JPM Options History — March 2009 In March 2009, JPM traded between $15.90 and $29.10. ATM implied volatility averaged 105.9%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 30.2%. IV traded below realized volatility by 24.9% (HV 20d: 130.8%). Max pain ranged from $18.00 to $26.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.96.
Notable Days 2009-03-06 : Highest Volume — 433,748 contracts2009-03-10 : Largest IV drop — 22.2% change2009-03-06 : Highest IV Rank — 91.0%2009-03-06 : Largest Expected Move — 41.6%Monthly Statistics Metric Avg Min Max Open Close Price $23.27 $15.90 $29.10 $21.16 $26.58 Max Pain $22.05 $18.00 $26.00 $26.00 $24.00 ATM IV 105.9% 84.6% 149.7% 103.1% 102.2% Expected Move 30.2% 24.3% 41.6% 29.6% 29.3% HV 20d 130.8% 96.0% 161.6% 96.0% 161.6% HV 60d 120.7% 109.2% 134.0% 110.0% 134.0% IV Rank 58.2% 42.2% 91.0% 56.1% 55.4% IV Percentile 86.5% 71.0% 99.6% 90.9% 86.9% Term Structure -7.8% -22.6% 5.4% 0.7% -8.2% VWIV 106.5% 82.1% 140.3% 101.5% 101.5% Skew 25d 26.1% 17.6% 35.2% 25.4% 28.7% Skew 10d 53.0% 35.8% 77.0% 51.8% 55.2% Call IV 25d 92.5% 73.6% 123.4% 90.5% 86.8% Put IV 25d 118.6% 98.9% 155.6% 115.9% 115.5% Bid-Ask Spread % 3.40 2.15 5.17 2.61 4.09 Gamma HHI 0.10 0.06 0.15 0.08 0.11 Net GEX 3.2M -4.1M 15.3M -3.3M 7.2M Net DEX -62.7M -894.1M 725.7M 481.9M -482.8M Net VEX -6.6M -8.6M -4.1M -5.4M -8.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.96 0.44 2.02 2.02 0.85 Total Volume 250,581.455 127,736 433,748 159,268 145,659 Total OI 2,111,920.091 1,704,767 2,550,414 1,830,758 2,027,571
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 2009-03-02 $21.16 $26.00 103.1% 29.6% 96.0% 56.1% 101.5% 25.4% 0.7% -3.3M 481.9M -5.4M 2.02 2.61 N/A N/A 52,732 106,536 825,848 1,004,910 2009-03-03 $21.01 $26.00 97.0% 27.8% 96.0% 51.5% 98.3% 17.6% 5.4% -3.3M 481.9M -5.3M 0.77 2.54 N/A N/A 81,072 62,473 837,699 1,009,027 2009-03-04 $19.30 $25.00 109.9% 31.5% 98.9% 61.2% 107.2% 21.7% -0.9% -4.0M 611.0M -4.9M 1.03 2.15 N/A N/A 143,078 147,572 876,832 1,025,667 2009-03-05 $16.60 $25.00 130.9% 37.5% 110.5% 76.9% 132.0% 24.9% -10.1% -4.1M 725.7M -4.1M 1.31 2.50 N/A N/A 171,534 224,546 886,308 1,064,951 2009-03-06 $15.93 $21.00 149.7% 41.6% 109.8% 91.0% 140.3% 34.9% -22.5% -3.6M 709.7M -4.2M 1.25 3.39 N/A N/A 193,060 240,688 938,922 1,119,700 2009-03-09 $15.90 $20.00 148.0% 39.4% 96.9% 89.7% 135.5% 35.2% -22.6% -3.2M 