JPM Options History — April 2008 In April 2008, JPM traded between $41.50 and $47.79. ATM implied volatility averaged 37.9%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 19.3% (HV 20d: 57.2%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.35.
Notable Days 2008-04-01 : Highest Volume — 185,695 contracts2008-04-16 : Largest IV drop — 22.2% change2008-04-14 : Highest IV Rank — 59.8%2008-04-14 : Largest Expected Move — 13.2%Monthly Statistics Metric Avg Min Max Open Close Price $45.39 $41.50 $47.79 $47.00 $47.65 Max Pain $44.66 $42.50 $45.00 $42.50 $45.00 ATM IV 37.9% 30.2% 46.2% 41.2% 30.3% Expected Move 10.8% 8.6% 13.2% 11.8% 8.7% HV 20d 57.2% 35.3% 70.6% 70.5% 35.3% HV 60d 55.3% 50.7% 59.0% 59.0% 50.7% IV Rank 43.8% 29.0% 59.8% 50.2% 29.2% IV Percentile 60.8% 34.1% 86.1% 75.8% 34.1% Term Structure 0.2% -2.9% 2.7% 0.1% 1.1% VWIV 38.5% 31.2% 48.5% 37.3% 31.2% Skew 25d 7.1% 4.0% 9.9% 9.9% 4.2% Skew 10d 15.4% 7.9% 22.9% 18.7% 8.1% Call IV 25d 35.1% 28.5% 43.5% 39.2% 28.8% Put IV 25d 42.2% 32.5% 52.0% 49.0% 33.0% Bid-Ask Spread % 4.58 2.48 7.24 4.65 3.01 Gamma HHI 0.15 0.13 0.19 0.16 0.19 Net GEX 13.8M -13.1M 28.2M 18.2M 28.2M Net DEX -562.9M -1.00B 152.2M -870.3M -958.1M Net VEX -11.6M -12.3M -11.1M -12.2M -11.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.35 0.31 4.11 0.31 0.98 Total Volume 73,294.227 21,680 185,695 185,695 61,076 Total OI 1,397,158.409 1,284,976 1,549,403 1,316,405 1,373,518
Daily Data (22 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 2008-04-01 $47.00 $42.50 41.2% 11.8% 70.5% 50.2% 37.3% 9.9% 0.1% 18.2M -870.3M -12.2M 0.31 4.65 N/A N/A 141,507 44,188 643,484 672,921 2008-04-02 $46.24 $42.50 46.1% 13.2% 70.6% 59.6% 45.3% 9.8% -1.6% 16.3M -756.7M -12.3M 0.72 5.10 N/A N/A 42,741 30,817 645,908 686,866 2008-04-03 $46.28 $42.50 40.3% 11.5% 70.2% 48.4% 45.4% 8.8% 0.3% 18.2M -750.1M -12.3M 1.71 4.58 N/A N/A 32,183 55,167 655,903 697,969 2008-04-04 $45.57 $45.00 42.4% 12.3% 68.8% 52.6% 43.3% 9.6% -1.7% 15.3M -606.9M -12.3M 1.65 6.15 N/A N/A 17,521 28,954 663,959 714,809 2008-04-07 $45.54 $45.00 42.1% 11.8% 68.9% 52.0% 40.1% 8.9% -1.7% 15.3M -608.1M -12.0M 1.08 5.67 N/A N/A 29,131 31,364 663,177 720,686 2008-04-08 $44.86 $45.00 42.2% 11.9% 68.1% 52.2% 43.6% 8.9% -1.1% 12.9M -490.4M -11.9M 2.11 5.69 N/A N/A 16,228 34,221 671,168 717,780 2008-04-09 $44.30 $45.00 41.1% 11.5% 65.6% 50.1% 39.6% 7.8% -1.4% 10.7M -380.4M -11.6M 4.11 7.24 N/A N/A 21,292 87,530 672,536 721,497 2008-04-10 $43.86 $45.00 41.4% 11.9% 65.7% 50.6% 42.7% 7.8% -1.3% 3.8M -272.6M -11.8M 3.27 6.16 N/A N/A 20,878 68,357 677,701 764,507 2008-04-11 $42.53 $45.00 43.7% 12.5% 66.7% 55.0% 42.9% 8.0% -0.8% -5.4M 11.7M -11.7M 1.49 6.47 N/A N/A 23,866 35,598 678,298 782,354 2008-04-14 $41.50 $45.00 46.2% 13.2% 65.3% 59.8% 47.5% 8.4% -2.4% -9.3M 152.2M -11.1M 2.47 4.68 N/A N/A 36,729 90,884 681,605 794,436 2008-04-15 $42.12 $45.00 46.1% 13.2% 55.8% 59.6% 48.5% 9.2% -2.9% -13.1M 119.5M -11.4M 1.29 6.12 N/A N/A 50,636 65,382 691,601 848,555 2008-04-16 $44.96 $45.00 35.9% 10.3% 56.8% 39.9% 37.2% 8.0% 0.5% 15.1M -522.6M -11.5M 1.05 4.21 N/A N/A 55,341 57,904 700,311 844,546 2008-04-17 $45.12 $45.00 35.1% 10.1% 56.7% 38.4% 35.6% 6.1% 1.1% 22.0M -609.4M -11.4M 0.68 4.95 N/A N/A 42,046 28,671 701,296 837,669 2008-04-18 $45.76 $45.00 35.5% 10.2% 49.3% 39.3% 36.2% 5.9% 1.1% 15.3M -810.7M -11.4M 0.55 4.35 N/A N/A 57,311 31,527 705,693 843,710 2008-04-21 $45.23 $45.00 33.4% 9.6% 49.3% 35.3% 34.0% 5.9% 1.9% 14.9M -478.7M -11.2M 1.24 3.00 N/A N/A 26,569 33,045 612,330 672,970 2008-04-22 $45.65 $45.00 33.9% 9.7% 49.3% 36.1% 34.3% 5.4% 2.7% 15.8M -567.9M -11.2M 0.81 2.99 N/A N/A 15,555 12,598 611,684 673,292 2008-04-23 $45.15 $45.00 33.2% 9.5% 46.8% 34.8% 34.0% 5.0% 2.0% 13.7M -447.1M -11.3M 0.80 3.33 N/A N/A 20,330 16,190 620,562 687,936 2008-04-24 $46.97 $45.00 30.8% 8.8% 47.3% 30.2% 31.7% 4.8% 2.2% 20.8M -798.5M -11.4M 0.62 4.05 N/A N/A 33,854 20,953 628,523 694,772 2008-04-25 $47.79 $45.00 30.2% 8.6% 47.4% 29.0% 31.2% 4.0% 2.0% 26.8M -1.00B -11.4M 1.07 2.85 N/A N/A 14,774 15,834 641,575 702,214 2008-04-28 $47.34 $45.00 31.5% 9.0% 47.7% 31.5% 32.3% 4.7% 1.3% 25.3M -916.9M -11.3M 0.79 3.12 N/A N/A 23,442 18,599 646,232 706,631 2008-04-29 $47.08 $45.00 31.0% 8.9% 35.6% 30.6% 32.1% 4.8% 2.0% 23.8M -822.6M -11.3M 0.80 2.48 N/A N/A 12,047 9,633 650,948 713,353 2008-04-30 $47.65 $45.00 30.3% 8.7% 35.3% 29.2% 31.2% 4.2% 1.1% 28.2M -958.1M -11.3M 0.98 3.01 N/A N/A 30,870 30,206 658,557 714,961
« Mar 2008 | All History | May 2008 » Home JPM History April 2008