JPM Options History — August 2008 In August 2008, JPM traded between $35.58 and $41.89. ATM implied volatility averaged 48.7%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 26.6% (HV 20d: 75.4%). Max pain ranged from $37.50 to $42.50. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.11.
Notable Days 2008-08-12 : Highest Volume — 180,457 contracts2008-08-12 : Largest IV spike — 45.2% change2008-08-12 : Highest IV Rank — 79.3%2008-08-12 : Largest Expected Move — 15.4%Monthly Statistics Metric Avg Min Max Open Close Price $38.48 $35.58 $41.89 $40.76 $38.49 Max Pain $40.71 $37.50 $42.50 $37.50 $40.00 ATM IV 48.7% 40.4% 68.9% 51.1% 45.0% Expected Move 13.6% 11.7% 15.4% 14.7% 12.9% HV 20d 75.4% 56.5% 96.7% 93.8% 58.9% HV 60d 66.0% 62.7% 68.7% 62.7% 68.7% IV Rank 44.5% 30.0% 79.3% 48.6% 38.1% IV Percentile 75.5% 51.6% 98.0% 86.9% 63.5% Term Structure 1.7% -2.8% 6.0% -0.6% 5.7% VWIV 48.3% 44.0% 54.9% 49.7% 44.8% Skew 25d 10.9% 6.9% 13.9% 13.6% 10.9% Skew 10d 22.8% 14.5% 31.7% 27.2% 23.0% Call IV 25d 42.8% 37.7% 48.7% 43.3% 38.7% Put IV 25d 53.7% 49.1% 60.1% 56.9% 49.6% Bid-Ask Spread % 3.75 1.85 6.12 2.80 2.10 Gamma HHI 0.12 0.10 0.13 0.11 0.12 Net GEX -1.3M -8.4M 12.1M 5.6M -2.3M Net DEX 272.0M -424.7M 716.9M -220.7M 309.5M Net VEX -11.3M -12.8M -10.1M -12.8M -11.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.11 0.40 2.04 1.66 1.31 Total Volume 68,739.143 28,030 180,457 55,130 28,030 Total OI 1,793,141.333 1,651,090 1,913,004 1,805,447 1,772,314
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 2008-08-01 $40.76 $37.50 51.1% 14.7% 93.8% 48.6% 49.7% 13.6% -0.6% 5.6M -220.7M -12.8M 1.66 2.80 N/A N/A 20,729 34,401 815,968 989,479 2008-08-04 $40.14 $42.50 48.7% 14.1% 92.7% 44.4% 54.9% 13.9% -2.4% 3.4M -21.2M -12.3M 2.04 5.99 N/A N/A 20,518 41,933 816,929 1,000,191 2008-08-05 $41.89 $42.50 41.1% 12.3% 92.4% 31.2% 49.1% 13.6% -0.3% 9.3M -376.8M -12.5M 1.31 5.55 N/A N/A 28,179 37,004 818,477 1,005,176 2008-08-06 $41.39 $42.50 40.4% 12.2% 90.8% 30.0% 46.1% 12.8% -0.1% 8.7M -298.9M -12.4M 1.14 4.55 N/A N/A 33,839 38,691 828,500 1,011,463 2008-08-07 $39.81 $42.50 48.1% 13.8% 92.4% 43.4% 48.5% 13.6% -1.4% 2.9M 19.0M -12.2M 1.49 6.07 N/A N/A 25,823 38,467 838,197 1,020,914 2008-08-08 $41.07 $42.50 46.4% 13.1% 91.0% 40.5% 44.0% 12.3% -0.5% 7.6M -187.7M -12.3M 0.95 6.12 N/A N/A 30,832 29,392 844,559 1,023,823 2008-08-11 $41.89 $42.50 47.4% 12.7% 88.6% 42.2% 48.0% 13.0% -0.5% 12.1M -424.7M -12.5M 1.36 5.02 N/A N/A 29,200 39,738 849,712 1,027,859 2008-08-12 $37.92 $42.50 68.9% 15.4% 96.7% 79.3% 52.7% 13.5% -2.8% -3.3M 434.5M -11.4M 1.30 4.92 N/A N/A 78,486 101,971 854,683 1,030,780 2008-08-13 $36.91 $40.00 63.1% 15.2% 82.7% 69.3% 52.5% 10.9% -1.5% -8.4M 647.8M -11.0M 1.13 4.79 N/A N/A 48,611 54,839 871,211 1,041,793 2008-08-14 $37.81 $40.00 48.8% 14.0% 68.9% 44.6% 48.4% 10.0% 0.8% -6.3M 470.1M -11.3M 1.02 4.46 N/A N/A 34,767 35,522 869,477 1,036,862 2008-08-15 $38.07 $40.00 45.3% 13.0% 68.8% 38.6% 44.4% 8.8% 3.2% -5.5M 366.3M -11.2M 1.14 4.32 N/A N/A 25,763 29,497 870,608 1,033,749 2008-08-18 $36.74 $40.00 47.3% 13.5% 68.8% 41.9% 46.4% 7.9% 4.0% -6.0M 577.4M -10.5M 0.40 2.90 N/A N/A 65,099 26,237 750,010 901,080 2008-08-19 $35.58 $40.00 51.8% 14.9% 66.0% 49.8% 50.5% 8.5% 2.4% -7.6M 716.9M -10.3M 0.84 2.67 N/A N/A 33,903 28,390 762,493 907,181 2008-08-20 $37.00 $40.00 49.5% 14.2% 66.9% 45.8% 50.2% 10.6% 1.8% -5.3M 536.5M -10.7M 0.78 3.28 N/A N/A 39,189 30,553 765,018 911,855 2008-08-21 $36.26 $40.00 48.7% 14.0% 62.9% 44.4% 50.3% 9.2% 2.2% -6.7M 642.3M -10.4M 1.96 2.03 N/A N/A 14,493 28,404 776,789 923,096 2008-08-22 $37.67 $40.00 46.8% 13.4% 64.5% 41.2% 46.6% 11.1% 3.6% -4.5M 464.1M -10.9M 0.47 2.22 N/A N/A 47,376 22,237 780,966 932,533 2008-08-25 $36.13 $40.00 50.0% 14.3% 64.0% 46.7% 48.9% 6.9% 6.0% -7.3M 685.4M -10.1M 1.14 2.72 N/A N/A 19,415 22,081 790,195 938,288 2008-08-26 $36.61 $40.00 48.0% 13.8% 56.8% 43.2% 47.8% 8.2% 5.0% -6.3M 607.0M -10.4M 0.42 2.00 N/A N/A 33,443 13,887 793,716 942,875 2008-08-27 $37.14 $40.00 46.3% 13.3% 56.5% 40.3% 46.4% 8.7% 5.3% -5.2M 512.7M -10.6M 0.87 1.85 N/A N/A 37,569 32,505 802,751 940,764 2008-08-28 $38.88 $40.00 40.8% 11.7% 58.9% 30.8% 44.7% 10.5% 6.0% -1.5M 253.6M -11.1M 0.58 2.45 N/A N/A 39,548 22,961 811,436 952,198 2008-08-29 $38.49 $40.00 45.0% 12.9% 58.9% 38.1% 44.8% 10.9% 5.7% -2.3M 309.5M -11.0M 1.31 2.10 N/A N/A 12,118 15,912 817,398 954,916
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