709.3M -4.2M 0.83 2.18 N/A N/A 132,874 110,372 995,940 1,157,273 2009-03-10 $19.50 $18.00 115.2% 34.2% 127.2% 65.2% 121.4% 27.6% -15.9% -1.8M 435.3M -5.5M 0.82 2.58 N/A N/A 168,062 137,251 1,037,570 1,156,348 2009-03-11 $20.40 $20.00 106.4% 30.9% 124.7% 58.6% 106.7% 24.2% -10.2% -1.2M 353.3M -5.9M 0.78 3.02 N/A N/A 143,671 111,484 1,071,758 1,221,748 2009-03-12 $23.20 $20.00 97.6% 28.0% 132.1% 52.0% 102.8% 24.8% -6.2% 2.2M -30.3M -6.5M 0.91 3.15 N/A N/A 141,728 128,989 1,063,178 1,204,948 2009-03-13 $23.75 $20.00 95.7% 27.4% 132.5% 50.5% 98.9% 22.4% -8.0% 3.1M -130.6M -6.8M 0.94 3.29 N/A N/A 127,566 119,794 1,074,072 1,245,820 2009-03-16 $23.09 $20.00 103.5% 29.7% 131.3% 56.4% 108.4% 26.4% -10.9% 2.3M 18.6M -6.4M 1.26 3.22 N/A N/A 114,172 143,700 1,091,196 1,247,275 2009-03-17 $25.14 $20.00 97.4% 27.9% 125.6% 51.8% 102.5% 23.4% -11.2% 6.9M -328.4M -7.0M 1.10 3.91 N/A N/A 83,182 91,255 1,101,288 1,300,615 2009-03-18 $27.11 $20.00 84.6% 24.3% 127.8% 42.2% 82.1% 25.3% -3.3% 7.9M -796.1M -7.3M 0.44 5.04 N/A N/A 214,667 94,995 1,119,483 1,304,624 2009-03-19 $24.95 $21.00 101.7% 29.1% 130.8% 55.0% 105.2% 28.3% -11.1% 15.3M -333.0M -7.1M 0.94 3.47 N/A N/A 174,276 163,951 1,192,393 1,312,257 2009-03-20 $23.15 $21.00 109.2% 31.3% 133.3% 60.6% 109.8% 27.4% -10.0% 3.5M 8.0M -6.8M 0.55 3.19 N/A N/A 166,403 91,633 1,203,237 1,347,177 2009-03-23 $28.86 $21.00 87.3% 25.0% 152.7% 44.2% 95.1% 26.0% 2.9% 7.0M -771.6M -7.9M 0.69 4.18 N/A N/A 208,932 144,218 795,571 909,196 2009-03-24 $26.38 $22.00 100.6% 28.8% 155.9% 54.2% 98.0% 25.9% -6.1% 6.3M -456.4M -7.8M 0.79 3.15 N/A N/A 117,733 93,167 869,787 966,333 2009-03-25 $28.56 $23.00 96.3% 27.6% 157.6% 51.0% 97.7% 23.9% -10.2% 9.2M -782.8M -8.4M 0.81 4.00 N/A N/A 121,061 98,335 902,990 988,973 2009-03-26 $29.10 $24.00 86.8% 24.9% 156.8% 43.9% 93.9% 24.3% -0.2% 10.5M -894.1M -8.6M 0.97 5.17 N/A N/A 106,111 102,565 933,378 1,015,523 2009-03-27 $27.40 $24.00 94.5% 27.1% 158.7% 49.6% 94.5% 24.4% -3.2% 8.2M -626.5M -8.5M 1.01 3.90 N/A N/A 63,444 64,292 952,036 1,049,345 2009-03-30 $24.85 $24.00 111.9% 32.1% 160.4% 62.7% 110.0% 32.3% -9.8% 5.0M -282.7M -7.8M 0.96 3.94 N/A N/A 83,439 80,520 961,539 1,051,936 2009-03-31 $26.58 $24.00 102.2% 29.3% 161.6% 55.4% 101.5% 28.7% -8.2% 7.2M -482.8M -8.2M 0.85 4.09 N/A N/A 78,637 67,022 960,499 1,067,072
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