JPM Options History — September 2007

In September 2007, JPM traded between $43.52 and $47.82. ATM implied volatility averaged 32.9%, placing in the 51.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 2.1% (HV 20d: 30.9%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.39.

Notable Days

  • 2007-09-19: Highest Volume — 65,374 contracts
  • 2007-09-18: Largest IV drop — 22.6% change
  • 2007-09-07: Highest IV Rank — 71.0%
  • 2007-09-07: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.61$43.52$47.82$45.30$45.82
Max Pain$45.39$45.00$47.50$47.50$45.00
ATM IV32.9%27.1%40.4%33.7%28.5%
Expected Move9.7%7.8%12.4%9.7%8.2%
HV 20d30.9%23.2%37.7%36.7%27.6%
HV 60d30.3%29.3%31.4%29.3%31.1%
IV Rank51.5%36.3%71.0%53.5%40.0%
IV Percentile83.9%73.6%95.3%88.1%75.3%
Term Structure-2.8%-7.2%1.2%0.9%-1.3%
VWIV34.4%26.8%43.5%33.2%31.5%
Skew 25d7.3%3.3%10.0%6.2%5.2%
Skew 10d14.4%6.9%21.0%11.3%10.1%
Call IV 25d30.6%25.4%37.2%31.0%26.7%
Put IV 25d37.8%31.1%47.3%37.1%31.9%
Bid-Ask Spread %11.706.8417.699.119.80
Gamma HHI0.140.120.200.120.14
Net GEX-1.5M-12.1M18.9M-4.6M-4.7M
Net DEX6.9M-551.5M460.5M108.0M-30.1M
Net VEX-11.2M-11.6M-10.4M-11.6M-10.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.473.210.562.77
Total Volume37,594.15820,16565,37429,15620,165
Total OI1,428,6141,250,0681,528,9911,431,7271,293,590

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$45.30$47.5033.7%9.7%36.7%53.5%33.2%6.2%0.9%-4.6M108.0M-11.6M0.569.11N/AN/A18,73410,422647,140784,587
2007-09-05$44.17$47.5036.2%10.4%37.7%60.0%37.8%3.9%0.7%-9.3M332.7M-11.5M1.096.84N/AN/A15,31516,744653,078791,528
2007-09-06$44.21$47.5035.8%10.2%36.4%58.8%35.8%3.3%1.2%-9.5M324.1M-11.4M0.907.91N/AN/A15,89314,321656,859797,654
2007-09-07$43.52$45.0040.4%12.4%31.9%71.0%39.9%10.0%-5.0%-12.1M460.5M-11.4M1.3715.21N/AN/A19,10326,116660,012803,947
2007-09-10$43.93$45.0036.7%11.5%32.1%61.3%38.8%9.7%-3.6%-11.3M383.9M-11.6M0.8911.19N/AN/A21,07518,652666,845816,772
2007-09-11$44.54$45.0034.2%11.0%32.3%54.8%43.0%9.6%-3.7%-8.4M271.8M-11.5M3.2110.68N/AN/A12,82641,124672,224812,698
2007-09-12$44.47$45.0033.2%10.6%31.9%52.1%40.0%8.9%-3.8%-9.7M291.6M-11.3M1.618.29N/AN/A10,26716,500671,964807,644
2007-09-13$45.60$45.0036.0%10.3%32.9%59.6%35.6%8.9%-4.6%-2.6M31.9M-11.5M0.5714.63N/AN/A18,58310,506672,714808,640
2007-09-14$45.54$45.0036.8%10.6%26.2%61.6%36.5%9.1%-5.2%-2.3M34.6M-11.4M0.5815.20N/AN/A22,51113,048677,610810,591
2007-09-17$45.29$45.0040.1%11.5%23.2%70.2%43.5%9.4%-7.2%-4.1M79.9M-11.5M2.8310.35N/AN/A7,23820,451687,820816,394
2007-09-18$47.82$45.0031.0%8.9%30.3%46.5%33.3%7.8%-4.0%14.1M-551.5M-11.4M0.4710.23N/AN/A42,59620,103689,171826,171
2007-09-19$47.57$45.0029.1%8.3%30.2%41.4%30.8%6.4%-3.1%16.5M-511.1M-11.1M0.9411.42N/AN/A33,66331,711690,919823,386
2007-09-20$46.96$45.0029.9%8.6%30.6%43.6%32.7%7.0%-2.8%13.2M-312.6M-11.1M1.2817.69N/AN/A14,39418,474699,980823,645
2007-09-21$47.13$45.0027.3%7.8%30.5%36.7%28.8%6.3%-1.5%18.9M-309.0M-11.0M1.8115.02N/AN/A10,72319,357695,744833,247
2007-09-24$46.34$45.0027.1%7.8%31.1%36.3%28.8%6.3%-1.8%-2.7M-154.7M-10.6M1.8014.06N/AN/A11,94421,465558,230691,838
2007-09-25$46.10$45.0031.1%8.9%29.9%46.8%29.9%7.7%-3.3%-3.6M-91.5M-10.6M1.608.78N/AN/A18,64429,786563,090692,964
2007-09-26$46.13$45.0029.9%8.6%27.6%43.6%27.4%6.4%-2.7%-3.8M-88.3M-10.7M1.009.59N/AN/A16,80416,822568,680700,036
2007-09-27$46.21$45.0028.8%8.3%27.4%40.6%26.8%5.6%-2.0%-2.7M-139.9M-10.4M1.1816.35N/AN/A17,54520,664574,827701,427
2007-09-28$45.82$45.0028.5%8.2%27.6%40.0%31.5%5.2%-1.3%-4.7M-30.1M-10.6M2.779.80N/AN/A5,34314,822585,694707,896