JPM Options History — May 2009 In May 2009, JPM traded between $32.49 and $38.94. ATM implied volatility averaged 60.5%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded below realized volatility by 31.9% (HV 20d: 92.4%). Max pain ranged from $27.50 to $31.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.98.
Notable Days 2009-05-07 : Highest Volume — 243,430 contracts2009-05-11 : Largest IV spike — 18.9% change2009-05-01 : Highest IV Rank — 32.6%2009-05-01 : Largest Expected Move — 20.6%Monthly Statistics Metric Avg Min Max Open Close Price $35.59 $32.49 $38.94 $32.49 $36.90 Max Pain $29.57 $27.50 $31.00 $31.00 $30.00 ATM IV 60.5% 51.1% 71.8% 71.8% 51.1% Expected Move 17.0% 14.7% 20.6% 20.6% 14.7% HV 20d 92.4% 81.7% 107.7% 100.6% 85.2% HV 60d 120.1% 117.1% 123.3% 121.8% 117.1% IV Rank 22.6% 13.7% 32.6% 32.6% 13.7% IV Percentile 31.2% 18.3% 44.0% 44.0% 18.3% Term Structure -0.4% -6.4% 5.3% -3.7% 4.7% VWIV 60.6% 53.1% 73.0% 73.0% 53.5% Skew 25d 9.3% 7.0% 14.1% 11.1% 7.4% Skew 10d 19.1% 13.3% 33.7% 20.6% 13.3% Call IV 25d 55.3% 48.6% 66.6% 66.6% 48.6% Put IV 25d 64.7% 56.0% 77.7% 77.7% 56.0% Bid-Ask Spread % 3.13 2.28 5.73 3.66 2.28 Gamma HHI 0.14 0.10 0.69 0.10 0.10 Net GEX 19.9M 11.0M 88.0M 11.0M 19.1M Net DEX -1.46B -2.34B -927.8M -927.8M -1.65B Net VEX -10.3M -10.7M -9.4M -10.4M -10.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.98 0.65 1.69 0.95 0.65 Total Volume 136,858.3 37,203 243,430 102,480 63,815 Total OI 2,277,234.4 2,099,599 2,467,751 2,194,519 2,285,021
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 2009-05-01 $32.49 $31.00 71.8% 20.6% 100.6% 32.6% 73.0% 11.1% -3.7% 11.0M -927.8M -10.4M 0.95 3.66 N/A N/A 52,554 49,926 1,045,729 1,148,790 2009-05-04 $35.79 $27.50 66.8% 17.5% 105.0% 28.2% 68.0% 14.1% -1.2% 19.0M -1.62B -10.6M 1.07 5.73 N/A N/A 71,962 77,322 1,057,728 1,145,253 2009-05-05 $34.82 $27.50 69.9% 18.6% 104.4% 30.5% 69.0% 12.7% -2.8% 16.5M -1.43B -10.5M 1.39 3.61 N/A N/A 53,714 74,713 1,065,719 1,157,144 2009-05-06 $37.22 $27.50 63.5% 17.1% 104.8% 25.7% 60.9% 11.2% -2.3% 20.5M -1.92B -10.5M 0.71 4.56 N/A N/A 113,860 80,578 1,071,033 1,184,742 2009-05-07 $35.24 $29.00 71.3% 19.1% 107.7% 31.6% 65.8% 12.6% -4.9% 16.9M -1.49B -9.4M 1.18 3.49 N/A N/A 111,858 131,572 1,094,824 1,206,502 2009-05-08 $38.94 $29.00 58.0% 16.7% 94.8% 21.5% 60.4% 9.5% -3.9% 21.7M -2.34B -10.4M 0.79 2.31 N/A N/A 127,606 100,340 1,120,907 1,251,959 2009-05-11 $35.83 $30.00 68.9% 18.9% 99.8% 29.8% 67.3% 10.7% -6.4% 17.6M -1.64B -10.5M 0.91 3.17 N/A N/A 95,273 86,875 1,132,401 1,266,229 2009-05-12 $35.36 $30.00 64.4% 18.8% 93.4% 26.4% 67.2% 9.2% -5.2% 16.4M -1.49B -10.7M 0.80 2.82 N/A N/A 123,052 98,609 1,149,037 1,284,502 2009-05-13 $34.05 $30.00 69.7% 19.7% 92.6% 30.4% 68.8% 9.1% -5.5% 12.5M -1.17B -10.5M 1.17 2.75 N/A N/A 61,208 71,698 1,151,472 1,282,526 2009-05-14 $35.54 $30.00 62.1% 17.8% 93.5% 24.6% 64.1% 8.2% -1.8% 18.6M -1.57B -10.6M 1.02 3.27 N/A N/A 66,919 68,396 1,161,218 1,292,745 2009-05-15 $34.91 $30.00 60.7% 17.4% 93.8% 23.6% 60.6% 8.2% -0.3% 88.0M -1.41B -10.5M 0.82 2.38 N/A N/A 83,346 68,514 1,164,825 1,302,926 2009-05-18 $37.26 $30.00 51.6% 14.8% 85.6% 16.7% 53.4% 7.5% 5.3% 16.1M -1.59B -10.3M 0.82 3.50 N/A N/A 66,606 54,901 998,175 1,101,424 2009-05-19 $35.81 $30.00 54.3% 15.6% 81.9% 18.6% 54.9% 8.2% 3.2% 14.7M -1.37B -10.4M 0.98 2.49 N/A N/A 45,059 44,067 1,020,556 1,119,970 2009-05-20 $34.55 $30.00 53.1% 15.2% 82.8% 15.2% 53.1% 7.0% 3.1% 12.6M -1.10B -10.1M 0.92 2.97 N/A N/A 83,342 76,905 1,032,089 1,133,317 2009-05-21 $34.90 $30.00 55.4% 15.9% 81.7% 17.0% 55.9% 7.5% 3.1% 14.1M -1.21B -10.2M 0.80 2.70 N/A N/A 38,120 30,425 1,050,276 1,144,332 2009-05-22 $34.41 $30.00 54.3% 15.6% 81.9% 16.2% 53.7% 8.1% 3.4% 13.4M -1.12B -10.1M 1.09 2.47 N/A N/A 17,825 19,378 1,053,824 1,147,190 2009-05-26 $36.54 $30.00 53.4% 15.3% 84.1% 15.5% 53.3% 8.0% 2.0% 18.0M -1.51B -10.2M 1.69 2.72 N/A N/A 44,941 76,076 1,057,056 1,152,305 2009-05-27 $34.66 $30.00 55.5% 15.9% 86.6% 17.1% 54.9% 8.2% 2.9% 14.1M -1.16B -10.1M 0.88 3.26 N/A N/A 56,194 49,366 1,069,292 1,182,653 2009-05-28 $36.65 $30.00 54.7% 15.7% 87.0% 16.4% 55.1% 7.9% 2.2% 17.9M -1.55B -10.4M 0.97 2.53 N/A N/A 50,842 49,409 1,077,464 1,181,533 2009-05-29 $36.90 $30.00 51.1% 14.7% 85.2% 13.7% 53.5% 7.4% 4.7% 19.1M -1.65B -10.3M 0.65 2.28 N/A N/A 38,761 25,054 1,087,573 1,197,448
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