JPM Options History — September 2009

In September 2009, JPM traded between $40.86 and $46.47. ATM implied volatility averaged 39.2%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 5.3% (HV 20d: 33.9%). Max pain ranged from $36.00 to $44.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.96.

Notable Days

2009-09-15: Highest Volume — 186,502 contracts
2009-09-10: Largest IV spike — 13.1% change
2009-09-30: Highest IV Rank — 11.6%
2009-09-30: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.67	$40.86	$46.47	$41.67	$43.82
Max Pain	$42.24	$36.00	$44.00	$36.00	$44.00
ATM IV	39.2%	33.9%	44.9%	40.2%	44.9%
Expected Move	11.5%	10.3%	12.9%	11.5%	12.9%
HV 20d	33.9%	28.9%	39.8%	39.8%	32.9%
HV 60d	37.0%	35.0%	39.1%	38.6%	36.5%
IV Rank	7.3%	3.2%	11.6%	8.0%	11.6%
IV Percentile	12.6%	3.2%	21.8%	11.9%	21.8%
Term Structure	-0.8%	-4.1%	6.9%	3.1%	-4.1%
VWIV	40.6%	37.3%	45.0%	38.9%	45.0%
Skew 25d	5.6%	4.1%	7.5%	6.0%	4.5%
Skew 10d	11.9%	8.3%	16.2%	12.1%	9.3%
Call IV 25d	37.9%	34.5%	43.3%	37.0%	43.3%
Put IV 25d	43.5%	39.8%	47.8%	42.9%	47.8%
Bid-Ask Spread %	2.86	2.02	3.48	3.09	3.34
Gamma HHI	0.16	0.11	0.71	0.12	0.11
Net GEX	38.0M	25.6M	156.2M	28.9M	27.4M
Net DEX	-2.17B	-3.01B	-1.60B	-1.97B	-1.60B
Net VEX	-9.7M	-10.7M	-7.0M	-10.4M	-10.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.57	1.67	1.19	0.82
Total Volume	102,169.714	46,799	186,502	142,344	130,736
Total OI	2,103,661.905	1,705,824	2,393,898	2,194,333	1,874,351

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
2009-09-01	$41.67	$36.00	40.2%	11.5%	39.8%	8.0%	38.9%	6.0%	3.1%	28.9M	-1.97B	-10.4M	1.19	3.09	N/A	N/A	64,947	77,397	1,101,151	1,093,182
2009-09-02	$40.86	$36.00	40.0%	11.5%	38.0%	7.9%	40.1%	6.1%	5.5%	26.7M	-1.72B	-10.7M	1.39	3.09	N/A	N/A	43,358	60,331	1,111,284	1,107,286
2009-09-03	$42.11	$36.00	36.0%	10.3%	38.5%	4.8%	37.6%	5.3%	6.9%	31.2M	-2.14B	-10.4M	0.81	2.43	N/A	N/A	51,940	42,253	1,120,017	1,117,719
2009-09-04	$42.34	$43.00	33.9%	12.0%	35.9%	3.2%	42.4%	7.3%	-0.1%	32.8M	-2.21B	-10.3M	1.02	2.02	N/A	N/A	27,742	28,392	1,124,870	1,121,793
2009-09-08	$42.54	$43.00	35.4%	11.8%	35.9%	4.4%	42.1%	7.5%	-0.4%	33.2M	-2.28B	-9.9M	0.89	2.78	N/A	N/A	47,611	42,460	1,127,478	1,130,501
2009-09-09	$42.86	$43.00	34.1%	11.6%	33.6%	3.4%	41.3%	6.9%	0.3%	33.2M	-2.33B	-10.3M	1.67	2.57	N/A	N/A	17,551	29,248	1,130,833	1,139,018
2009-09-10	$43.02	$43.00	38.6%	11.1%	32.6%	6.8%	39.8%	6.4%	0.7%	34.5M	-2.38B	-9.7M	0.82	2.85	N/A	N/A	49,401	40,757	1,128,996	1,139,392
2009-09-11	$42.50	$43.00	39.6%	11.4%	32.4%	7.6%	39.9%	6.3%	-0.4%	32.4M	-2.25B	-9.7M	0.90	2.31	N/A	N/A	45,321	40,648	1,144,781	1,153,128
2009-09-14	$43.75	$43.00	38.1%	10.9%	33.8%	6.4%	39.8%	6.1%	-0.6%	38.5M	-2.58B	-9.8M	1.14	2.87	N/A	N/A	44,596	50,640	1,150,721	1,154,960
2009-09-15	$43.19	$43.00	41.3%	11.8%	30.3%	8.9%	41.5%	6.6%	-2.3%	35.6M	-2.51B	-9.6M	0.90	2.46	N/A	N/A	98,021	88,481	1,156,141	1,170,514
2009-09-16	$44.65	$43.00	40.5%	11.6%	31.4%	8.3%	41.6%	5.6%	-2.8%	42.1M	-2.98B	-9.3M	0.87	2.37	N/A	N/A	70,954	61,957	1,176,607	1,186,584
2009-09-17	$44.96	$43.00	38.2%	11.0%	31.2%	6.5%	38.9%	5.5%	-1.6%	46.6M	-3.01B	-9.3M	0.70	2.87	N/A	N/A	96,811	67,897	1,168,746	1,196,863
2009-09-18	$44.95	$43.00	36.7%	10.5%	30.3%	5.4%	37.3%	5.4%	0.1%	156.2M	-2.91B	-9.2M	0.86	3.06	N/A	N/A	66,208	57,015	1,185,309	1,208,589
2009-09-21	$44.55	$43.00	38.1%	10.9%	28.9%	6.4%	39.2%	5.7%	-1.6%	27.6M	-1.83B	-9.4M	0.97	2.46	N/A	N/A	34,084	33,072	876,922	828,902
2009-09-22	$46.47	$43.00	38.8%	11.1%	31.7%	6.9%	38.9%	4.8%	-2.4%	25.8M	-1.68B	-7.0M	0.90	3.08	N/A	N/A	66,958	60,477	883,523	841,785
2009-09-23	$45.06	$43.00	40.6%	11.6%	33.8%	8.3%	40.4%	4.6%	-3.0%	29.4M	-1.92B	-10.1M	0.89	3.21	N/A	N/A	49,151	43,769	913,597	868,115
2009-09-24	$44.37	$44.00	42.5%	12.2%	34.2%	9.8%	42.0%	5.2%	-3.6%	28.5M	-1.79B	-9.7M	1.40	3.08	N/A	N/A	43,373	60,871	929,720	879,365
2009-09-25	$43.65	$44.00	42.4%	12.1%	34.8%	9.7%	42.6%	4.2%	-3.2%	25.6M	-1.61B	-10.0M	0.73	3.27	N/A	N/A	55,727	40,548	932,444	893,362
2009-09-28	$44.81	$44.00	41.6%	11.9%	35.6%	9.1%	42.0%	4.1%	-3.6%	31.0M	-1.91B	-9.9M	0.57	3.35	N/A	N/A	37,670	21,579	950,535	898,108
2009-09-29	$44.88	$44.00	42.0%	12.0%	35.4%	9.4%	42.2%	4.3%	-3.3%	31.7M	-1.95B	-9.4M	0.76	3.48	N/A	N/A	31,530	24,082	955,851	903,857
2009-09-30	$43.82	$44.00	44.9%	12.9%	32.9%	11.6%	45.0%	4.5%	-4.1%	27.4M	-1.60B	-10.2M	0.82	3.34	N/A	N/A	71,840	58,896	962,994	911,357