JPM Options History — July 2009 In July 2009, JPM traded between $32.34 and $38.65. ATM implied volatility averaged 45.3%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 3.6% (HV 20d: 41.7%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.83.
Notable Days 2009-07-15 : Highest Volume — 348,071 contracts2009-07-16 : Largest IV drop — 29.1% change2009-07-13 : Highest IV Rank — 21.0%2009-07-08 : Largest Expected Move — 15.9%Monthly Statistics Metric Avg Min Max Open Close Price $35.77 $32.34 $38.65 $33.77 $38.65 Max Pain $33.95 $32.00 $35.00 $34.00 $35.00 ATM IV 45.3% 29.6% 65.8% 45.3% 29.6% Expected Move 12.0% 8.5% 15.9% 13.0% 8.5% HV 20d 41.7% 36.4% 49.4% 40.4% 36.4% HV 60d 64.4% 54.1% 78.5% 78.4% 54.1% IV Rank 6.4% 0.0% 21.0% 4.0% 0.0% IV Percentile 11.8% 0.0% 36.1% 4.0% 0.0% Term Structure 1.4% -1.4% 5.3% -0.3% 4.1% VWIV 42.1% 30.1% 55.2% 45.5% 30.1% Skew 25d 6.4% 3.0% 9.2% 6.1% 3.0% Skew 10d 12.8% 5.2% 18.7% 12.4% 5.2% Call IV 25d 39.2% 29.0% 51.8% 43.1% 29.0% Put IV 25d 45.5% 32.0% 60.5% 49.2% 32.0% Bid-Ask Spread % 2.85 1.97 4.22 2.91 2.68 Gamma HHI 0.12 0.08 0.27 0.09 0.13 Net GEX 25.1M 9.3M 46.5M 14.8M 35.0M Net DEX -1.07B -1.64B -321.3M -560.0M -1.64B Net VEX -9.6M -10.2M -8.7M -9.0M -9.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.48 1.42 0.80 1.42 Total Volume 122,595.682 48,303 348,071 48,303 60,036 Total OI 2,005,581.5 1,854,321 2,190,466 1,854,321 2,070,497
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 2009-07-01 $33.77 $34.00 45.3% 13.0% 40.4% 4.0% 45.5% 6.1% -0.3% 14.8M -560.0M -9.0M 0.80 2.91 N/A N/A 26,832 21,471 956,071 898,250 2009-07-02 $32.57 $34.00 49.4% 14.2% 39.5% 7.4% 49.8% 6.0% -0.8% 9.3M -331.1M -9.1M 0.96 3.96 N/A N/A 46,862 45,061 960,181 904,392 2009-07-06 $32.60 $34.00 55.4% 14.2% 38.8% 12.4% 50.2% 7.7% -0.4% 9.3M -334.7M -8.7M 0.60 1.97 N/A N/A 81,183 48,879 971,815 919,158 2009-07-07 $32.81 $32.00 59.8% 15.1% 37.7% 16.0% 52.5% 8.6% -1.1% 12.6M -442.6M -9.0M 0.68 2.20 N/A N/A 74,958 50,672 1,003,868 935,853 2009-07-08 $32.71 $32.00 62.7% 15.9% 37.7% 18.4% 55.2% 8.7% -1.4% 12.3M -452.1M -9.4M 0.83 3.97 N/A N/A 69,499 57,983 1,024,020 941,181 2009-07-09 $33.62 $32.00 56.2% 14.5% 39.1% 13.1% 49.8% 9.1% -0.1% 16.9M -619.1M -9.3M 0.49 2.06 N/A N/A 61,797 30,511 1,033,131 951,004 2009-07-10 $32.34 $32.00 60.9% 15.0% 41.2% 16.9% 51.5% 9.2% -1.0% 12.1M -321.3M -8.9M 0.51 2.48 N/A N/A 98,607 50,033 1,061,396 962,381 2009-07-13 $34.71 $33.00 65.8% 13.9% 49.0% 21.0% 48.7% 8.1% -1.2% 27.8M -960.9M -9.7M 0.48 2.31 N/A N/A 121,070 58,651 1,110,486 974,623 2009-07-14 $34.70 $33.00 53.6% 12.9% 47.5% 10.9% 46.1% 7.7% 0.0% 32.2M -972.3M -9.1M 0.62 2.06 N/A N/A 85,690 53,269 1,117,998 986,244 2009-07-15 $36.26 $33.00 60.8% 12.8% 49.4% 16.8% 44.6% 6.6% -1.1% 39.5M -1.43B -9.5M 0.72 3.54 N/A N/A 202,253 145,818 1,121,307 991,499 2009-07-16 $36.13 $34.00 43.1% 12.4% 48.5% 2.2% 43.5% 6.7% 0.7% 44.6M -1.39B -9.8M 0.67 2.39 N/A N/A 151,030 101,605 1,163,128 1,027,338 2009-07-17 $36.89 $34.00 38.4% 11.0% 46.8% 0.0% 39.2% 5.7% 2.2% 46.5M -1.57B -9.8M 0.56 2.67 N/A N/A 126,250 70,910 1,149,739 1,024,799 2009-07-20 $36.98 $35.00 37.8% 10.8% 46.2% 0.0% 38.3% 5.8% 2.4% 23.3M -1.24B -9.7M 1.21 3.20 N/A N/A 51,805 62,545 987,251 907,439 2009-07-21 $36.94 $35.00 35.9% 10.3% 39.2% 0.0% 36.1% 5.3% 2.6% 24.1M -1.22B -9.6M 1.08 2.49 N/A N/A 30,523 33,048 1,005,715 934,019 2009-07-22 $36.83 $35.00 34.9% 10.0% 38.9% 0.0% 35.3% 5.0% 3.1% 23.9M -1.18B -9.6M 0.87 3.16 N/A N/A 39,390 34,167 1,012,251 942,213 2009-07-23 $38.15 $35.00 35.8% 10.3% 40.2% 0.7% 36.4% 5.7% 3.4% 26.5M -1.48B -10.2M 0.75 2.64 N/A N/A 83,423 62,897 1,016,652 946,447 2009-07-24 $37.92 $35.00 35.4% 10.1% 40.1% 0.3% 36.0% 5.6% 3.7% 26.6M -1.47B -10.0M 1.08 2.13 N/A N/A 30,625 33,167 1,035,366 967,262 2009-07-27 $38.13 $35.00 34.4% 9.9% 40.1% 0.0% 34.8% 5.0% 3.4% 27.8M -1.47B -10.2M 1.02 3.26 N/A N/A 35,398 36,050 1,039,210 967,336 2009-07-28 $38.08 $35.00 35.0% 10.0% 40.2% 0.5% 35.7% 5.2% 3.8% 27.6M -1.48B -10.2M 1.30 3.17 N/A N/A 25,298 32,848 1,046,258 974,130 2009-07-29 $37.77 $35.00 33.1% 9.5% 39.9% 0.0% 33.4% 5.2% 5.3% 27.6M -1.43B -10.0M 0.79 3.25 N/A N/A 39,853 31,561 1,052,015 984,977 2009-07-30 $38.47 $35.00 33.1% 9.5% 39.7% 0.0% 32.8% 4.2% 4.3% 31.5M -1.61B -9.8M 0.79 4.22 N/A N/A 52,295 41,282 1,059,143 984,750 2009-07-31 $38.65 $35.00 29.6% 8.5% 36.4% 0.0% 30.1% 3.0% 4.1% 35.0M -1.64B -9.7M 1.42 2.68 N/A N/A 24,814 35,222 1,076,941 993,556
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