JPM Options History — January 2009 In January 2009, JPM traded between $18.09 and $31.35. ATM implied volatility averaged 91.3%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 25.5%. IV traded below realized volatility by 10.0% (HV 20d: 101.4%). Max pain ranged from $25.00 to $40.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.18.
Notable Days 2009-01-16 : Highest Volume — 383,816 contracts2009-01-20 : Largest IV spike — 68.1% change2009-01-20 : Highest IV Rank — 87.1%2009-01-20 : Largest Expected Move — 41.4%Monthly Statistics Metric Avg Min Max Open Close Price $25.62 $18.09 $31.35 $31.35 $25.51 Max Pain $28.05 $25.00 $40.00 $40.00 $25.00 ATM IV 91.3% 62.3% 144.4% 62.3% 91.3% Expected Move 25.5% 17.9% 41.4% 17.9% 26.2% HV 20d 101.4% 56.2% 140.2% 89.5% 140.0% HV 60d 118.2% 110.2% 128.9% 112.7% 127.3% IV Rank 47.3% 25.5% 87.1% 25.5% 47.2% IV Percentile 86.4% 66.3% 98.8% 66.3% 87.7% Term Structure -1.2% -15.6% 4.8% 0.7% 0.9% VWIV 88.6% 63.3% 135.1% 63.3% 94.0% Skew 25d 23.8% 10.9% 44.3% 10.9% 18.7% Skew 10d 49.4% 20.8% 90.8% 20.8% 40.6% Call IV 25d 76.8% 58.1% 117.1% 58.1% 84.1% Put IV 25d 100.6% 69.0% 161.4% 69.0% 102.8% Bid-Ask Spread % 3.34 2.23 7.35 2.87 2.78 Gamma HHI 0.14 0.07 0.53 0.15 0.07 Net GEX -5.8M -17.4M 1.8M -6.4M -62.7K Net DEX 842.6M -61.1M 1.57B 1.01B 179.5M Net VEX -5.0M -6.4M -3.0M -5.4M -6.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.18 0.55 2.89 0.69 1.08 Total Volume 195,995.1 96,374 383,816 96,374 124,489 Total OI 1,869,767.7 1,220,360 2,377,520 2,038,869 1,646,800
Daily Data (20 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 2009-01-02 $31.35 $40.00 62.3% 17.9% 89.5% 25.5% 63.3% 10.9% 0.7% -6.4M 1.01B -5.4M 0.69 2.87 N/A N/A 57,167 39,207 918,563 1,120,306 2009-01-05 $29.25 $29.00 77.9% 20.5% 92.4% 37.2% 73.1% 18.2% -0.5% -7.4M 1.20B -4.9M 1.25 3.01 N/A N/A 58,769 73,314 939,218 1,123,341 2009-01-06 $29.88 $29.00 70.7% 21.6% 88.7% 31.8% 75.4% 20.9% -0.3% -7.5M 999.5M -5.3M 2.03 2.62 N/A N/A 82,749 167,699 956,939 1,114,782 2009-01-07 $28.09 $30.00 82.4% 24.0% 83.3% 40.6% 82.4% 23.1% -1.2% -10.0M 1.23B -5.3M 2.03 2.23 N/A N/A 33,196 67,423 974,384 1,174,185 2009-01-08 $27.22 $30.00 78.8% 24.6% 80.7% 37.9% 82.2% 21.7% -4.2% -10.7M 1.33B -4.9M 1.11 7.35 N/A N/A 48,819 54,188 969,902 1,176,606 2009-01-09 $25.97 $30.00 74.7% 24.5% 81.7% 34.8% 82.8% 22.4% -5.6% -11.2M 1.47B -4.4M 0.87 2.33 N/A N/A 61,026 52,946 978,427 1,173,987 2009-01-12 $24.91 $30.00 88.6% 26.1% 73.6% 45.2% 89.1% 24.4% -4.7% -10.9M 1.52B -4.1M 1.00 2.42 N/A N/A 83,980 83,731 992,996 1,168,656 2009-01-13 $26.35 $29.00 114.1% 24.1% 75.8% 64.3% 83.5% 24.3% -0.9% -9.5M 1.34B -4.6M 1.08 2.56 N/A N/A 103,701 111,492 1,023,442 1,172,992 2009-01-14 $25.91 $29.00 123.0% 23.7% 71.4% 71.0% 85.6% 20.3% 1.6% -9.7M 1.35B -4.6M 0.80 3.69 N/A N/A 152,334 121,348 1,037,341 1,187,515 2009-01-15 $24.34 $29.00 89.5% 25.7% 56.2% 45.9% 85.1% 24.8% 1.3% -10.1M 1.45B -4.6M 1.28 4.47 N/A N/A 111,071 142,156 1,105,606 1,237,751 2009-01-16 $22.82 $29.00 86.0% 24.6% 59.0% 43.2% 86.2% 26.4% 4.8% -17.4M 1.57B -4.0M 1.51 3.80 N/A N/A 153,024 230,792 1,119,077 1,258,443 2009-01-20 $18.09 $27.00 144.4% 41.4% 96.2% 87.1% 135.1% 44.3% -15.6% -2.4M 584.3M -3.0M 0.75 3.92 N/A N/A 208,408 155,583 568,104 652,256 2009-01-21 $22.63 $25.00 98.8% 28.3% 130.7% 52.9% 104.4% 37.9% -1.0% -2.2M 464.7M -4.5M 0.55 3.40 N/A N/A 144,180 78,659 638,105 730,159 2009-01-22 $23.10 $25.00 99.3% 28.5% 131.3% 53.2% 103.9% 32.4% 0.2% -13.8K 279.6M -4.7M 1.10 3.46 N/A N/A 93,518 102,808 729,987 727,162 2009-01-23 $24.28 $25.00 101.4% 29.1% 133.0% 54.8% 98.9% 27.6% -4.1% -500.6K 259.4M -5.3M 0.76 3.46 N/A N/A 98,745 75,014 682,356 755,942 2009-01-26 $24.50 $25.00 96.8% 27.7% 132.6% 51.3% 94.5% 22.8% -0.5% -403.6K 241.5M -5.5M 0.93 3.05 N/A N/A 94,130 87,113 715,007 798,665 2009-01-27 $25.06 $25.00 82.6% 23.7% 133.1% 40.7% 86.8% 22.0% 1.9% -676.7K 263.0M -5.5M 2.89 2.67 N/A N/A 52,829 152,764 729,203 837,294 2009-01-28 $27.66 $25.00 78.2% 22.4% 138.5% 37.4% 80.8% 16.2% 1.5% 1.8M -61.1M -6.4M 0.63 3.14 N/A N/A 155,301 98,046 746,285 870,250 2009-01-29 $25.43 $25.00 86.3% 24.7% 140.2% 43.5% 84.7% 16.7% 2.3% -279.6K 172.1M -6.1M 1.21 3.54 N/A N/A 48,914 59,269 757,258 886,062 2009-01-30 $25.51 $25.00 91.3% 26.2% 140.0% 47.2% 94.0% 18.7% 0.9% -62.7K 179.5M -6.2M 1.08 2.78 N/A N/A 59,915 64,574 750,230 896,570
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