JPM Options History — January 2008

In January 2008, JPM traded between $39.17 and $47.45. ATM implied volatility averaged 43.3%, placing in the 71.9% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 0.7% (HV 20d: 42.6%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.50.

Notable Days

2008-01-16: Highest Volume — 205,019 contracts
2008-01-10: Largest IV drop — 25.9% change
2008-01-09: Highest IV Rank — 100.0%
2008-01-22: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.52	$39.17	$47.45	$42.17	$47.40
Max Pain	$41.67	$40.00	$45.00	$45.00	$42.50
ATM IV	43.3%	37.7%	56.3%	39.0%	41.9%
Expected Move	12.0%	10.8%	13.8%	11.2%	12.0%
HV 20d	42.6%	27.2%	63.1%	30.4%	61.5%
HV 60d	42.6%	37.5%	50.1%	37.5%	48.2%
IV Rank	71.9%	56.8%	100.0%	67.2%	66.4%
IV Percentile	90.4%	77.8%	100.0%	86.1%	88.9%
Term Structure	-3.0%	-5.8%	-1.2%	-1.7%	-2.7%
VWIV	42.9%	38.8%	47.7%	40.0%	43.4%
Skew 25d	8.5%	5.9%	12.3%	7.5%	8.5%
Skew 10d	17.4%	10.7%	25.7%	18.0%	18.9%
Call IV 25d	38.4%	32.8%	43.8%	36.3%	37.8%
Put IV 25d	46.9%	42.6%	52.6%	43.8%	46.3%
Bid-Ask Spread %	12.83	7.31	23.55	7.53	12.99
Gamma HHI	0.20	0.12	0.53	0.17	0.16
Net GEX	-17.2M	-50.4M	15.3M	-23.8M	14.5M
Net DEX	324.5M	-901.1M	1.21B	656.2M	-901.1M
Net VEX	-9.4M	-11.3M	-8.3M	-8.9M	-11.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.50	0.41	5.27	1.20	0.98
Total Volume	99,633.667	32,848	205,019	75,474	66,488
Total OI	1,490,072.905	1,088,283	1,839,547	1,554,235	1,323,404

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
2008-01-02	$42.17	$45.00	39.0%	11.2%	30.4%	67.2%	40.0%	7.5%	-1.7%	-23.8M	656.2M	-8.9M	1.20	7.53	N/A	N/A	34,301	41,173	691,430	862,805
2008-01-03	$41.88	$45.00	39.9%	11.4%	29.5%	69.6%	40.4%	7.0%	-3.3%	-25.3M	636.7M	-9.0M	4.91	7.31	N/A	N/A	19,039	93,464	697,951	865,046
2008-01-04	$40.93	$42.50	45.7%	11.9%	29.4%	84.8%	40.0%	7.8%	-1.4%	-27.7M	804.5M	-8.7M	1.48	15.95	N/A	N/A	33,532	49,612	698,200	855,903
2008-01-07	$41.34	$42.50	46.1%	11.1%	27.2%	85.8%	38.8%	8.6%	-1.9%	-27.1M	761.7M	-8.7M	1.49	10.38	N/A	N/A	13,198	19,650	701,000	867,555
2008-01-08	$39.70	$42.50	51.3%	12.2%	29.9%	99.5%	44.7%	7.3%	-2.8%	-29.7M	1.03B	-8.3M	5.27	11.84	N/A	N/A	27,675	145,863	705,404	862,371
2008-01-09	$40.26	$42.50	56.3%	12.9%	27.9%	100.0%	47.0%	8.9%	-3.5%	-31.4M	947.6M	-8.8M	2.68	8.95	N/A	N/A	29,733	79,699	721,945	914,003
2008-01-10	$41.33	$40.00	41.8%	12.0%	29.0%	66.2%	45.9%	8.2%	-3.9%	-29.8M	661.0M	-9.1M	1.15	11.56	N/A	N/A	46,565	53,317	728,452	936,077
2008-01-11	$40.86	$40.00	45.5%	13.1%	28.8%	74.9%	44.1%	9.0%	-5.8%	-32.4M	800.5M	-8.9M	0.95	11.29	N/A	N/A	41,811	39,646	734,398	941,836
2008-01-14	$41.36	$42.50	40.4%	11.6%	29.5%	63.0%	40.0%	8.4%	-3.2%	-29.3M	626.9M	-8.9M	0.90	15.79	N/A	N/A	24,210	21,777	757,076	949,020
2008-01-15	$39.17	$42.50	44.7%	12.8%	34.3%	73.0%	45.7%	6.8%	-4.1%	-36.6M	1.20B	-8.3M	1.92	11.53	N/A	N/A	68,241	130,716	761,720	954,346
2008-01-16	$41.43	$40.00	38.3%	11.0%	40.8%	58.2%	38.9%	5.9%	-2.4%	-30.1M	485.6M	-8.9M	0.91	12.79	N/A	N/A	107,494	97,525	800,296	986,678
2008-01-17	$40.04	$40.00	43.4%	12.4%	42.1%	69.9%	44.0%	6.1%	-2.4%	-39.4M	920.8M	-9.3M	1.20	10.70	N/A	N/A	42,961	51,395	820,049	1,009,577
2008-01-18	$39.59	$40.00	46.5%	13.3%	42.1%	77.3%	47.7%	8.4%	-3.6%	-50.4M	1.21B	-9.2M	1.30	12.52	N/A	N/A	33,729	43,900	831,722	1,007,825
2008-01-22	$40.86	$40.00	48.0%	13.8%	43.8%	80.7%	46.7%	9.1%	-5.1%	-9.3M	256.5M	-9.4M	0.52	11.89	N/A	N/A	36,574	19,174	468,667	619,616
2008-01-23	$45.72	$40.00	40.6%	11.7%	59.7%	63.6%	42.8%	8.1%	-4.3%	3.1M	-453.0M	-9.8M	0.71	18.46	N/A	N/A	81,740	57,793	477,567	626,162
2008-01-24	$44.96	$40.00	39.7%	11.4%	59.8%	61.3%	41.8%	11.7%	-2.6%	4.7M	-393.9M	-10.1M	0.41	11.83	N/A	N/A	54,201	22,322	513,690	650,217
2008-01-25	$43.64	$40.00	45.1%	12.9%	60.8%	73.8%	45.3%	9.2%	-3.0%	929.3K	-190.6M	-10.3M	0.90	14.19	N/A	N/A	52,805	47,532	526,530	660,563
2008-01-28	$45.57	$42.50	37.8%	10.8%	61.8%	56.9%	40.4%	12.3%	-1.2%	8.1M	-509.8M	-10.7M	0.82	10.90	N/A	N/A	25,246	20,726	551,585	682,452
2008-01-29	$47.45	$42.50	37.7%	10.8%	63.1%	56.8%	42.2%	11.1%	-2.7%	15.3M	-900.1M	-10.6M	1.04	17.48	N/A	N/A	57,100	59,427	561,004	680,353
2008-01-30	$47.35	$42.50	39.6%	11.3%	63.1%	61.1%	40.6%	8.2%	-2.1%	13.9M	-837.2M	-11.0M	0.79	23.55	N/A	N/A	56,282	44,671	580,548	706,488
2008-01-31	$47.40	$42.50	41.9%	12.0%	61.5%	66.4%	43.4%	8.5%	-2.7%	14.5M	-901.1M	-11.3M	0.98	12.99	N/A	N/A	33,574	32,914	597,735	725,669