JPM Options History — December 2008 In December 2008, JPM traded between $26.12 and $36.49. ATM implied volatility averaged 87.0%, placing in the 44.0% IV rank vs the trailing year. The 30-day expected move averaged 25.2%. IV traded below realized volatility by 54.5% (HV 20d: 141.5%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.98.
Notable Days 2008-12-31 : Highest Volume — 547,955 contracts2008-12-03 : Largest IV drop — 17.6% change2008-12-01 : Highest IV Rank — 77.1%2008-12-01 : Largest Expected Move — 37.6%Monthly Statistics Metric Avg Min Max Open Close Price $30.84 $26.12 $36.49 $26.12 $31.53 Max Pain $39.09 $35.00 $40.00 $35.00 $40.00 ATM IV 87.0% 61.9% 131.2% 131.2% 61.9% Expected Move 25.2% 17.8% 37.6% 37.6% 17.8% HV 20d 141.5% 91.6% 163.7% 141.7% 91.6% HV 60d 126.9% 114.9% 135.8% 132.7% 114.9% IV Rank 44.0% 25.2% 77.1% 77.1% 25.2% IV Percentile 86.9% 65.9% 98.8% 98.8% 65.9% Term Structure -3.3% -9.9% 4.8% -9.9% -1.8% VWIV 91.2% 72.4% 123.0% 123.0% 95.2% Skew 25d 23.7% 13.6% 40.2% 37.9% 13.6% Skew 10d 46.9% 24.7% 82.0% 78.0% 24.7% Call IV 25d 76.9% 56.3% 107.7% 107.7% 56.3% Put IV 25d 100.6% 69.9% 145.6% 145.6% 69.9% Bid-Ask Spread % 3.73 2.18 7.28 3.53 2.52 Gamma HHI 0.12 0.08 0.17 0.10 0.15 Net GEX -7.5M -11.8M -1.1M -8.6M -6.4M Net DEX 975.6M -35.2M 1.39B 1.36B 965.1M Net VEX -6.7M -9.1M -5.3M -6.0M -5.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.98 0.08 2.23 0.66 0.08 Total Volume 146,446.955 18,789 547,955 160,848 547,955 Total OI 2,296,427.318 1,925,530 2,604,059 2,246,920 2,040,563
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 2008-12-01 $26.12 $35.00 131.2% 37.6% 141.7% 77.1% 123.0% 37.9% -9.9% -8.6M 1.36B -6.0M 0.66 3.53 N/A N/A 97,010 63,838 972,758 1,274,162 2008-12-02 $28.53 $35.00 111.0% 31.8% 147.1% 62.0% 117.5% 40.2% -1.9% -9.2M 1.25B -6.5M 0.82 6.38 N/A N/A 75,631 61,919 970,129 1,283,871 2008-12-03 $30.25 $35.00 91.5% 26.2% 148.5% 47.4% 104.9% 35.9% 4.5% -8.6M 1.08B -7.0M 1.27 4.32 N/A N/A 45,513 57,989 982,922 1,284,910 2008-12-04 $31.08 $35.00 99.8% 28.6% 147.7% 53.6% 106.0% 28.1% 0.3% -7.1M 911.4M -7.6M 1.47 4.62 N/A N/A 65,140 95,993 1,013,054 1,311,472 2008-12-05 $33.35 $40.00 90.2% 26.5% 150.5% 46.4% 93.2% 30.8% -8.3% -5.4M 555.1M -8.4M 1.13 7.28 N/A N/A 57,674 65,095 1,025,301 1,340,211 2008-12-08 $36.49 $40.00 84.2% 24.8% 154.3% 41.9% 90.0% 