JPM Options History — October 2008 In October 2008, JPM traded between $34.00 and $49.85. ATM implied volatility averaged 87.0%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded below realized volatility by 47.0% (HV 20d: 134.0%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.00.
Notable Days 2008-10-10 : Highest Volume — 248,388 contracts2008-10-09 : Largest IV spike — 33.5% change2008-10-07 : Highest IV Rank — 100.0%2008-10-09 : Largest Expected Move — 31.7%Monthly Statistics Metric Avg Min Max Open Close Price $40.19 $34.00 $49.85 $49.63 $41.25 Max Pain $40.87 $40.00 $42.50 $42.50 $40.00 ATM IV 87.0% 58.9% 147.0% 79.4% 65.9% Expected Move 22.4% 16.9% 31.7% 22.8% 18.9% HV 20d 134.0% 96.1% 163.4% 149.6% 102.2% HV 60d 106.0% 104.3% 109.5% 105.4% 109.5% IV Rank 58.2% 27.4% 100.0% 72.8% 31.8% IV Percentile 94.0% 83.7% 100.0% 98.4% 84.1% Term Structure -4.7% -16.1% 3.0% -16.1% -1.6% VWIV 78.4% 57.8% 99.7% 88.6% 66.1% Skew 25d 21.4% 12.7% 26.8% 22.8% 18.7% Skew 10d 43.9% 24.5% 54.3% 44.0% 38.0% Call IV 25d 68.3% 50.1% 96.0% 70.2% 55.9% Put IV 25d 89.7% 67.9% 122.5% 93.0% 74.6% Bid-Ask Spread % 7.65 3.44 14.08 7.04 5.72 Gamma HHI 0.10 0.08 0.11 0.11 0.10 Net GEX 4.9M -4.5M 18.6M 18.6M 8.1M Net DEX -97.4M -1.84B 857.3M -1.84B -189.8M Net VEX -11.6M -13.7M -8.9M -13.6M -11.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.00 0.54 2.73 0.74 0.68 Total Volume 132,946.609 55,671 248,388 221,699 100,491 Total OI 1,877,902.739 1,760,054 2,095,382 1,816,353 1,862,041
Daily Data (23 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 2008-10-01 $49.63 $42.50 79.4% 22.8% 149.6% 72.8% 88.6% 22.8% -16.1% 18.6M -1.84B -13.6M 0.74 7.04 N/A N/A 127,512 94,187 852,691 963,662 2008-10-02 $49.85 $42.50 78.7% 22.6% 148.1% 71.9% 85.7% 19.7% -10.2% 15.8M -1.78B -13.4M 2.73 11.74 N/A N/A 56,330 154,044 833,705 950,960 2008-10-03 $45.90 $42.50 84.8% 24.3% 151.5% 79.8% 85.1% 12.7% -11.5% 11.5M -1.05B -13.7M 0.54 9.99 N/A N/A 87,388 47,490 852,841 974,833 2008-10-06 $44.00 $42.50 92.1% 22.1% 151.7% 89.2% 76.3% 18.9% -7.8% 11.0M -891.2M -13.5M 0.86 14.08 N/A N/A 59,324 50,758 876,159 985,061 2008-10-07 $39.32 $42.50 113.4% 25.2% 156.0% 100.0% 84.7% 18.6% -10.1% 3.2M -45.0M -12.4M 0.81 7.78 N/A N/A 59,642 48,577 878,137 982,190 2008-10-08 $39.30 $42.50 110.1% 24.5% 156.0% 96.2% 84.9% 21.0% -10.3% 3.1M 53.9M -12.1M 0.90 12.97 N/A N/A 74,356 66,785 889,377 