JPM Options History — September 2008 In September 2008, JPM traded between $35.77 and $48.24. ATM implied volatility averaged 65.6%, placing in the 62.3% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded below realized volatility by 23.2% (HV 20d: 88.7%). Max pain ranged from $37.50 to $42.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.00.
Notable Days 2008-09-15 : Highest Volume — 202,798 contracts2008-09-22 : Largest IV spike — 73.0% change2008-09-17 : Highest IV Rank — 100.0%2008-09-17 : Largest Expected Move — 28.8%Monthly Statistics Metric Avg Min Max Open Close Price $41.03 $35.77 $48.24 $38.99 $46.70 Max Pain $38.69 $37.50 $42.50 $40.00 $42.50 ATM IV 65.6% 42.3% 100.5% 43.1% 73.9% Expected Move 18.9% 12.1% 28.8% 12.3% 21.2% HV 20d 88.7% 52.5% 148.5% 59.0% 148.5% HV 60d 80.5% 66.8% 105.1% 68.1% 105.1% IV Rank 62.3% 28.8% 100.0% 34.7% 65.7% IV Percentile 87.9% 56.0% 100.0% 57.9% 96.0% Term Structure -9.2% -27.4% 6.1% 5.7% -10.0% VWIV 66.5% 45.4% 100.7% 46.0% 78.5% Skew 25d 18.8% 10.4% 33.5% 11.4% 19.3% Skew 10d 37.6% 22.9% 68.4% 22.9% 37.7% Call IV 25d 57.3% 39.8% 84.1% 41.4% 67.2% Put IV 25d 76.1% 50.2% 115.7% 52.8% 86.5% Bid-Ask Spread % 11.29 2.06 34.22 2.79 11.56 Gamma HHI 0.11 0.10 0.15 0.12 0.11 Net GEX 5.8M -5.6M 28.7M -292.3K 14.2M Net DEX -299.1M -1.67B 603.0M 211.1M -1.26B Net VEX -11.7M -13.2M -10.7M -10.9M -13.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.00 0.46 2.25 0.82 0.87 Total Volume 111,681.143 33,085 202,798 67,095 153,753 Total OI 1,821,638.81 1,578,349 1,997,248 1,779,996 1,751,358
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 2008-09-02 $38.99 $40.00 43.1% 12.3% 59.0% 34.7% 46.0% 11.4% 5.7% -292.3K 211.1M -10.9M 0.82 2.79 N/A N/A 36,955 30,140 820,328 959,668 2008-09-03 $39.71 $40.00 42.3% 12.1% 57.2% 33.4% 45.4% 10.4% 6.1% 523.5K 89.1M -11.1M 1.08 2.23 N/A N/A 17,787 19,219 826,262 968,472 2008-09-04 $37.91 $40.00 50.9% 14.6% 59.2% 48.3% 52.7% 10.5% 3.2% -3.9M 416.7M -10.7M 2.25 2.06 N/A N/A 19,968 44,830 828,138 972,674 2008-09-05 $39.60 $37.50 46.5% 14.7% 60.1% 40.5% 51.3% 12.3% -3.1% 596.0K 69.1M -11.2M 0.86 5.91 N/A N/A 31,267 26,831 838,771 985,853 2008-09-08 $41.55 $37.50 46.4% 14.2% 61.5% 40.4% 49.8% 13.2% -4.7% 8.3M -343.0M -11.6M 0.78 6.95 N/A N/A 85,541 66,631 841,786 986,771 2008-09-09 $39.47 $37.50 58.1% 16.4% 63.7% 60.6% 58.1% 15.1% -6.6% 1.4M 68.8M -11.4M 1.79 5.81 N/A N/A 39,963 71,454 860,537 1,009,606 2008-09-10 $39.40 $37.50 54.3% 16.2% 52.5% 54.1% 57.6% 14.5% -6.5% -774.7K 137.9M -11.3M 1.07 6.11 N/A N/A 39,491 42,130 864,362 1,031,034 2008-09-11 $41.65 $37.50 56.4% 16.2% 54.6% 57.7% 58.4% 15.7% -7.1% 8.7M -412.8M -12.0M 0.97 5.37 N/A N/A 67,410 65,627 870,537 1,030,789 2008-09-12 $41.17 $37.50 62.5% 17.9% 54.5% 68.3% 61.4% 15.1% -9.1% 6.0M -330.9M -12.0M 1.12 4.56 N/A N/A 53,170 59,371 881,529 1,049,021 2008-09-15 $37.00 $37.50 76.8% 22.0% 67.3% 93.0% 73.1% 19.4% -16.3% -3.5M 380.9M -11.2M 1.40 9.40 N/A N/A 84,449 118,349 889,326 1,056,659 2008-09-16 $40.74 $37.50 71.7% 20.5% 74.3% 84.0% 74.6% 21.8% -13.0% 6.8M -277.5M -12.1M 0.85 9.57 N/A N/A 89,620 76,438 897,774 1,054,938 2008-09-17 $35.77 $37.50 100.5% 28.8% 87.7% 100.0% 100.7% 31.7% -27.4% -5.6M 603.0M -10.9M 1.43 20.74 N/A N/A 57,411 82,276 911,416 1,057,221 2008-09-18 $40.30 $37.50 79.1% 22.7% 96.6% 72.4% 90.1% 33.5% -22.3% 3.8M -158.4M -12.0M 1.23 23.17 N/A N/A 79,409 97,347 921,694 1,069,412 2008-09-19 $47.05 $37.50 45.4% 13.0% 109.8% 28.8% 47.4% 15.5% -8.0% 28.7M -1.67B -11.0M 0.67 19.65 N/A N/A 116,553 78,234 931,163 1,066,085 2008-09-22 $40.80 $37.50 78.5% 22.5% 122.3% 71.6% 75.8% 26.4% -10.2% 5.0M -244.6M -11.8M 0.94 9.23 N/A N/A 42,120 39,757 719,963 858,386 2008-09-23 $40.56 $40.00 80.4% 23.0% 121.2% 74.1% 77.5% 25.4% -11.0% 4.2M -149.1M -12.3M 0.54 11.18 N/A N/A 31,775 17,116 753,682 891,695 2008-09-24 $40.50 $40.00 77.8% 22.3% 121.2% 70.8% 77.1% 24.0% -12.5% 5.9M -242.0M -12.1M 0.67 10.00 N/A N/A 19,816 13,269 770,688 896,848 2008-09-25 $43.46 $40.00 66.0% 18.9% 123.4% 55.5% 64.9% 23.2% -6.9% 11.0M -667.7M -12.6M 0.56 11.25 N/A N/A 56,894 31,862 775,455 904,774 2008-09-26 $48.24 $40.00 68.3% 19.6% 127.5% 58.4% 70.1% 17.3% -13.6% 15.9M -1.45B -12.9M 0.46 34.22 N/A N/A 93,186 43,183 792,388 914,824 2008-09-29 $41.00 $40.00 98.0% 28.1% 141.5% 96.8% 87.0% 19.9% -20.5% 14.3M -1.06B -11.9M 0.74 25.22 N/A N/A 60,180 44,522 811,664 930,864 2008-09-30 $46.70 $42.50 73.9% 21.2% 148.5% 65.7% 78.5% 19.3% -10.0% 14.2M -1.26B -13.2M 0.87 11.56 N/A N/A 82,164 71,589 812,890 938,468
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