24.1% -9.0% -1.1M -35.2M -9.1M 0.64 4.62 N/A N/A 167,754 107,807 1,032,587 1,330,982 2008-12-09 $33.96 $40.00 86.4% 26.2% 155.9% 43.5% 100.7% 24.9% -7.3% -3.4M 381.4M -8.7M 0.77 4.34 N/A N/A 110,571 85,227 1,098,994 1,340,463 2008-12-10 $33.52 $40.00 87.4% 27.1% 155.9% 44.3% 90.7% 24.7% -9.3% -2.4M 494.3M -8.3M 0.94 4.74 N/A N/A 57,408 54,127 1,115,987 1,343,216 2008-12-11 $29.94 $40.00 96.9% 27.8% 159.9% 51.5% 98.2% 24.3% -7.2% -8.8M 1.11B -6.9M 2.23 4.54 N/A N/A 72,409 161,495 1,132,875 1,352,517 2008-12-12 $30.94 $40.00 92.0% 26.4% 157.8% 47.7% 91.1% 25.7% -5.1% -9.7M 1.04B -7.1M 1.14 4.46 N/A N/A 95,626 108,846 1,137,724 1,394,053 2008-12-15 $28.63 $40.00 98.3% 28.2% 157.9% 52.5% 97.4% 26.1% -7.7% -11.8M 1.39B -6.1M 0.96 3.23 N/A N/A 63,590 61,083 1,160,468 1,407,874 2008-12-16 $32.35 $40.00 86.2% 24.7% 163.7% 43.4% 87.4% 21.1% -5.2% -5.9M 797.8M -7.2M 1.66 3.08 N/A N/A 53,103 87,887 1,165,840 1,415,948 2008-12-17 $31.86 $40.00 84.1% 24.1% 163.7% 41.9% 87.9% 20.8% -4.5% -6.8M 903.9M -7.0M 0.88 3.14 N/A N/A 60,050 52,698 1,170,331 1,422,091 2008-12-18 $30.21 $40.00 88.0% 25.2% 158.7% 44.8% 86.9% 23.3% -5.9% -10.4M 1.20B -6.2M 1.61 3.10 N/A N/A 55,914 90,301 1,168,949 1,418,223 2008-12-19 $30.32 $40.00 81.7% 23.4% 140.1% 40.1% 79.5% 21.0% -2.7% -7.5M 1.24B -6.2M 0.66 2.66 N/A N/A 64,897 42,891 1,179,299 1,424,760 2008-12-22 $29.82 $40.00 79.3% 22.7% 139.7% 38.2% 79.1% 18.8% -1.4% -8.4M 1.12B -5.7M 1.00 2.51 N/A N/A 43,917 43,720 848,705 1,076,825 2008-12-23 $29.11 $40.00 79.4% 22.8% 122.8% 38.3% 79.7% 17.8% 1.4% -8.4M 1.17B -5.5M 0.96 2.71 N/A N/A 29,024 27,881 866,342 1,086,526 2008-12-24 $29.85 $40.00 73.2% 21.0% 120.0% 33.7% 73.9% 17.0% 4.8% -9.0M 1.15B -5.7M 0.65 2.77 N/A N/A 11,383 7,406 871,621 1,092,462 2008-12-26 $29.80 $40.00 70.6% 20.2% 119.6% 31.7% 75.6% 15.5% 4.7% -8.8M 1.16B -5.4M 0.85 3.04 N/A N/A 16,138 13,756 876,087 1,094,177 2008-12-29 $29.78 $40.00 74.3% 21.3% 118.9% 34.5% 76.6% 15.4% -0.8% -9.3M 1.17B -5.3M 0.48 2.18 N/A N/A 48,154 23,141 880,756 1,098,934 2008-12-30 $31.01 $40.00 66.8% 19.1% 96.3% 28.9% 72.4% 14.4% 0.2% -7.9M 1.05B -5.5M 0.66 2.31 N/A N/A 42,019 27,853 908,400 1,108,032 2008-12-31 $31.53 $40.00 61.9% 17.8% 91.6% 25.2% 95.2% 13.6% -1.8% -6.4M 965.1M -5.5M 0.08 2.52 N/A N/A 508,470 39,485 926,681 1,113,882
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