983,186 2008-10-09 $36.68 $42.50 147.0% 31.7% 156.4% 100.0% 99.7% 26.5% -12.8% 1.1M 205.0M -11.8M 1.06 8.95 N/A N/A 86,084 91,165 899,252 991,990 2008-10-10 $41.64 $42.50 121.0% 27.1% 163.4% 78.8% 94.0% 26.8% -9.3% 7.8M -443.6M -13.3M 1.12 6.59 N/A N/A 117,014 131,374 927,333 1,022,770 2008-10-13 $41.99 $40.00 109.6% 23.6% 158.4% 69.5% 80.6% 25.7% -4.3% 11.8M -509.8M -12.7M 0.62 7.20 N/A N/A 61,265 38,086 938,927 1,035,825 2008-10-14 $40.71 $40.00 105.5% 21.8% 155.2% 65.8% 75.6% 22.3% -4.7% 7.7M -65.7M -12.1M 0.98 6.92 N/A N/A 105,396 102,859 949,039 1,045,867 2008-10-15 $38.49 $40.00 101.4% 23.4% 149.1% 62.4% 77.4% 21.7% -6.2% 1.5M 413.1M -11.3M 1.07 7.03 N/A N/A 86,653 92,631 970,083 1,064,907 2008-10-16 $40.49 $40.00 75.5% 21.7% 143.9% 41.1% 79.2% 23.7% -3.4% 8.1M -12.2M -12.1M 1.00 5.44 N/A N/A 68,433 68,433 991,993 1,083,410 2008-10-17 $39.33 $40.00 71.1% 20.4% 132.0% 37.5% 72.2% 20.2% -1.3% 2.0M 285.1M -11.6M 0.97 6.29 N/A N/A 93,483 90,429 999,821 1,095,561 2008-10-20 $40.66 $40.00 58.9% 16.9% 122.9% 27.4% 57.8% 17.8% 3.0% 3.6M 13.7M -11.4M 0.62 6.08 N/A N/A 66,802 41,711 821,580 938,474 2008-10-21 $39.74 $40.00 59.9% 17.2% 123.1% 28.2% 60.2% 16.1% 1.9% 3.3M 97.0M -11.1M 0.86 5.38 N/A N/A 40,850 35,051 842,024 931,969 2008-10-22 $37.17 $40.00 74.7% 21.4% 125.3% 40.4% 76.3% 22.3% -1.1% -27.6K 394.9M -10.7M 1.17 6.77 N/A N/A 44,083 51,529 859,611 940,218 2008-10-23 $37.85 $40.00 74.5% 21.4% 122.5% 40.3% 72.9% 24.7% -0.9% 2.0M 236.9M -10.9M 0.97 7.69 N/A N/A 60,644 58,641 858,768 937,181 2008-10-24 $35.43 $40.00 79.1% 22.7% 116.8% 44.1% 79.4% 22.7% -0.9% -2.1M 634.4M -10.0M 1.24 8.43 N/A N/A 37,338 46,262 872,067 944,700 2008-10-27 $34.00 $40.00 81.8% 23.4% 103.7% 46.2% 82.2% 25.6% -2.2% -4.5M 857.3M -8.9M 0.79 3.44 N/A N/A 53,779 42,242 876,943 943,155 2008-10-28 $37.60 $40.00 69.1% 19.8% 98.8% 35.8% 77.5% 20.9% 2.0% 502.7K 387.5M -10.4M 1.24 4.92 N/A N/A 40,793 50,556 883,301 956,369 2008-10-29 $35.71 $40.00 76.0% 21.8% 96.1% 41.5% 74.1% 22.4% -1.0% -2.6M 659.3M -9.4M 1.03 9.10 N/A N/A 35,347 36,284 888,180 949,638 2008-10-30 $37.62 $40.00 71.9% 20.6% 98.9% 38.1% 72.4% 21.2% 0.5% 1.2M 343.9M -10.4M 0.96 6.29 N/A N/A 28,345 27,326 890,155 955,809 2008-10-31 $41.25 $40.00 65.9% 18.9% 102.2% 31.8% 66.1% 18.7% -1.6% 8.1M -189.8M -11.2M 0.68 5.72 N/A N/A 59,653 40,838 899,959 962,082
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