JPM Options History — February 2009 In February 2009, JPM traded between $19.51 and $27.63. ATM implied volatility averaged 101.9%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 29.2%. IV traded below realized volatility by 24.1% (HV 20d: 126.1%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.96.
Notable Days 2009-02-20 : Highest Volume — 321,569 contracts2009-02-17 : Largest IV spike — 29.3% change2009-02-20 : Highest IV Rank — 75.7%2009-02-20 : Largest Expected Move — 37.1%Monthly Statistics Metric Avg Min Max Open Close Price $23.48 $19.51 $27.63 $25.19 $22.85 Max Pain $27.89 $25.00 $30.00 $25.00 $26.00 ATM IV 101.9% 83.5% 129.3% 95.8% 97.4% Expected Move 29.2% 25.3% 37.1% 27.5% 27.9% HV 20d 126.1% 92.7% 152.7% 140.0% 92.7% HV 60d 124.8% 110.6% 131.9% 127.0% 110.6% IV Rank 55.2% 41.4% 75.7% 50.6% 51.8% IV Percentile 90.3% 79.0% 98.0% 90.1% 86.1% Term Structure -5.6% -20.2% 0.6% -0.8% -0.2% VWIV 102.0% 88.5% 133.7% 98.0% 95.9% Skew 25d 22.5% 17.8% 32.9% 17.8% 22.7% Skew 10d 44.8% 34.5% 61.9% 37.0% 45.8% Call IV 25d 90.5% 79.8% 111.7% 87.5% 84.7% Put IV 25d 113.0% 97.8% 144.6% 105.2% 107.5% Bid-Ask Spread % 2.88 2.39 3.54 2.39 2.95 Gamma HHI 0.10 0.06 0.47 0.07 0.08 Net GEX -2.4M -14.5M 4.3M -376.8K -2.1M Net DEX 349.4M -145.0M 761.6M 201.1M 319.0M Net VEX -5.8M -7.0M -4.7M -6.2M -5.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.96 0.61 1.49 1.33 1.04 Total Volume 148,300 82,408 321,569 107,039 97,402 Total OI 1,829,429.947 1,656,985 2,013,373 1,677,914 1,800,925
Daily Data (19 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 2009-02-02 $25.19 $25.00 95.8% 27.5% 140.0% 50.6% 98.0% 17.8% -0.8% -376.8K 201.1M -6.2M 1.33 2.39 N/A N/A 46,017 61,022 765,016 912,898 2009-02-03 $24.05 $25.00 98.5% 28.2% 138.9% 52.6% 100.4% 21.5% -0.7% -1.4M 335.0M -5.8M 0.96 3.16 N/A N/A 82,518 79,582 781,003 926,025 2009-02-04 $24.04 $25.00 98.3% 28.2% 138.5% 52.5% 97.0% 20.4% -0.4% -1.4M 332.3M -6.0M 0.71 2.50 N/A N/A 48,304 34,104 817,273 954,196 2009-02-05 $24.54 $25.00 107.3% 30.7% 137.6% 59.2% 110.3% 18.0% -7.7% -199.8K 230.3M -6.3M 0.97 3.26 N/A N/A 73,856 71,908 817,489 945,067 2009-02-06 $27.63 $30.00 103.4% 27.0% 144.1% 56.3% 93.1% 23.8% -10.0% 3.4M -145.0M -7.0M 0.61 3.12 N/A N/A 105,879 64,443 823,330 955,819 2009-02-09 $27.28 $30.00 97.5% 26.6% 143.1% 51.9% 100.0% 24.7% -9.5% 4.3M -114.5M -7.0M 0.76 2.53 N/A N/A 54,683 41,690 866,571 980,245 2009-02-10 $24.62 $30.00 94.3% 28.0% 147.2% 49.5% 101.3% 21.0% -7.6% -625.6K 309.7M -6.1M 1.23 2.39 N/A N/A 74,532 91,330 861,889 990,085 2009-02-11 $26.09 $30.00 83.5% 26.2% 147.3% 41.4% 91.6% 20.2% -4.5% 1.7M 110.0M -6.5M 1.49 2.82 N/A N/A 55,089 82,220 866,888 1,019,060 2009-02-12 $26.19 $30.00 89.4% 25.6% 147.2% 45.8% 90.8% 20.5% -1.5% 1.3M 127.5M -6.7M 0.87 3.44 N/A N/A 80,291 69,808 879,406 1,045,753 2009-02-13 $24.69 $30.00 88.4% 25.3% 147.0% 45.1% 89.6% 18.0% -0.2% -1.6M 336.8M -6.2M 1.02 2.74 N/A N/A 42,462 43,508 882,647 1,052,094 2009-02-17 $21.65 $30.00 114.3% 32.8% 152.7% 64.5% 109.9% 21.0% -13.3% -6.0M 657.0M -5.2M 0.91 3.03 N/A N/A 88,903 80,853 881,464 1,060,837 2009-02-18 $21.51 $29.00 108.5% 31.1% 126.5% 60.1% 104.1% 22.4% -9.3% -6.5M 675.8M -5.1M 1.13 2.84 N/A N/A 74,726 84,622 903,361 1,063,497 2009-02-19 $20.60 $29.00 112.6% 32.3% 98.7% 63.2% 112.2% 25.6% -13.7% -8.3M 754.2M -4.8M 0.92 2.53 N/A N/A 75,740 69,860 920,773 1,084,835 2009-02-20 $19.90 $29.00 129.3% 37.1% 98.7% 75.7% 133.7% 32.9% -20.2% -14.5M 761.6M -4.8M 1.26 3.54 N/A N/A 142,007 179,562 937,890 1,075,483 2009-02-23 $19.51 $27.50 121.6% 34.9% 96.4% 70.0% 119.4% 28.0% -3.9% -3.5M 535.9M -4.7M 1.08 3.18 N/A N/A 73,835 79,736 733,352 923,633 2009-02-24 $21.02 $27.50 104.7% 30.0% 100.9% 57.3% 104.7% 24.8% 0.6% -3.6M 474.5M -5.3M 0.70 2.73 N/A N/A 93,552 65,123 756,535 948,651 2009-02-25 $21.73 $26.00 99.4% 28.5% 101.4% 53.3% 96.8% 22.5% -3.8% -3.2M 419.1M -5.5M 0.70 2.88 N/A N/A 87,139 60,610 785,025 961,133 2009-02-26 $23.05 $26.00 92.9% 26.6% 96.8% 48.4% 88.5% 21.9% -0.6% -2.4M 318.0M -5.8M 0.63 2.76 N/A N/A 98,540 62,244 799,618 979,403 2009-02-27 $22.85 $26.00 97.4% 27.9% 92.7% 51.8% 95.9% 22.7% -0.2% -2.1M 319.0M -5.9M 1.04 2.95 N/A N/A 47,838 49,564 814,266 986,659
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