JPM Options History — July 2008 In July 2008, JPM traded between $31.02 and $41.96. ATM implied volatility averaged 60.0%, placing in the 70.1% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 7.4% (HV 20d: 67.5%). Max pain ranged from $35.00 to $37.50. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.04.
Notable Days 2008-07-17 : Highest Volume — 396,131 contracts2008-07-24 : Largest IV spike — 27.8% change2008-07-07 : Highest IV Rank — 100.0%2008-07-15 : Largest Expected Move — 23.2%Monthly Statistics Metric Avg Min Max Open Close Price $37.09 $31.02 $41.96 $34.02 $40.63 Max Pain $36.25 $35.00 $37.50 $37.50 $37.50 ATM IV 60.0% 43.2% 80.9% 66.4% 52.6% Expected Move 16.7% 12.4% 23.2% 19.0% 15.1% HV 20d 67.5% 41.8% 93.9% 43.6% 93.9% HV 60d 50.4% 38.6% 63.1% 38.6% 63.1% IV Rank 70.1% 34.9% 100.0% 98.7% 51.2% IV Percentile 91.9% 65.1% 100.0% 99.6% 90.5% Term Structure -4.5% -13.1% 0.7% -8.8% -2.2% VWIV 59.3% 45.6% 78.4% 70.2% 50.7% Skew 25d 13.9% 10.3% 19.9% 14.0% 14.0% Skew 10d 28.6% 22.5% 39.6% 28.4% 28.7% Call IV 25d 52.1% 39.2% 71.2% 61.7% 45.2% Put IV 25d 66.0% 51.6% 88.8% 75.6% 59.2% Bid-Ask Spread % 4.25 1.79 11.61 1.79 2.50 Gamma HHI 0.12 0.09 0.41 0.11 0.11 Net GEX 1.4M -11.5M 45.7M -7.0M 4.7M Net DEX 329.9M -478.9M 1.25B 905.8M -159.1M Net VEX -10.2M -13.1M -3.9M -8.6M -12.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.04 0.57 1.62 1.39 1.47 Total Volume 134,833.409 60,937 396,131 204,224 60,937 Total OI 1,650,586.455 1,014,006 1,890,307 1,477,895 1,809,217
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 2008-07-01 $34.02 $37.50 66.4% 19.0% 43.6% 98.7% 70.2% 14.0% -8.8% -7.0M 905.8M -8.6M 1.39 1.79 N/A N/A 85,281 118,943 690,223 787,672 2008-07-02 $34.60 $37.50 65.2% 18.7% 44.7% 95.9% 65.1% 13.7% -8.1% -6.8M 829.0M -9.3M 1.00 2.79 N/A N/A 40,181 40,298 716,688 833,374 2008-07-03 $35.31 $37.50 63.5% 18.2% 45.3% 92.1% 66.0% 13.0% -6.7% -4.7M 703.4M -9.5M 1.43 2.87 N/A N/A 36,786 52,640 723,210 831,272 2008-07-07 $34.04 $35.00 72.0% 16.8% 44.1% 100.0% 59.3% 14.3% -5.0% -8.1M 923.5M -8.8M 0.97 3.60 N/A N/A 43,784 42,481 733,231 856,976 2008-07-08 $35.77 $35.00 68.2% 16.2% 43.0% 92.4% 57.6% 14.9% -4.9% -5.6M 710.6M -9.4M 0.76 6.00 N/A N/A 75,944 57,914 738,792 870,127 2008-07-09 $34.28 $35.00 74.5% 17.2% 44.3% 100.0% 62.9% 16.1% -5.9% -7.0M 885.8M -8.9M 1.07 4.49 N/A N/A 47,241 50,761 763,060 884,356 2008-07-10 $34.51 $35.00 62.1% 17.8% 43.5% 76.4% 68.6% 15.0% -5.9% -5.9M 828.3M -9.3M 0.88 5.13 N/A N/A 60,277 53,242 778,589 894,140 2008-07-11 $33.16 $35.00 73.1% 21.0% 44.0% 97.3% 73.4% 16.5% -9.9% -7.6M 972.6M -8.9M 0.88 4.49 N/A N/A 55,834 49,158 809,385 917,329 2008-07-14 $31.69 $35.00 77.8% 22.3% 42.3% 100.0% 78.4% 16.1% -11.0% -5.7M 613.9M -3.9M 0.79 4.79 N/A N/A 70,778 55,950 499,879 514,127 2008-07-15 $31.02 $35.00 80.9% 23.2% 41.8% 100.0% 77.3% 19.9% -13.1% -11.5M 1.25B -7.7M 1.26 5.02 N/A N/A 95,411 119,776 841,681 942,580 2008-07-16 $35.94 $35.00 58.6% 16.8% 70.2% 61.8% 60.4% 17.1% -5.7% 124.9K 631.1M -9.5M 0.57 11.61 N/A N/A 114,035 64,445 860,702 957,689 2008-07-17 $40.80 $35.00 50.4% 14.5% 84.2% 47.8% 51.3% 11.4% -4.4% 13.8M -473.6M -10.9M 0.65 6.13 N/A N/A 240,231 155,900 880,720 965,337 2008-07-18 $40.02 $35.00 46.0% 13.2% 84.5% 39.7% 47.7% 10.9% -1.7% 45.7M -478.9M -11.4M 0.80 5.29 N/A N/A 96,074 76,452 898,325 991,982 2008-07-21 $38.65 $35.00 51.4% 14.7% 85.1% 49.0% 49.3% 12.1% -1.3% 2.2M 99.9M -10.9M 1.08 3.42 N/A N/A 57,147 61,560 719,878 832,269 2008-07-22 $40.86 $37.50 47.7% 13.7% 86.6% 42.7% 48.6% 11.8% -0.8% 7.1M -254.9M -11.7M 0.84 3.19 N/A N/A 61,957 51,810 732,384 856,283 2008-07-23 $41.96 $37.50 43.2% 12.4% 86.7% 34.9% 45.6% 12.3% 0.6% 8.9M -440.5M -12.1M 0.90 2.65 N/A N/A 69,904 63,140 739,995 872,331 2008-07-24 $39.14 $37.50 55.2% 15.8% 90.7% 55.7% 56.2% 15.3% -2.0% 2.9M -16.6M -12.0M 1.50 4.34 N/A N/A 39,697 59,416 761,636 897,329 2008-07-25 $39.52 $37.50 52.7% 15.1% 89.2% 51.4% 54.1% 12.0% -0.7% 2.4M 9.7M -12.1M 0.96 2.69 N/A N/A 32,259 30,871 764,748 905,527 2008-07-28 $37.66 $37.50 59.4% 17.0% 90.0% 62.9% 57.5% 12.2% -2.1% -1.3M 297.4M -11.5M 1.38 3.26 N/A N/A 68,122 93,976 768,659 907,193 2008-07-29 $40.75 $37.50 51.4% 14.7% 93.3% 49.1% 51.7% 10.3% 0.7% 5.9M -202.3M -12.8M 0.75 3.65 N/A N/A 54,367 40,858 807,825 967,528 2008-07-30 $41.57 $37.50 48.0% 13.8% 93.2% 43.2% 52.7% 13.2% -0.9% 8.3M -372.6M -13.1M 1.62 3.72 N/A N/A 45,979 74,518 812,661 975,993 2008-07-31 $40.63 $37.50 52.6% 15.1% 93.9% 51.2% 50.7% 14.0% -2.2% 4.7M -159.1M -12.9M 1.47 2.50 N/A N/A 24,633 36,304 814,047 995,170
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