JPM Options History — November 2008

In November 2008, JPM traded between $22.72 and $42.17. ATM implied volatility averaged 88.9%, placing in the 49.1% IV rank vs the trailing year. The 30-day expected move averaged 25.4%. IV traded below realized volatility by 12.1% (HV 20d: 101.0%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.23.

Notable Days

  • 2008-11-21: Highest Volume — 578,140 contracts
  • 2008-11-20: Largest IV spike — 32.7% change
  • 2008-11-21: Highest IV Rank — 100.0%
  • 2008-11-21: Largest Expected Move — 46.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.49$22.72$42.17$40.73$31.66
Max Pain$39.34$35.00$40.00$40.00$35.00
ATM IV88.9%55.5%161.7%66.8%79.4%
Expected Move25.4%15.9%46.4%19.1%22.8%
HV 20d101.0%81.9%135.8%101.3%132.3%
HV 60d114.3%108.5%127.4%109.3%127.4%
IV Rank49.1%23.0%100.0%32.5%38.3%
IV Percentile91.6%77.4%100.0%84.9%90.5%
Term Structure-1.6%-15.6%4.2%-2.5%3.4%
VWIV89.3%56.9%160.6%67.2%86.5%
Skew 25d27.4%14.8%54.1%18.5%34.4%
Skew 10d57.6%30.3%111.6%41.3%71.9%
Call IV 25d76.0%49.9%128.7%57.0%69.0%
Put IV 25d103.3%64.7%182.8%75.5%103.4%
Bid-Ask Spread %4.823.378.024.034.34
Gamma HHI0.110.100.120.100.11
Net GEX-4.3M-10.4M13.1M8.8M-9.2M
Net DEX834.8M-427.9M1.60B-181.1M1.03B
Net VEX-8.4M-11.0M-4.8M-11.0M-7.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.542.680.601.30
Total Volume162,772.89540,125578,14047,63340,125
Total OI2,026,150.1581,880,0192,264,0831,880,0192,264,083

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$40.73$40.0066.8%19.1%101.3%32.5%67.2%18.5%-2.5%8.8M-181.1M-11.0M0.604.03N/AN/A29,69417,939912,423967,596
2008-11-04$42.17$40.0055.5%15.9%93.6%23.0%56.9%14.8%-1.9%13.1M-427.9M-11.0M0.545.37N/AN/A80,85443,663921,295969,605
2008-11-05$39.22$40.0062.8%18.0%97.4%29.1%62.5%14.8%-1.3%3.3M228.0M-10.1M1.125.11N/AN/A35,32039,422926,998972,009
2008-11-06$38.26$40.0073.8%21.2%94.5%38.4%71.4%18.2%-2.3%1.6M314.6M-10.1M2.683.87N/AN/A53,781144,048908,357985,392
2008-11-07$37.75$40.0068.2%19.8%82.2%33.7%68.5%19.0%1.0%-1.4M471.6M-10.2M1.025.71N/AN/A42,85743,608923,3911,051,242
2008-11-10$36.41$40.0073.7%20.8%82.8%38.3%75.0%20.5%0.5%-4.7M719.0M-9.5M1.053.60N/AN/A30,00931,508918,4721,056,391
2008-11-11$36.35$40.0075.3%20.9%82.3%39.6%75.4%20.7%0.6%-5.2M736.9M-9.5M1.063.37N/AN/A45,03347,894918,2391,060,040
2008-11-12$34.57$40.0084.3%23.7%81.9%47.2%81.9%20.9%-1.2%-6.2M896.0M-9.0M1.464.35N/AN/A33,15648,360922,6241,054,898
2008-11-13$37.19$40.0069.4%19.9%84.3%34.7%70.6%20.1%4.2%-3.2M572.1M-9.7M1.244.58N/AN/A57,96371,683924,8431,067,418
2008-11-14$34.47$40.0081.0%23.2%87.7%44.4%79.5%21.3%1.5%-8.0M996.3M-8.7M0.944.91N/AN/A41,34438,813930,6061,074,286
2008-11-17$32.77$40.0092.2%26.4%87.7%53.9%87.4%23.2%-1.0%-9.8M1.19B-8.0M1.063.64N/AN/A49,33152,281937,7191,078,239
2008-11-18$32.14$40.0090.5%26.0%87.6%52.5%88.3%23.1%1.5%-10.3M1.22B-7.7M1.183.93N/AN/A52,98962,325940,8641,086,811
2008-11-19$28.47$40.00110.6%31.7%94.1%69.3%107.9%24.7%-1.3%-10.4M1.47B-6.6M0.744.54N/AN/A133,01098,412954,3201,095,972
2008-11-20$23.38$40.00146.8%42.1%113.6%99.8%131.2%44.8%-15.6%-7.1M1.60B-4.8M0.788.02N/AN/A196,984152,7391,006,9391,102,541
2008-11-21$22.72$40.00161.7%46.4%112.5%100.0%160.6%54.1%-12.4%-6.7M1.42B-5.3M2.017.38N/AN/A192,200385,9401,041,6201,126,980
2008-11-24$27.58$40.00111.7%32.0%135.8%62.6%121.5%49.5%-3.4%-9.2M1.37B-6.0M1.565.65N/AN/A126,448197,078893,9201,153,486
2008-11-25$29.77$37.5093.8%26.9%133.4%49.1%103.6%42.3%0.5%-9.4M1.16B-7.0M1.214.96N/AN/A91,176110,491930,1001,220,514
2008-11-26$30.62$35.0091.4%26.2%133.2%47.3%100.1%35.1%-0.9%-8.5M1.07B-7.2M1.824.16N/AN/A61,878112,329955,3301,241,290
2008-11-28$31.66$35.0079.4%22.8%132.3%38.3%86.5%34.4%3.4%-9.2M1.03B-7.5M1.304.34N/AN/A17,46522,660971,6171,292,466