JPM Options History — June 2008

In June 2008, JPM traded between $34.31 and $42.15. ATM implied volatility averaged 46.8%, placing in the 59.1% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 6.9% (HV 20d: 39.9%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.97.

Notable Days

2008-06-09: Highest Volume — 171,129 contracts
2008-06-09: Largest IV spike — 28.7% change
2008-06-30: Highest IV Rank — 93.3%
2008-06-30: Largest Expected Move — 18.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.61	$34.31	$42.15	$42.15	$34.31
Max Pain	$41.43	$40.00	$42.50	$42.50	$40.00
ATM IV	46.8%	35.3%	64.0%	36.6%	64.0%
Expected Move	13.3%	10.1%	18.3%	10.5%	18.3%
HV 20d	39.9%	31.8%	44.5%	33.1%	43.6%
HV 60d	44.0%	37.2%	50.4%	49.4%	38.6%
IV Rank	59.1%	36.5%	93.3%	41.5%	93.3%
IV Percentile	81.7%	47.2%	99.6%	56.0%	99.6%
Term Structure	-1.2%	-7.6%	3.0%	1.3%	-7.6%
VWIV	46.5%	37.1%	63.9%	37.9%	63.9%
Skew 25d	9.6%	4.7%	12.9%	4.7%	12.8%
Skew 10d	19.5%	9.3%	26.4%	9.3%	25.6%
Call IV 25d	42.9%	34.4%	60.1%	35.2%	60.1%
Put IV 25d	52.5%	39.6%	72.9%	40.0%	72.9%
Bid-Ask Spread %	3.90	1.82	6.66	2.47	1.82
Gamma HHI	0.14	0.12	0.17	0.14	0.12
Net GEX	-10.3M	-16.7M	-188.3K	-188.3K	-8.4M
Net DEX	604.9M	143.5M	951.4M	143.5M	951.4M
Net VEX	-9.4M	-10.0M	-8.6M	-9.8M	-8.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.46	2.19	1.02	0.89
Total Volume	92,250.19	42,960	171,129	47,103	79,872
Total OI	1,510,799.333	1,310,341	1,740,527	1,437,662	1,480,148

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
2008-06-02	$42.15	$42.50	36.6%	10.5%	33.1%	41.5%	37.9%	4.7%	1.3%	-188.3K	143.5M	-9.8M	1.02	2.47	N/A	N/A	23,352	23,751	695,495	742,167
2008-06-03	$41.89	$42.50	36.8%	10.5%	33.0%	39.4%	37.5%	4.9%	1.3%	-1.6M	164.1M	-9.8M	1.10	2.27	N/A	N/A	29,491	32,460	701,081	739,299
2008-06-04	$41.63	$42.50	37.3%	10.7%	32.8%	40.4%	38.8%	5.6%	1.1%	-4.4M	237.4M	-9.8M	0.98	2.45	N/A	N/A	21,745	21,215	708,172	752,836
2008-06-05	$42.10	$42.50	35.3%	10.1%	31.8%	36.5%	37.1%	5.3%	3.0%	-3.3M	156.8M	-9.9M	2.19	2.07	N/A	N/A	29,997	65,778	713,399	756,647
2008-06-06	$40.09	$42.50	41.2%	12.1%	35.4%	48.3%	41.4%	7.3%	0.1%	-13.9M	546.0M	-9.6M	1.05	4.27	N/A	N/A	30,014	31,581	722,550	784,995
2008-06-09	$37.51	$42.50	53.0%	13.8%	40.5%	71.9%	48.5%	9.0%	-2.6%	-16.7M	881.6M	-8.7M	0.91	3.59	N/A	N/A	89,751	81,378	722,558	776,101
2008-06-10	$38.29	$42.50	52.0%	13.7%	41.0%	69.9%	46.4%	10.0%	-2.9%	-14.7M	740.2M	-9.1M	1.23	3.91	N/A	N/A	50,387	61,988	751,810	788,902
2008-06-11	$37.13	$42.50	52.3%	14.0%	40.5%	70.5%	48.6%	10.0%	-3.4%	-16.5M	903.3M	-8.8M	0.89	5.67	N/A	N/A	41,109	36,551	756,870	810,107
2008-06-12	$38.01	$42.50	49.3%	14.1%	41.7%	64.4%	47.2%	10.9%	-2.4%	-15.5M	761.7M	-9.2M	1.52	5.50	N/A	N/A	34,101	51,687	767,581	810,042
2008-06-13	$39.58	$42.50	43.7%	12.5%	43.8%	53.3%	46.6%	10.5%	-0.1%	-13.2M	541.9M	-9.9M	0.83	5.10	N/A	N/A	35,952	29,720	781,323	840,408
2008-06-16	$39.94	$42.50	44.6%	12.8%	44.2%	55.2%	46.3%	10.1%	-1.6%	-13.1M	462.5M	-9.9M	0.67	4.93	N/A	N/A	41,698	27,901	784,305	850,967
2008-06-17	$39.04	$42.50	44.5%	12.8%	44.5%	54.8%	45.6%	10.2%	-2.2%	-15.2M	628.3M	-9.4M	0.88	6.66	N/A	N/A	47,953	42,252	788,688	838,839
2008-06-18	$38.74	$40.00	50.1%	14.4%	41.6%	65.9%	47.2%	12.0%	-5.1%	-15.6M	674.0M	-9.6M	0.68	5.73	N/A	N/A	66,040	44,741	810,494	852,330
2008-06-19	$38.65	$40.00	48.7%	14.0%	40.6%	61.9%	49.3%	10.7%	-2.8%	-14.0M	695.3M	-9.6M	1.30	6.02	N/A	N/A	73,963	96,257	825,455	855,467
2008-06-20	$37.86	$40.00	51.1%	14.7%	40.3%	66.7%	51.0%	12.9%	-3.6%	-12.8M	772.1M	-10.0M	0.77	4.89	N/A	N/A	49,825	38,516	843,241	897,286
2008-06-23	$36.87	$40.00	48.3%	13.8%	40.8%	60.6%	48.7%	11.5%	-0.3%	-7.8M	675.7M	-9.3M	0.46	2.89	N/A	N/A	54,625	24,940	592,943	717,398
2008-06-24	$37.72	$40.00	46.4%	13.3%	41.3%	56.6%	46.5%	11.4%	1.1%	-6.2M	586.3M	-9.5M	0.70	2.18	N/A	N/A	52,462	36,956	610,738	724,374
2008-06-25	$37.91	$40.00	44.0%	12.6%	41.5%	51.6%	43.1%	9.4%	1.8%	-6.5M	563.3M	-9.6M	1.02	2.96	N/A	N/A	46,691	47,544	616,126	735,072
2008-06-26	$36.32	$40.00	48.4%	13.9%	42.6%	60.8%	49.4%	10.0%	0.7%	-7.5M	733.0M	-9.3M	0.52	3.93	N/A	N/A	51,856	26,859	636,286	754,000
2008-06-27	$35.05	$40.00	56.0%	16.1%	43.6%	76.9%	55.8%	12.7%	-1.9%	-8.7M	885.5M	-8.6M	0.76	2.51	N/A	N/A	93,407	70,888	636,286	754,000
2008-06-30	$34.31	$40.00	64.0%	18.3%	43.6%	93.3%	63.9%	12.8%	-7.6%	-8.4M	951.4M	-8.7M	0.89	1.82	N/A	N/A	42,276	37,596	680,584	799,564