JPM Options History — June 2009 In June 2009, JPM traded between $32.73 and $36.11. ATM implied volatility averaged 51.1%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 7.0% (HV 20d: 58.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.76.
Notable Days 2009-06-02 : Highest Volume — 217,658 contracts2009-06-11 : Largest IV spike — 16.4% change2009-06-02 : Highest IV Rank — 18.4%2009-06-02 : Largest Expected Move — 16.8%Monthly Statistics Metric Avg Min Max Open Close Price $34.39 $32.73 $36.11 $36.11 $34.11 Max Pain $33.82 $30.00 $35.00 $30.00 $34.00 ATM IV 51.1% 42.9% 58.5% 56.2% 46.1% Expected Move 15.0% 12.3% 16.8% 16.1% 13.2% HV 20d 58.0% 40.6% 85.5% 85.5% 40.6% HV 60d 94.2% 78.8% 112.6% 112.4% 78.8% IV Rank 9.7% 2.1% 18.4% 17.6% 4.8% IV Percentile 15.8% 1.6% 27.8% 26.6% 6.0% Term Structure 0.2% -3.1% 4.3% 2.6% -0.6% VWIV 52.3% 44.2% 58.2% 56.2% 46.5% Skew 25d 6.9% 2.9% 8.6% 8.4% 6.7% Skew 10d 14.4% 5.4% 18.4% 15.3% 14.1% Call IV 25d 49.5% 40.4% 56.5% 51.5% 43.0% Put IV 25d 56.4% 47.5% 62.9% 59.9% 49.7% Bid-Ask Spread % 2.67 2.01 3.85 3.85 3.16 Gamma HHI 0.13 0.07 0.81 0.10 0.08 Net GEX 24.3M 4.7M 187.5M 19.2M 15.3M Net DEX -1.02B -1.61B -542.0M -1.61B -729.3M Net VEX -9.7M -10.4M -9.1M -10.0M -9.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.42 1.14 0.97 1.14 Total Volume 115,836.909 61,331 217,658 151,444 66,955 Total OI 2,270,381.045 1,724,540 2,633,906 2,308,365 1,862,718
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 2009-06-01 $36.11 $30.00 56.2% 16.1% 85.5% 17.6% 56.2% 8.4% 2.6% 19.2M -1.61B -10.0M 0.97 3.85 N/A N/A 76,810 74,634 1,103,940 1,204,425 2009-06-02 $34.50 $31.00 58.5% 16.8% 80.0% 18.4% 58.2% 4.5% 2.1% 14.1M -1.10B -10.3M 0.72 2.47 N/A N/A 126,812 90,846 1,138,605 1,229,323 2009-06-03 $33.98 $31.00 54.9% 15.7% 79.6% 15.5% 55.0% 4.4% 4.2% 14.4M -1.05B -10.2M 0.72 2.50 N/A N/A 66,864 48,106 1,176,479 1,248,113 2009-06-04 $35.35 $31.00 52.2% 15.0% 77.1% 13.3% 52.3% 2.9% 4.3% 18.7M -1.35B -10.4M 0.49 2.56 N/A N/A 66,286 32,179 1,186,413 1,260,395 2009-06-05 $34.55 $35.00 46.0% 15.5% 75.0% 8.4% 53.9% 7.6% 0.4% 19.6M -1.24B -10.2M 0.51 3.74 N/A N/A 65,471 33,323 1,206,318 1,263,675 2009-06-08 $35.39 $35.00 47.7% 15.6% 65.8% 6.0% 53.4% 6.8% 0.1% 24.0M -1.41B -10.1M 0.56 2.63 N/A N/A 64,934 36,079 1,210,195 1,259,248 2009-06-09 $35.26 $35.00 45.0% 15.0% 58.9% 3.8% 52.1% 6.3% 1.4% 24.5M -1.38B -10.0M 0.69 2.01 N/A N/A 51,497 35,622 1,217,756 1,264,232 2009-06-10 $34.84 $35.00 45.7% 15.1% 58.9% 4.4% 52.4% 6.2% 0.8% 21.6M -1.22B -10.0M 0.51 2.13 N/A N/A 72,541 36,748 1,224,407 1,264,606 2009-06-11 $34.94 $35.00 53.1% 15.2% 57.2% 10.5% 53.6% 6.9% -0.4% 22.6M -1.27B -10.0M 0.63 2.71 N/A N/A 72,249 45,313 1,229,848 1,267,939 2009-06-12 $35.13 $35.00 51.5% 14.8% 55.1% 9.1% 51.2% 6.6% 0.2% 25.7M -1.33B -9.8M 0.95 3.14 N/A N/A 34,571 32,990 1,233,206 1,275,742 2009-06-15 $34.00 $35.00 55.2% 15.8% 56.0% 12.2% 54.6% 7.7% -1.5% 13.6M -931.6M -9.5M 0.93 2.21 N/A N/A 68,944 63,847 1,234,171 1,287,609 2009-06-16 $33.50 $35.00 56.1% 16.1% 50.3% 13.0% 55.0% 7.8% -2.7% 12.1M -844.4M -9.1M 0.96 2.08 N/A N/A 105,436 100,701 1,245,758 1,286,791 2009-06-17 $32.73 $35.00 57.4% 16.5% 49.1% 14.1% 56.4% 8.6% -3.1% 4.7M -631.2M -9.4M 0.77 2.64 N/A N/A 122,559 94,662 1,274,423 1,326,133 2009-06-18 $34.17 $34.00 54.1% 15.5% 50.4% 11.3% 53.9% 8.3% -1.8% 24.4M -1.09B -9.4M 0.68 2.13 N/A N/A 71,178 48,705 1,298,068 1,335,838 2009-06-19 $35.00 $34.00 52.4% 15.0% 51.1% 9.9% 53.0% 8.3% -0.7% 187.5M -1.33B -9.8M 0.74 2.57 N/A N/A 92,880 68,628 1,288,862 1,325,656 2009-06-22 $32.87 $34.00 55.4% 15.9% 55.6% 12.4% 54.6% 7.9% -1.2% 8.8M -542.0M -9.2M 1.00 2.72 N/A N/A 53,856 53,715 890,611 833,929 2009-06-23 $33.57 $34.00 51.4% 14.7% 51.3% 9.1% 51.9% 7.5% -0.3% 10.2M -603.6M -9.2M 1.04 2.30 N/A N/A 34,276 35,674 901,271 851,779 2009-06-24 $33.46 $34.00 50.8% 14.6% 48.0% 8.6% 50.1% 7.3% -0.1% 9.9M -578.9M -9.4M 0.89 3.05 N/A N/A 47,118 42,063 909,587 861,069 2009-06-25 $34.14 $34.00 47.0% 13.5% 43.8% 5.5% 47.4% 7.4% -0.1% 12.2M -683.4M -9.5M 0.42 2.46 N/A N/A 58,541 24,522 928,248 877,369 2009-06-26 $34.45 $34.00 44.0% 12.6% 43.9% 3.0% 44.2% 7.1% 1.2% 15.3M -775.6M -9.5M 0.84 3.01 N/A N/A 37,377 31,569 945,071 876,039 2009-06-29 $34.60 $34.00 42.9% 12.3% 43.5% 2.1% 44.2% 6.7% -0.1% 16.3M -794.6M -9.1M 0.60 2.71 N/A N/A 38,269 23,062 955,279 887,239 2009-06-30 $34.11 $34.00 46.1% 13.2% 40.6% 4.8% 46.5% 6.7% -0.6% 15.3M -729.3M -9.1M 1.14 3.16 N/A N/A 31,340 35,615 970,012 892,706
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