JPM Options History — May 2008

In May 2008, JPM traded between $42.32 and $49.25. ATM implied volatility averaged 33.0%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 2.5% (HV 20d: 35.5%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2008-05-20: Highest Volume — 96,400 contracts
  • 2008-05-20: Largest IV spike — 18.3% change
  • 2008-05-13: Highest IV Rank — 43.2%
  • 2008-05-21: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.50$42.32$49.25$49.25$43.00
Max Pain$44.88$42.50$45.00$45.00$42.50
ATM IV33.0%28.2%37.5%28.2%33.6%
Expected Move9.5%8.1%10.5%8.1%9.6%
HV 20d35.5%31.0%38.8%37.0%32.8%
HV 60d50.1%49.3%51.5%49.9%49.8%
IV Rank34.4%25.3%43.2%25.3%35.6%
IV Percentile41.9%28.2%59.5%28.6%40.9%
Term Structure1.6%-0.1%3.3%2.0%1.6%
VWIV33.5%29.1%37.1%31.2%33.9%
Skew 25d4.3%3.4%6.0%4.5%3.8%
Skew 10d9.4%7.2%11.8%9.5%8.1%
Call IV 25d31.4%27.5%35.3%27.5%32.2%
Put IV 25d35.7%31.2%39.6%32.0%36.0%
Bid-Ask Spread %4.051.926.933.902.25
Gamma HHI0.170.130.220.210.14
Net GEX16.3M240.8K33.3M33.3M2.5M
Net DEX-485.2M-1.33B111.1M-1.33B25.4M
Net VEX-10.7M-11.6M-10.0M-11.1M-10.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.531.891.000.93
Total Volume44,030.28615,75396,40072,73245,036
Total OI1,401,4941,313,6611,446,6261,385,9631,423,516

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$49.25$45.0028.2%8.1%37.0%25.3%31.2%4.5%2.0%33.3M-1.33B-11.1M1.003.90N/AN/A36,38836,344661,599724,364
2008-05-02$48.66$45.0029.6%8.5%36.8%27.9%29.4%3.4%2.6%30.1M-1.14B-11.6M0.943.68N/AN/A24,56523,127667,100735,648
2008-05-05$48.00$45.0031.4%9.2%37.3%31.4%32.9%5.9%-0.1%28.5M-1.03B-11.3M1.896.37N/AN/A8,90616,834670,497739,906
2008-05-06$48.20$45.0030.8%9.2%36.7%30.1%32.4%6.0%0.5%31.8M-1.14B-11.3M1.015.66N/AN/A17,80117,951670,782741,575
2008-05-07$46.57$45.0032.7%9.6%38.7%33.8%34.7%4.6%0.4%20.3M-664.8M-11.4M0.695.55N/AN/A26,78318,460673,077745,112
2008-05-08$46.05$45.0034.4%10.0%38.8%37.2%34.0%4.7%1.4%18.6M-573.7M-11.3M0.636.93N/AN/A23,15814,702676,440742,680
2008-05-09$46.57$45.0030.8%9.7%36.8%30.2%35.4%4.3%0.8%21.9M-681.9M-11.3M1.054.45N/AN/A7,6708,083678,722745,525
2008-05-12$47.24$45.0032.5%9.4%35.3%33.4%33.5%4.0%0.8%27.7M-833.8M-11.1M1.284.74N/AN/A12,93716,566681,057745,090
2008-05-13$45.48$45.0037.5%9.8%38.5%43.2%34.5%4.4%1.4%15.1M-425.6M-11.0M0.815.24N/AN/A23,29518,931683,030747,077
2008-05-14$45.91$45.0034.0%9.5%31.0%36.4%32.4%4.1%1.5%17.0M-514.9M-10.7M0.874.13N/AN/A20,77317,999681,184748,599
2008-05-15$47.02$45.0030.1%8.6%32.1%28.9%30.6%3.9%2.4%31.7M-781.0M-10.9M0.534.54N/AN/A25,29313,302687,532753,207
2008-05-16$46.53$45.0029.5%8.5%32.0%27.7%30.5%3.6%3.3%22.6M-669.7M-10.8M1.203.32N/AN/A14,35417,218690,587756,039
2008-05-19$45.99$45.0029.9%8.6%32.1%28.4%29.1%3.6%2.0%18.5M-509.4M-10.4M0.631.92N/AN/A23,89714,965627,225686,436
2008-05-20$43.70$45.0035.3%10.1%36.8%38.9%34.8%4.3%1.4%7.8M-138.1M-10.2M1.033.61N/AN/A47,53148,869638,180692,063
2008-05-21$42.42$45.0036.5%10.5%37.9%41.2%37.1%4.3%2.0%772.8K110.6M-10.1M0.673.06N/AN/A30,06920,218649,540701,067
2008-05-22$43.05$45.0035.1%10.1%35.2%38.4%34.9%4.6%2.7%2.7M7.2M-10.2M1.123.84N/AN/A22,43125,091655,449707,984
2008-05-23$42.32$45.0035.5%10.2%34.5%39.3%36.2%4.3%2.4%240.8K111.1M-10.3M0.743.03N/AN/A26,29419,372660,204721,491
2008-05-27$43.01$45.0035.2%10.1%35.3%38.7%35.7%3.8%2.2%1.2M30.0M-10.1M0.723.78N/AN/A22,90016,514667,832728,177
2008-05-28$42.86$45.0035.4%10.1%35.3%39.0%35.5%3.7%1.6%3.1M29.0M-10.1M0.802.39N/AN/A30,65624,461675,479731,927
2008-05-29$43.57$45.0034.9%10.0%35.6%38.0%34.1%3.9%1.6%6.8M-75.7M-10.0M0.702.68N/AN/A26,35118,541684,610733,765
2008-05-30$43.00$42.5033.6%9.6%32.8%35.6%33.9%3.8%1.6%2.5M25.4M-10.0M0.932.25N/AN/A23,33521,701687,013736,503