JPM Options History — October 2007 In October 2007, JPM traded between $45.02 and $47.58. ATM implied volatility averaged 27.3%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 4.4% (HV 20d: 22.9%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.08.
Notable Days 2007-10-16 : Highest Volume — 57,211 contracts2007-10-25 : Largest IV spike — 22.1% change2007-10-25 : Highest IV Rank — 55.1%2007-10-25 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $46.57 $45.02 $47.58 $46.81 $47.00 Max Pain $45.00 $45.00 $45.00 $45.00 $45.00 ATM IV 27.3% 23.0% 34.3% 24.5% 25.7% Expected Move 7.8% 6.5% 9.8% 7.0% 7.4% HV 20d 22.9% 16.5% 28.2% 28.2% 22.0% HV 60d 30.0% 28.9% 31.5% 31.4% 29.0% IV Rank 36.8% 25.5% 55.1% 29.5% 32.6% IV Percentile 73.3% 62.8% 87.8% 70.1% 66.5% Term Structure -0.6% -2.5% 0.2% -1.0% -0.3% VWIV 28.0% 21.7% 34.2% 27.1% 26.1% Skew 25d 5.6% 3.5% 7.0% 6.3% 5.9% Skew 10d 12.6% 8.7% 18.9% 14.1% 12.7% Call IV 25d 25.3% 20.4% 31.1% 24.2% 23.9% Put IV 25d 30.8% 25.7% 37.0% 30.5% 29.9% Bid-Ask Spread % 11.81 7.67 18.26 10.35 12.08 Gamma HHI 0.13 0.12 0.15 0.15 0.13 Net GEX 2.9M -6.1M 11.0M -1.6M 3.5M Net DEX -312.2M -618.5M 40.2M -237.5M -433.1M Net VEX -10.7M -11.0M -10.3M -10.6M -10.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.08 0.11 3.19 1.09 0.45 Total Volume 28,750.913 13,506 57,211 43,393 36,971 Total OI 1,342,192.043 1,305,822 1,401,465 1,305,822 1,354,594
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 2007-10-01 $46.81 $45.00 24.5% 7.0% 28.2% 29.5% 27.1% 6.3% -1.0% -1.6M -237.5M -10.6M 1.09 10.35 N/A N/A 20,801 22,592 586,820 719,002 2007-10-02 $47.16 $45.00 24.3% 7.0% 27.8% 29.0% 25.6% 3.9% -0.4% 3.1M -302.4M -10.8M 0.38 9.94 N/A N/A 38,293 14,566 595,855 721,512 2007-10-03 $47.00 $45.00 24.2% 6.9% 25.9% 28.5% 25.4% 3.5% -0.2% 4.7M -400.8M -10.9M 0.46 8.97 N/A N/A 12,126 5,597 604,429 722,057 2007-10-04 $47.25 $45.00 24.5% 7.0% 25.9% 29.4% 26.5% 3.8% -0.2% 7.4M -465.4M -10.8M 0.55 9.92 N/A N/A 11,469 6,299 605,713 719,978 2007-10-05 $47.58 $45.00 23.0% 6.5% 25.0% 25.5% 21.7% 5.3% -0.1% 9.8M -549.3M -10.8M 1.00 12.95 N/A N/A 8,461 8,465 609,191 722,854 2007-10-08 $47.44 $45.00 26.1% 6.9% 25.0% 33.7% 25.5% 6.0% -0.2% 8.8M -525.6M -10.6M 1.06 12.65 N/A N/A 12,728 13,512 611,287 719,517 2007-10-09 $47.57 $45.00 26.8% 6.9% 24.7% 35.5% 25.5% 5.8% 0.2% 11.0M -618.5M -10.4M 1.06 16.82 N/A N/A 9,906 10,530 616,700 722,648 2007-10-10 $46.91 $45.00 26.2% 7.0% 25.4% 33.9% 27.3% 6.1% -0.3% 6.4M -411.3M -10.5M 0.59 12.69 N/A N/A 21,589 12,765 617,324 720,174 2007-10-11 $46.66 $45.00 25.7% 7.4% 24.1% 32.4% 26.9% 6.0% -0.7% 5.1M -363.0M -10.6M 0.93 18.26 N/A N/A 9,237 8,629 618,996 720,476 2007-10-12 $46.82 $45.00 24.6% 7.1% 24.1% 29.8% 25.8% 6.4% 0.1% 6.8M -433.4M -10.3M 0.11 12.59 N/A N/A 27,375 3,007 621,402 722,477 2007-10-15 $46.27 $45.00 27.3% 7.8% 24.5% 36.8% 29.7% 6.3% -1.3% 6.3M -300.3M -10.6M 3.19 12.75 N/A N/A 5,450 17,369 642,520 723,496 2007-10-16 $45.11 $45.00 30.4% 8.7% 16.5% 44.9% 31.2% 5.5% -1.6% -4.3M 40.2M -10.5M 1.30 9.80 N/A N/A 24,849 32,362 638,302 727,539 2007-10-17 $46.37 $45.00 26.9% 7.7% 19.7% 35.8% 27.4% 4.7% -0.8% 5.2M -322.9M -10.7M 1.24 12.06 N/A N/A 23,522 29,078 645,335 740,867 2007-10-18 $45.90 $45.00 28.9% 8.3% 19.5% 41.0% 28.0% 4.8% 0.0% 1.6M -179.3M -10.7M 1.16 14.69 N/A N/A 10,702 12,380 647,404 748,287 2007-10-19 $45.02 $45.00 33.1% 9.5% 20.5% 51.9% 33.5% 5.9% -1.7% 4.2M 6.1M -10.8M 1.23 14.97 N/A N/A 15,431 18,960 648,181 753,284 2007-10-22 $45.37 $45.00 30.9% 8.8% 20.0% 46.0% 30.3% 5.0% -1.5% -6.1M -54.5M -10.6M 0.98 9.65 N/A N/A 10,134 9,908 591,546 717,155 2007-10-23 $45.94 $45.00 28.6% 8.2% 20.5% 40.1% 30.8% 6.7% 0.2% -3.3M -165.5M -10.6M 2.31 15.70 N/A N/A 7,415 17,119 596,513 710,805 2007-10-24 $46.27 $45.00 28.1% 8.1% 20.7% 38.9% 29.8% 6.3% 0.2% -1.8M -225.3M -10.9M 1.23 10.82 N/A N/A 12,986 15,943 598,975 722,305 2007-10-25 $46.05 $45.00 34.3% 9.8% 20.7% 55.1% 34.2% 7.0% -2.5% -2.2M -180.6M -11.0M 1.67 8.69 N/A N/A 9,946 16,601 603,562 726,895 2007-10-26 $47.32 $45.00 28.2% 8.1% 22.6% 39.0% 28.4% 6.0% -0.1% 3.2M -448.0M -11.0M 0.59 8.00 N/A N/A 18,251 10,760 607,465 733,906 2007-10-29 $46.67 $45.00 28.0% 8.0% 22.0% 38.4% 28.3% 5.5% -1.2% 546.6K -329.3M -10.5M 0.96 7.67 N/A N/A 6,974 6,707 607,530 734,002 2007-10-30 $46.56 $45.00 28.4% 8.1% 21.8% 39.7% 29.7% 5.3% -1.0% -533.4K -280.4M -10.6M 1.22 9.62 N/A N/A 6,094 7,412 612,511 739,026 2007-10-31 $47.00 $45.00 25.7% 7.4% 22.0% 32.6% 26.1% 5.9% -0.3% 3.5M -433.1M -10.4M 0.45 12.08 N/A N/A 25,413 11,558 614,371 740,223
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