JPM Options History — March 2008

In March 2008, JPM traded between $36.48 and $46.55. ATM implied volatility averaged 51.1%, placing in the 77.8% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 0.6% (HV 20d: 50.5%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.95.

Notable Days

2008-03-17: Highest Volume — 182,369 contracts
2008-03-18: Largest IV drop — 20.8% change
2008-03-14: Highest IV Rank — 100.0%
2008-03-17: Largest Expected Move — 19.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.90	$36.48	$46.55	$39.82	$42.95
Max Pain	$41.13	$40.00	$42.50	$42.50	$42.50
ATM IV	51.1%	45.6%	67.1%	47.8%	50.3%
Expected Move	14.9%	13.2%	19.2%	13.7%	14.4%
HV 20d	50.5%	32.4%	68.1%	39.1%	64.2%
HV 60d	50.8%	45.4%	56.6%	45.9%	56.1%
IV Rank	77.8%	59.5%	100.0%	79.6%	67.8%
IV Percentile	95.2%	86.5%	100.0%	95.2%	94.4%
Term Structure	-3.2%	-13.3%	2.8%	0.5%	-0.8%
VWIV	52.8%	46.1%	66.5%	48.7%	50.3%
Skew 25d	12.1%	4.5%	26.2%	5.5%	11.5%
Skew 10d	21.9%	7.1%	43.3%	8.8%	22.5%
Call IV 25d	46.8%	38.3%	56.2%	45.8%	45.4%
Put IV 25d	59.0%	50.9%	80.9%	51.3%	56.9%
Bid-Ask Spread %	10.16	3.99	14.71	7.98	5.34
Gamma HHI	0.15	0.12	0.19	0.17	0.12
Net GEX	-3.1M	-15.5M	19.0M	-9.7M	6.6M
Net DEX	197.6M	-1.08B	950.1M	492.0M	-199.2M
Net VEX	-10.9M	-12.5M	-9.4M	-10.3M	-11.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.50	1.47	0.81	0.77
Total Volume	90,228.65	25,683	182,369	82,075	31,990
Total OI	1,449,263.8	1,230,141	1,664,645	1,369,489	1,309,657

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
2008-03-03	$39.82	$42.50	47.8%	13.7%	39.1%	79.6%	48.7%	5.5%	0.5%	-9.7M	492.0M	-10.3M	0.81	7.98	N/A	N/A	45,248	36,827	649,138	720,351
2008-03-04	$39.19	$42.50	48.4%	13.9%	37.2%	81.2%	48.1%	5.7%	0.1%	-11.7M	616.8M	-10.0M	1.45	7.00	N/A	N/A	52,895	76,512	666,635	736,466
2008-03-05	$38.74	$42.50	48.3%	13.8%	33.5%	80.8%	46.1%	6.1%	2.2%	-15.2M	766.7M	-10.0M	1.32	7.68	N/A	N/A	22,878	30,299	692,644	775,978
2008-03-06	$37.37	$42.50	50.3%	14.4%	35.1%	85.7%	50.2%	4.5%	2.8%	-15.3M	921.2M	-9.5M	1.47	7.53	N/A	N/A	36,701	53,862	685,720	766,403
2008-03-07	$37.56	$40.00	49.8%	15.5%	32.4%	84.4%	54.0%	11.0%	-5.0%	-14.5M	802.0M	-9.8M	1.05	10.53	N/A	N/A	34,425	35,993	700,389	770,373
2008-03-10	$36.48	$40.00	53.8%	16.7%	32.4%	94.0%	59.2%	12.6%	-5.1%	-14.4M	950.1M	-9.4M	1.32	9.24	N/A	N/A	33,255	43,775	711,675	776,288
2008-03-11	$38.84	$40.00	45.6%	13.8%	41.2%	74.4%	53.1%	12.9%	-2.6%	-14.7M	680.8M	-10.1M	1.19	10.47	N/A	N/A	30,820	36,585	722,663	794,834
2008-03-12	$38.61	$40.00	48.6%	15.2%	41.2%	81.3%	54.4%	11.7%	-5.2%	-15.0M	700.2M	-10.1M	0.81	9.69	N/A	N/A	21,756	17,724	724,385	797,393
2008-03-13	$38.11	$40.00	54.3%	15.6%	40.3%	95.1%	53.7%	10.6%	-4.4%	-15.5M	752.3M	-9.9M	0.53	9.52	N/A	N/A	41,319	21,710	731,016	796,080
2008-03-14	$36.54	$40.00	61.6%	17.7%	41.0%	100.0%	63.5%	12.7%	-7.8%	-13.0M	893.2M	-9.7M	0.71	13.61	N/A	N/A	49,806	35,181	750,474	798,272
2008-03-17	$40.31	$40.00	67.1%	19.2%	55.3%	100.0%	66.5%	26.2%	-13.3%	-5.3M	258.4M	-11.2M	0.88	12.30	N/A	N/A	96,856	85,513	769,011	806,338
2008-03-18	$42.71	$40.00	53.1%	15.2%	59.3%	73.2%	54.6%	18.8%	-8.0%	6.7M	-209.7M	-11.6M	0.62	13.85	N/A	N/A	91,399	56,604	794,645	823,533
2008-03-19	$42.47	$40.00	53.9%	15.4%	59.3%	74.6%	57.8%	19.8%	-6.4%	4.1M	-230.3M	-11.9M	0.90	11.13	N/A	N/A	93,715	84,017	808,190	836,556
2008-03-20	$45.97	$40.00	48.4%	13.9%	65.7%	64.1%	49.0%	19.2%	-4.3%	19.0M	-1.08B	-12.5M	0.50	14.30	N/A	N/A	87,084	43,901	806,078	858,567
2008-03-24	$46.55	$40.00	46.7%	13.4%	65.5%	60.7%	50.7%	13.0%	-3.3%	14.4M	-792.1M	-12.1M	0.91	12.62	N/A	N/A	75,638	68,843	600,041	630,100
2008-03-25	$46.06	$42.50	46.4%	13.3%	65.7%	60.1%	46.6%	11.2%	-1.7%	12.0M	-652.4M	-12.3M	1.01	14.71	N/A	N/A	46,756	47,210	617,564	660,547
2008-03-26	$44.11	$42.50	46.0%	13.2%	67.6%	59.5%	47.4%	9.5%	-0.5%	8.2M	-362.5M	-12.3M	1.01	13.60	N/A	N/A	26,463	26,766	626,337	668,655
2008-03-27	$42.86	$42.50	51.5%	14.8%	68.1%	70.1%	51.3%	10.0%	-0.6%	5.5M	-198.0M	-11.9M	0.82	8.17	N/A	N/A	32,091	26,473	626,885	666,507
2008-03-28	$42.71	$42.50	50.6%	14.5%	66.2%	68.4%	50.4%	10.4%	-0.5%	5.6M	-154.7M	-12.0M	0.97	3.99	N/A	N/A	13,039	12,644	637,555	671,333
2008-03-31	$42.95	$42.50	50.3%	14.4%	64.2%	67.8%	50.3%	11.5%	-0.8%	6.6M	-199.2M	-11.8M	0.77	5.34	N/A	N/A	18,069	13,921	639,845	669,812