JPM Options History — December 2007 In December 2007, JPM traded between $43.26 and $47.42. ATM implied volatility averaged 36.0%, placing in the 59.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 5.9% (HV 20d: 41.8%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.23.
Notable Days 2007-12-31 : Highest Volume — 460,359 contracts2007-12-11 : Largest IV spike — 22.7% change2007-12-12 : Highest IV Rank — 72.1%2007-12-13 : Largest Expected Move — 11.5%Monthly Statistics Metric Avg Min Max Open Close Price $44.86 $43.26 $47.42 $45.21 $43.65 Max Pain $45.00 $45.00 $45.00 $45.00 $45.00 ATM IV 36.0% 30.5% 40.8% 36.4% 35.4% Expected Move 10.3% 8.8% 11.5% 10.4% 10.2% HV 20d 41.8% 28.2% 49.7% 49.0% 28.2% HV 60d 36.7% 36.2% 37.9% 36.4% 36.9% IV Rank 59.4% 45.2% 72.1% 60.4% 58.0% IV Percentile 80.9% 68.0% 91.6% 84.0% 78.0% Term Structure -0.7% -3.3% 1.5% 0.5% -0.7% VWIV 38.3% 31.4% 62.2% 39.4% 62.2% Skew 25d 8.0% 5.6% 9.8% 8.8% 5.6% Skew 10d 16.6% 12.6% 20.4% 18.6% 13.9% Call IV 25d 32.6% 28.7% 37.3% 32.6% 32.3% Put IV 25d 40.6% 35.4% 44.2% 41.4% 37.9% Bid-Ask Spread % 10.72 6.52 15.71 9.93 9.28 Gamma HHI 0.15 0.13 0.19 0.14 0.16 Net GEX -8.0M -27.5M 20.8M -855.8K -18.8M Net DEX -3.1M -853.3M 485.4M -140.9M 316.1M Net VEX -10.6M -11.5M -9.3M -11.3M -9.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.23 0.02 3.03 3.03 0.02 Total Volume 58,210.2 17,549 460,359 67,835 460,359 Total OI 1,677,545.95 1,538,230 1,786,668 1,628,674 1,566,797
Daily Data (20 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 2007-12-03 $45.21 $45.00 36.4% 10.4% 49.0% 60.4% 39.4% 8.8% 0.5% -855.8K -140.9M -11.3M 3.03 9.93 N/A N/A 16,839 50,996 761,664 867,010 2007-12-04 $44.15 $45.00 36.8% 10.5% 49.7% 61.5% 39.5% 8.2% 0.3% -7.6M 117.2M -11.3M 1.64 6.52 N/A N/A 8,036 13,218 771,249 881,728 2007-12-05 $44.90 $45.00 36.1% 10.3% 48.9% 59.7% 37.3% 9.2% -0.1% -3.3M -54.8M -11.3M 0.85 7.71 N/A N/A 10,991 9,303 769,925 881,586 2007-12-06 $46.21 $45.00 34.5% 9.9% 46.9% 55.5% 35.0% 7.0% 1.3% 6.5M -394.6M -11.3M 0.58 10.60 N/A N/A 21,926 12,778 772,215 879,902 2007-12-07 $46.08 $45.00 34.2% 10.0% 46.9% 54.7% 35.9% 9.6% -1.0% 7.1M -385.3M -11.3M 0.83 14.05 N/A N/A 12,061 9,997 783,159 884,940 2007-12-10 $47.42 $45.00 32.3% 9.3% 47.5% 49.8% 33.6% 9.0% -1.2% 20.8M -853.3M -10.9M 0.99 12.76 N/A N/A 27,028 26,707 784,436 885,878 2007-12-11 $45.94 $45.00 39.6% 10.9% 49.4% 68.9% 39.4% 8.6% -2.7% 5.9M -347.0M -11.1M 2.31 15.71 N/A N/A 26,381 60,954 791,567 894,278 2007-12-12 $46.15 $45.00 40.8% 11.4% 44.6% 72.1% 40.2% 9.8% -2.9% 3.0M -365.4M -11.4M 2.55 11.91 N/A N/A 16,624 42,314 791,378 933,437 2007-12-13 $45.76 $45.00 40.0% 11.5% 44.7% 69.9% 39.7% 8.4% -2.9% -2.7M -208.7M -11.5M 1.06 9.20 N/A N/A 14,919 15,839 791,365 970,782 2007-12-14 $45.20 $45.00 39.1% 11.2% 42.8% 67.5% 41.0% 9.1% -3.3% -8.0M -70.5M -11.5M 1.50 9.35 N/A N/A 15,932 23,896 797,288 974,998 2007-12-17 $44.53 $45.00 39.2% 11.2% 43.0% 67.8% 41.6% 6.9% -2.2% -15.2M 114.3M -11.0M 1.09 14.21 N/A N/A 16,365 17,869 803,313 981,289 2007-12-18 $43.90 $45.00 38.1% 10.9% 40.5% 65.0% 38.4% 7.6% -1.4% -21.6M 318.6M -10.6M 0.80 8.14 N/A N/A 19,692 15,814 805,807 978,962 2007-12-19 $43.98 $45.00 36.3% 10.4% 40.5% 60.3% 36.4% 7.5% -0.9% -22.8M 317.6M -10.4M 0.63 11.90 N/A N/A 14,706 9,247 810,399 976,269 2007-12-20 $43.33 $45.00 38.6% 11.1% 39.9% 66.4% 40.2% 9.3% -1.2% -27.5M 485.4M -10.2M 1.08 8.46 N/A N/A 19,861 21,505 813,045 967,387 2007-12-21 $44.11 $45.00 32.9% 9.4% 39.0% 51.5% 34.7% 7.6% 0.5% -14.7M 274.5M -10.1M 2.02 8.85 N/A N/A 11,898 24,053 813,918 968,428 2007-12-24 $44.83 $45.00 30.8% 8.8% 36.4% 46.0% 31.4% 7.9% 0.8% -12.7M 90.5M -9.9M 0.74 11.03 N/A N/A 10,082 7,467 689,222 849,008 2007-12-26 $44.94 $45.00 30.5% 8.8% 33.2% 45.2% 32.2% 6.6% 1.1% -9.0M -27.5M -9.6M 0.92 10.32 N/A N/A 10,306 9,511 694,979 851,754 2007-12-27 $43.64 $45.00 34.5% 9.9% 32.4% 55.6% 34.1% 6.0% -0.3% -18.7M 359.2M -9.5M 0.94 11.92 N/A N/A 12,329 11,634 699,664 853,203 2007-12-28 $43.26 $45.00 33.0% 9.5% 32.5% 51.6% 33.8% 6.6% 1.5% -19.0M 392.0M -9.3M 1.03 12.59 N/A N/A 17,152 17,615 703,067 855,623 2007-12-31 $43.65 $45.00 35.4% 10.2% 28.2% 58.0% 62.2% 5.6% -0.7% -18.8M 316.1M -9.3M 0.02 9.28 N/A N/A 451,502 8,857 705,989 860,808
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