JPM Options History — August 2009 In August 2009, JPM traded between $39.60 and $43.66. ATM implied volatility averaged 37.4%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 2.0% (HV 20d: 35.3%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.09.
Notable Days 2009-08-07 : Highest Volume — 216,675 contracts2009-08-05 : Largest IV spike — 12.6% change2009-08-17 : Highest IV Rank — 10.8%2009-08-17 : Largest Expected Move — 12.6%Monthly Statistics Metric Avg Min Max Open Close Price $42.18 $39.60 $43.66 $39.60 $43.46 Max Pain $35.33 $34.00 $36.00 $36.00 $36.00 ATM IV 37.4% 32.7% 43.9% 32.7% 33.8% Expected Move 10.8% 9.4% 12.6% 9.4% 9.7% HV 20d 35.3% 29.3% 39.4% 36.7% 36.5% HV 60d 43.4% 37.6% 53.0% 53.0% 37.6% IV Rank 5.9% 2.4% 10.8% 2.4% 3.2% IV Percentile 5.2% 0.4% 10.3% 0.4% 2.8% Term Structure 2.3% -0.9% 6.8% 2.8% 6.8% VWIV 38.7% 33.2% 45.0% 33.7% 35.3% Skew 25d 5.0% 2.0% 6.7% 3.3% 4.7% Skew 10d 10.1% 2.9% 14.3% 6.2% 9.4% Call IV 25d 35.9% 31.8% 41.1% 31.8% 32.6% Put IV 25d 40.8% 34.6% 47.7% 35.1% 37.3% Bid-Ask Spread % 2.62 2.08 3.18 2.98 2.63 Gamma HHI 0.13 0.10 0.14 0.14 0.13 Net GEX 35.4M 30.6M 38.5M 36.0M 32.9M Net DEX -2.50B -3.07B -1.93B -1.93B -2.46B Net VEX -9.9M -10.9M -9.0M -9.4M -10.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.09 0.37 1.89 1.05 1.16 Total Volume 117,661.048 58,176 216,675 109,168 64,441 Total OI 2,230,201.762 2,056,281 2,359,156 2,080,285 2,180,301
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 2009-08-03 $39.60 $36.00 32.7% 9.4% 36.7% 2.4% 33.7% 3.3% 2.8% 36.0M -1.93B -9.4M 1.05 2.98 N/A N/A 53,161 56,007 1,077,422 1,002,863 2009-08-04 $40.21 $36.00 33.0% 9.5% 36.7% 2.6% 33.2% 2.8% 3.6% 37.2M -2.15B -9.0M 0.37 2.80 N/A N/A 95,923 35,845 1,089,769 1,009,126 2009-08-05 $41.78 $36.00 37.1% 10.6% 37.7% 5.7% 38.0% 2.0% 1.9% 38.0M -2.55B -9.9M 0.71 3.18 N/A N/A 126,138 89,443 1,118,285 1,013,582 2009-08-06 $40.75 $36.00 38.5% 11.0% 39.4% 6.7% 38.9% 2.8% 2.9% 37.0M -2.29B -9.9M 1.13 2.88 N/A N/A 93,433 105,525 1,137,520 1,035,536 2009-08-07 $42.36 $34.00 37.2% 11.3% 36.2% 5.8% 40.3% 4.4% 1.6% 37.6M -2.68B -9.8M 1.03 2.77 N/A N/A 106,887 109,788 1,140,662 1,060,514 2009-08-10 $42.69 $35.00 37.8% 11.5% 29.3% 6.2% 40.8% 4.5% -0.9% 36.8M -2.80B -9.3M 1.26 2.37 N/A N/A 70,487 88,668 1,159,118 1,097,887 2009-08-11 $41.24 $35.00 38.6% 11.8% 33.2% 6.8% 41.4% 5.0% -0.2% 34.5M -2.39B -10.0M 1.89 2.41 N/A N/A 44,798 84,624 1,184,678 1,132,849 2009-08-12 $42.21 $35.00 37.6% 11.4% 31.0% 6.1% 40.7% 5.2% 0.2% 36.9M -2.69B -9.9M 1.03 2.79 N/A N/A 38,660 39,763 1,189,393 1,133,738 2009-08-13 $42.90 $35.00 40.0% 11.5% 30.9% 7.8% 40.6% 5.1% -0.4% 36.3M -2.87B -10.1M 1.15 2.15 N/A N/A 43,030 49,511 1,189,650 1,136,539 2009-08-14 $42.45 $35.00 39.6% 11.3% 31.2% 7.5% 40.2% 5.0% 0.1% 35.1M -2.75B -9.8M 0.94 2.08 N/A N/A 46,450 43,451 1,190,259 1,139,521 2009-08-17 $40.73 $35.00 43.9% 12.6% 35.6% 10.8% 45.0% 6.6% -0.9% 33.2M -2.21B -10.1M 1.22 2.27 N/A N/A 56,016 68,538 1,196,289 1,141,220 2009-08-18 $41.70 $35.00 42.3% 12.1% 36.2% 9.6% 41.3% 6.6% -0.4% 36.2M -2.48B -10.0M 0.82 2.61 N/A N/A 64,881 53,405 1,197,716 1,145,147 2009-08-19 $41.41 $35.00 40.1% 11.5% 36.3% 7.9% 40.1% 6.4% 1.6% 35.3M -2.43B -9.9M 1.20 2.61 N/A N/A 38,376 46,104 1,204,601 1,154,555 2009-08-20 $42.42 $35.00 38.3% 11.0% 35.3% 6.6% 39.3% 5.6% 2.5% 36.8M -2.77B -9.4M 0.80 2.83 N/A N/A 61,322 48,952 1,194,275 1,146,242 2009-08-21 $43.66 $35.00 36.7% 10.5% 36.0% 5.4% 38.7% 5.5% 2.9% 38.5M -3.07B -10.2M 0.82 2.81 N/A N/A 68,397 56,322 1,199,072 1,155,407 2009-08-24 $43.01 $35.00 39.5% 11.3% 36.8% 7.5% 39.8% 6.7% 2.8% 30.6M -2.33B -9.9M 0.96 2.59 N/A N/A 69,804 67,138 1,036,396 1,019,885 2009-08-25 $43.58 $35.00 35.8% 10.3% 36.8% 4.7% 37.0% 6.2% 4.4% 32.2M -2.49B -10.0M 1.33 2.20 N/A N/A 29,211 38,724 1,064,986 1,046,485 2009-08-26 $43.30 $36.00 33.7% 9.7% 36.7% 3.1% 38.0% 5.7% 6.1% 36.3M -2.44B -10.9M 1.40 3.01 N/A N/A 33,687 47,222 1,146,957 1,067,094 2009-08-27 $43.45 $36.00 33.5% 9.6% 36.5% 3.0% 35.9% 5.4% 6.5% 33.0M -2.45B -10.0M 1.14 2.48 N/A N/A 27,155 31,021 1,079,304 1,062,166 2009-08-28 $42.92 $36.00 35.0% 10.0% 37.1% 4.1% 35.1% 5.0% 4.6% 32.3M -2.33B -10.1M 1.49 2.63 N/A N/A 31,571 47,003 1,086,795 1,070,433 2009-08-31 $43.46 $36.00 33.8% 9.7% 36.5% 3.2% 35.3% 4.7% 6.8% 32.9M -2.46B -10.4M 1.16 2.63 N/A N/A 29,820 34,621 1,095,701 1,084,600
« Jul 2009 | All History | Sep 2009 » Home JPM History August 2009