JPM Options History — April 2009 In April 2009, JPM traded between $27.25 and $34.48. ATM implied volatility averaged 80.5%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 23.1%. IV traded below realized volatility by 47.0% (HV 20d: 127.5%). Max pain ranged from $24.00 to $31.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.08.
Notable Days 2009-04-09 : Highest Volume — 416,438 contracts2009-04-20 : Largest IV spike — 23.3% change2009-04-01 : Highest IV Rank — 51.0%2009-04-01 : Largest Expected Move — 27.6%Monthly Statistics Metric Avg Min Max Open Close Price $31.35 $27.25 $34.48 $28.14 $33.00 Max Pain $29.29 $24.00 $31.00 $24.00 $31.00 ATM IV 80.5% 67.1% 96.3% 96.3% 69.7% Expected Move 23.1% 19.2% 27.6% 27.6% 20.0% HV 20d 127.5% 99.7% 158.2% 158.2% 100.2% HV 60d 128.8% 120.7% 138.2% 133.8% 121.8% IV Rank 39.1% 29.1% 51.0% 51.0% 31.1% IV Percentile 58.7% 39.7% 78.2% 78.2% 42.5% Term Structure -3.4% -7.1% 0.5% -4.6% -1.2% VWIV 81.4% 68.3% 97.1% 97.1% 69.4% Skew 25d 17.5% 10.4% 26.6% 26.6% 10.4% Skew 10d 35.3% 19.8% 52.7% 52.7% 19.8% Call IV 25d 72.0% 61.4% 81.9% 81.9% 65.0% Put IV 25d 89.5% 72.8% 108.4% 108.4% 75.4% Bid-Ask Spread % 3.18 2.50 3.85 3.38 3.41 Gamma HHI 0.12 0.07 0.15 0.12 0.10 Net GEX 12.7M 5.6M 21.5M 9.7M 11.8M Net DEX -1.13B -1.90B -545.3M -716.7M -1.03B Net VEX -9.9M -10.5M -8.7M -8.7M -10.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.08 0.69 1.92 0.98 1.65 Total Volume 190,097.714 91,604 416,438 194,972 131,314 Total OI 2,209,493.143 1,892,810 2,581,298 2,070,806 2,173,356
Daily Data (21 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 2009-04-01 $28.14 $24.00 96.3% 27.6% 158.2% 51.0% 97.1% 26.6% -4.6% 9.7M -716.7M -8.7M 0.98 3.38 N/A N/A 98,299 96,673 980,585 1,090,221 2009-04-02 $28.16 $25.00 93.2% 26.7% 145.2% 48.6% 92.4% 22.6% -3.6% 9.7M -742.8M -9.1M 0.86 3.55 N/A N/A 117,745 101,291 1,004,648 1,137,007 2009-04-03 $29.28 $28.00 78.5% 23.3% 143.0% 37.7% 82.6% 20.8% -1.1% 13.2M -948.2M -9.5M 1.07 3.50 N/A N/A 63,181 67,912 1,038,188 1,166,453 2009-04-06 $28.20 $28.00 86.5% 24.1% 144.7% 43.6% 82.8% 20.9% 0.5% 11.9M -776.4M -9.3M 1.46 2.50 N/A N/A 51,921 75,897 1,050,611 1,188,444 2009-04-07 $27.25 $28.00 87.7% 25.4% 130.4% 44.5% 86.8% 20.7% -2.7% 9.2M -563.9M -9.1M 1.92 3.51 N/A N/A 49,863 95,673 1,054,698 1,202,942 2009-04-08 $27.43 $28.00 84.6% 25.1% 130.0% 42.2% 85.5% 21.3% -3.1% 9.4M -554.4M -9.2M 0.85 2.97 N/A N/A 61,150 51,799 1,064,559 1,239,364 2009-04-09 $32.75 $28.00 81.6% 23.4% 136.6% 40.0% 85.6% 22.4% -3.7% 16.6M -1.71B -10.1M 0.81 3.02 N/A N/A 230,450 185,988 1,076,822 1,240,362 2009-04-13 $33.70 $30.00 86.0% 24.7% 136.6% 43.3% 87.6% 19.8% -5.7% 16.7M -1.90B -10.2M 0.94 2.60 N/A N/A 183,653 173,137 1,119,188 1,278,582 2009-04-14 $30.70 $30.00 89.0% 25.5% 141.4% 45.5% 91.2% 18.5% -7.1% 17.2M -1.26B -10.1M 0.69 2.72 N/A N/A 122,635 85,015 1,163,872 1,312,453 2009-04-15 $32.56 $30.00 82.2% 23.6% 139.9% 40.4% 84.0% 16.3% -5.0% 19.7M -1.70B -10.3M 0.89 3.75 N/A N/A 173,597 154,656 1,183,655 1,315,445 2009-04-16 $33.24 $30.00 75.4% 21.6% 138.0% 35.3% 77.1% 16.0% -3.0% 21.5M -1.88B -9.9M 0.74 3.69 N/A N/A 175,755 129,730 1,190,964 1,332,137 2009-04-17 $33.26 $30.00 69.2% 19.8% 133.7% 30.7% 70.0% 13.9% -3.2% 16.3M -1.86B -9.8M 0.71 2.79 N/A N/A 112,466 79,738 1,225,195 1,356,103 2009-04-20 $29.69 $30.00 85.3% 24.5% 137.7% 42.8% 84.6% 17.1% -5.3% 5.6M -545.3M -9.4M 1.37 3.13 N/A N/A 75,654 103,272 902,732 990,078 2009-04-21 $32.53 $30.00 78.6% 22.5% 118.1% 37.8% 81.0% 15.5% -3.8% 8.5M -935.4M -10.1M 1.02 3.69 N/A N/A 92,154 94,103 916,054 1,023,125 2009-04-22 $31.90 $30.00 78.7% 22.6% 113.1% 37.8% 78.6% 16.3% -3.8% 8.8M -885.9M -10.1M 0.99 2.55 N/A N/A 76,584 76,202 941,562 1,032,887 2009-04-23 $33.21 $31.00 74.7% 21.4% 110.7% 34.8% 75.3% 14.6% -2.3% 10.8M -1.08B -10.3M 0.96 2.73 N/A N/A 68,250 65,527 961,160 1,047,474 2009-04-24 $33.38 $31.00 74.9% 21.5% 110.6% 35.0% 75.2% 15.5% -5.2% 12.1M -1.15B -10.4M 0.96 3.85 N/A N/A 78,616 75,405 984,952 1,064,248 2009-04-27 $32.78 $31.00 77.0% 22.1% 108.2% 36.5% 78.6% 14.1% -3.4% 11.6M -1.06B -10.4M 1.21 2.71 N/A N/A 47,012 56,754 1,005,697 1,082,940 2009-04-28 $32.79 $31.00 73.6% 21.1% 100.7% 34.0% 74.5% 13.3% -2.1% 11.6M -1.02B -10.5M 1.49 2.84 N/A N/A 36,737 54,867 1,018,663 1,106,858 2009-04-29 $34.48 $31.00 67.1% 19.2% 99.7% 29.1% 68.3% 11.4% -1.9% 14.3M -1.30B -10.5M 1.17 3.84 N/A N/A 56,047 65,330 1,016,207 1,118,865 2009-04-30 $33.00 $31.00 69.7% 20.0% 100.2% 31.1% 69.4% 10.4% -1.2% 11.8M -1.03B -10.4M 1.65 3.41 N/A N/A 49,463 81,851 1,035,324 1,138,032
« Mar 2009 | All History | May 2009 » Home JPM History April 2009