JPM Options History — November 2007 In November 2007, JPM traded between $40.46 and $45.62. ATM implied volatility averaged 41.9%, placing in the 75.0% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 0.6% (HV 20d: 41.3%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.31.
Notable Days 2007-11-05 : Highest Volume — 74,492 contracts2007-11-07 : Largest IV spike — 29.5% change2007-11-26 : Highest IV Rank — 96.7%2007-11-26 : Largest Expected Move — 14.4%Monthly Statistics Metric Avg Min Max Open Close Price $42.97 $40.46 $45.62 $44.32 $45.62 Max Pain $46.31 $45.00 $47.50 $45.00 $45.00 ATM IV 41.9% 34.2% 50.2% 36.6% 34.2% Expected Move 11.6% 9.5% 14.4% 10.5% 9.8% HV 20d 41.3% 30.2% 51.8% 30.2% 50.0% HV 60d 32.1% 28.4% 36.5% 31.0% 36.5% IV Rank 75.0% 54.9% 96.7% 60.9% 54.9% IV Percentile 92.9% 80.0% 99.1% 91.0% 80.0% Term Structure 0.2% -3.3% 3.2% -2.4% 3.2% VWIV 40.8% 32.0% 49.3% 37.8% 32.0% Skew 25d 9.5% 6.7% 12.6% 8.3% 8.1% Skew 10d 17.9% 11.9% 21.9% 11.9% 18.9% Call IV 25d 36.9% 30.3% 46.9% 34.2% 30.3% Put IV 25d 46.4% 38.4% 55.2% 42.5% 38.4% Bid-Ask Spread % 8.87 7.07 14.05 7.13 7.20 Gamma HHI 0.14 0.12 0.15 0.12 0.15 Net GEX -12.3M -17.7M 3.0M -8.5M 3.0M Net DEX 366.4M -297.8M 796.8M 181.2M -297.8M Net VEX -10.8M -11.3M -10.3M -10.6M -11.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.31 0.52 3.04 1.11 0.85 Total Volume 50,120.333 26,749 74,492 42,033 55,466 Total OI 1,494,293.381 1,369,521 1,608,772 1,369,521 1,608,772
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 2007-11-01 $44.32 $45.00 36.6% 10.5% 30.2% 60.9% 37.8% 8.3% -2.4% -8.5M 181.2M -10.6M 1.11 7.13 N/A N/A 19,876 22,157 627,270 742,251 2007-11-02 $43.15 $45.00 42.9% 12.3% 31.1% 77.6% 43.9% 9.6% -3.3% -12.1M 388.5M -10.4M 1.25 14.05 N/A N/A 32,688 40,790 630,302 747,687 2007-11-05 $42.77 $47.50 44.7% 11.4% 31.1% 82.2% 39.3% 9.0% -0.4% -14.6M 438.3M -10.4M 2.23 7.39 N/A N/A 23,071 51,421 635,143 760,456 2007-11-06 $44.11 $47.50 35.1% 9.5% 33.5% 57.0% 34.5% 6.7% 1.3% -13.5M 221.6M -10.8M 0.81 7.26 N/A N/A 22,811 18,589 639,954 789,985 2007-11-07 $42.24 $47.50 45.4% 11.6% 36.2% 84.1% 41.3% 8.3% 0.4% -16.8M 536.7M -10.6M 1.44 9.33 N/A N/A 15,171 21,831 651,901 793,113 2007-11-08 $42.61 $47.50 45.0% 12.5% 36.6% 82.9% 42.2% 10.2% -0.5% -15.8M 491.7M -10.9M 2.06 8.90 N/A N/A 16,390 33,841 656,555 801,285 2007-11-09 $42.31 $47.50 46.7% 12.8% 36.5% 87.6% 45.4% 12.2% -0.3% -16.3M 530.6M -11.0M 2.00 8.30 N/A N/A 17,369 34,743 661,623 807,086 2007-11-12 $42.39 $47.50 49.1% 12.7% 36.4% 93.6% 41.8% 10.3% -0.2% -17.7M 545.7M -10.8M 0.70 7.98 N/A N/A 40,727 28,369 664,559 814,467 2007-11-13 $45.05 $47.50 44.3% 10.9% 42.2% 81.3% 38.8% 10.0% 0.5% -4.9M -40.6M -11.3M 0.69 10.55 N/A N/A 41,864 28,817 690,293 820,340 2007-11-14 $45.15 $47.50 39.7% 10.6% 41.0% 69.0% 37.3% 7.8% -0.1% -6.3M -59.7M -11.3M 0.93 8.27 N/A N/A 16,506 15,382 698,435 822,384 2007-11-15 $43.53 $47.50 41.5% 11.9% 42.8% 74.0% 40.4% 10.2% -1.1% -14.0M 278.4M -11.0M 1.39 7.60 N/A N/A 21,807 30,321 701,422 823,846 2007-11-16 $43.09 $47.50 39.1% 11.2% 42.4% 67.7% 38.1% 9.6% 0.5% -15.6M 358.5M -11.0M 0.52 8.67 N/A N/A 26,471 13,786 708,792 828,739 2007-11-19 $41.37 $47.50 39.7% 11.4% 44.4% 69.1% 40.9% 9.3% 0.2% -15.4M 641.8M -10.4M 1.01 7.07 N/A N/A 17,932 18,107 683,662 784,926 2007-11-20 $41.63 $45.00 39.8% 11.4% 44.1% 69.4% 40.7% 12.6% 1.8% -14.5M 601.2M -10.6M 1.50 11.71 N/A N/A 23,584 35,301 691,491 794,144 2007-11-21 $40.68 $45.00 46.9% 13.5% 44.3% 88.1% 47.1% 9.1% -0.2% -15.5M 745.7M -10.4M 1.53 8.83 N/A N/A 12,713 19,432 700,711 810,918 2007-11-23 $41.95 $45.00 43.3% 12.4% 46.2% 78.5% 46.2% 10.1% 0.3% -13.5M 546.2M -10.7M 3.04 9.61 N/A N/A 7,865 23,875 704,931 811,673 2007-11-26 $40.46 $45.00 50.2% 14.4% 45.9% 96.7% 49.3% 8.3% -0.9% -16.2M 796.8M -10.3M 1.12 7.70 N/A N/A 25,520 28,517 708,748 825,609 2007-11-27 $42.35 $45.00 41.7% 12.0% 49.6% 74.3% 44.0% 10.4% 2.2% -13.0M 457.6M -10.9M 1.06 8.20 N/A N/A 32,802 34,864 722,308 835,116 2007-11-28 $43.96 $45.00 35.5% 10.2% 51.8% 58.1% 38.4% 9.3% 1.9% -7.6M 133.8M -11.1M 1.03 12.18 N/A N/A 27,153 27,849 738,097 841,539 2007-11-29 $43.65 $45.00 39.0% 11.2% 51.6% 67.3% 38.0% 10.1% 1.3% -8.6M 198.2M -11.2M 1.23 8.29 N/A N/A 12,019 14,730 750,554 849,074 2007-11-30 $45.62 $45.00 34.2% 9.8% 50.0% 54.9% 32.0% 8.1% 3.2% 3.0M -297.8M -11.3M 0.85 7.20 N/A N/A 29,999 25,467 754,092 854,680
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