M 2.44 9.42 N/A N/A 15,146 36,891 606,567 746,936 2007-08-24 $45.95 $47.50 29.2% 8.4% 36.6% 41.7% 27.7% 8.7% 3.1% -7.5M 99.0M -11.6M 2.41 15.88 N/A N/A 8,789 21,186 612,378 757,602 2007-08-27 $44.91 $47.50 29.8% 8.6% 37.4% 43.4% 33.1% 8.4% 2.9% -10.3M 280.9M -11.3M 2.77 8.48 N/A N/A 7,752 21,464 614,637 754,272 2007-08-28 $43.60 $47.50 36.8% 10.6% 38.5% 61.6% 36.1% 6.7% 2.2% -14.0M 517.4M -11.3M 2.78 7.92 N/A N/A 9,979 27,766 614,717 764,636 2007-08-29 $44.13 $47.50 30.4% 8.7% 38.6% 44.9% 34.9% 8.5% 3.4% -14.1M 422.9M -11.3M 1.56 11.54 N/A N/A 11,414 17,759 618,556 773,702 2007-08-30 $43.97 $47.50 35.5% 10.2% 38.6% 58.2% 35.7% 5.1% 0.9% -13.5M 412.7M -11.4M 0.38 10.73 N/A N/A 46,794 17,878 621,856 781,247 2007-08-31 $44.52 $47.50 33.4% 9.6% 38.0% 52.7% 33.4% 4.8% 1.8% -9.6M 310.4M -11.6M 0.30 10.85 N/A N/A 25,901 7,774 640,186 784,989
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