JPM Options History — February 2008 In February 2008, JPM traded between $40.65 and $48.25. ATM implied volatility averaged 41.2%, placing in the 64.5% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 13.5% (HV 20d: 54.6%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.34.
Notable Days 2008-02-04 : Highest Volume — 84,113 contracts2008-02-29 : Largest IV spike — 27.1% change2008-02-06 : Highest IV Rank — 90.2%2008-02-29 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $43.79 $40.65 $48.25 $48.25 $40.65 Max Pain $44.88 $42.50 $45.00 $42.50 $45.00 ATM IV 41.2% 32.5% 52.1% 40.6% 48.5% Expected Move 11.7% 9.3% 13.9% 11.6% 13.9% HV 20d 54.6% 34.8% 66.3% 61.4% 40.1% HV 60d 47.6% 45.1% 49.9% 48.3% 46.0% IV Rank 64.5% 43.3% 90.2% 63.4% 81.4% IV Percentile 80.3% 57.1% 99.6% 86.5% 96.4% Term Structure 0.0% -4.8% 3.8% -2.2% 0.8% VWIV 41.4% 34.1% 52.0% 42.1% 47.1% Skew 25d 8.8% 6.3% 12.0% 12.0% 7.0% Skew 10d 16.6% 11.9% 23.1% 23.1% 13.2% Call IV 25d 36.7% 30.4% 44.5% 32.8% 44.5% Put IV 25d 45.5% 37.8% 53.2% 44.8% 51.5% Bid-Ask Spread % 11.47 6.55 16.64 13.22 10.46 Gamma HHI 0.16 0.14 0.18 0.17 0.16 Net GEX 1.0M -8.3M 17.3M 17.3M -8.3M Net DEX -141.5M -1.11B 376.4M -1.11B 376.4M Net VEX -11.2M -11.9M -10.7M -11.4M -10.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.34 0.36 4.88 1.26 0.86 Total Volume 53,379.1 29,402 84,113 75,825 83,591 Total OI 1,357,776.65 1,233,962 1,462,579 1,339,893 1,345,757
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 2008-02-01 $48.25 $42.50 40.6% 11.6% 61.4% 63.4% 42.1% 12.0% -2.2% 17.3M -1.11B -11.4M 1.26 13.22 N/A N/A 33,617 42,208 605,965 733,928 2008-02-04 $46.22 $45.00 48.0% 12.4% 63.1% 80.6% 46.6% 9.5% -4.4% 8.5M -644.2M -11.4M 1.06 11.93 N/A N/A 40,820 43,293 614,983 758,507 2008-02-05 $43.89 $45.00 48.9% 13.1% 66.3% 82.8% 45.6% 10.2% -4.8% -724.0K -172.7M -11.4M 1.81 14.95 N/A N/A 25,362 45,881 620,278 760,500 2008-02-06 $43.72 $45.00 52.1% 13.9% 64.4% 90.2% 47.5% 10.5% -3.4% -1.1M -129.3M -11.4M 1.71 13.66 N/A N/A 22,902 39,071 614,339 750,416 2008-02-07 $45.11 $45.00 44.2% 13.0% 65.0% 71.9% 45.6% 11.3% -3.5% 4.1M -368.2M -11.9M 0.36 16.64 N/A N/A 24,442 8,920 621,184 764,259 2008-02-08 $43.82 $45.00 42.6% 12.7% 65.6% 68.2% 46.7% 9.2% -2.1% 1.0M -126.1M -11.5M 0.71 14.38 N/A N/A 26,094 18,411 630,012 763,700 2008-02-11 $43.35 $45.00 50.8% 13.6% 65.6% 87.2% 52.0% 10.2% -2.6% 183.8K -65.0M -11.2M 4.88 15.39 N/A N/A 13,785 67,285 645,396 772,051 2008-02-12 $43.31 $45.00 46.7% 13.0% 65.5% 77.6% 42.7% 9.5% -1.3% -3.0M -27.6M -11.4M 0.74 15.92 N/A N/A 32,159 23,949 649,294 812,850 2008-02-13 $44.10 $45.00 37.2% 11.8% 62.2% 55.6% 40.6% 10.1% -0.7% 5.9M -187.1M -11.6M 1.78 12.57 N/A N/A 10,563 18,839 665,217 793,327 2008-02-14 $42.61 $45.00 43.0% 12.3% 60.8% 69.2% 44.9% 8.6% -1.2% -4.5M 132.0M -10.9M 1.99 11.13 N/A N/A 17,237 34,385 661,375 791,356 2008-02-15 $43.25 $45.00 41.1% 11.8% 59.5% 64.7% 40.6% 8.1% 0.1% -2.0M 40.3M -11.1M 1.16 7.98 N/A N/A 19,540 22,701 664,390 798,189 2008-02-19 $42.83 $45.00 37.3% 10.7% 59.4% 55.7% 37.1% 7.2% 2.7% -1.7M 30.2M -10.8M 0.76 10.99 N/A N/A 23,424 17,794 581,337 652,625 2008-02-20 $43.15 $45.00 35.4% 10.1% 58.5% 51.4% 36.5% 8.2% 2.8% -446.9K -22.7M -10.7M 1.01 8.28 N/A N/A 24,651 25,020 589,551 658,416 2008-02-21 $43.07 $45.00 35.0% 10.0% 41.8% 49.8% 34.3% 6.3% 3.1% -878.8K 20.0M -10.8M 1.10 10.64 N/A N/A 16,710 18,318 600,181 673,158 2008-02-22 $43.93 $45.00 32.5% 9.3% 42.2% 43.3% 35.3% 7.6% 3.7% 2.0M -145.5M -11.0M 1.54 12.02 N/A N/A 17,602 27,047 600,468 676,252 2008-02-25 $44.03 $45.00 32.9% 9.4% 40.9% 44.2% 35.2% 7.9% 3.8% 2.4M -175.5M -11.0M 1.59 9.26 N/A N/A 23,486 37,301 604,390 683,652 2008-02-26 $43.72 $45.00 34.9% 10.0% 37.6% 49.1% 34.3% 7.4% 3.5% 374.7K -100.0M -11.0M 1.24 6.55 N/A N/A 14,656 18,115 614,049 702,960 2008-02-27 $44.41 $45.00 33.5% 9.6% 34.8% 45.8% 34.1% 8.1% 3.1% 4.1M -236.9M -11.1M 0.39 6.57 N/A N/A 27,946 10,837 624,303 706,460 2008-02-28 $42.44 $45.00 38.2% 10.9% 37.9% 56.9% 40.1% 7.5% 3.3% -2.5M 86.2M -11.1M 0.84 6.92 N/A N/A 27,026 22,594 642,730 707,728 2008-02-29 $40.65 $45.00 48.5% 13.9% 40.1% 81.4% 47.1% 7.0% 0.8% -8.3M 376.4M -10.7M 0.86 10.46 N/A N/A 44,897 38,694 631,833 713,924
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