JPM Options History — October 2009 In October 2009, JPM traded between $41.37 and $47.16. ATM implied volatility averaged 39.4%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 0.4% (HV 20d: 39.9%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.88.
Notable Days 2009-10-14 : Highest Volume — 255,266 contracts2009-10-14 : Largest IV drop — 40.7% change2009-10-12 : Highest IV Rank — 15.8%2009-10-01 : Largest Expected Move — 14.2%Monthly Statistics Metric Avg Min Max Open Close Price $44.77 $41.37 $47.16 $41.37 $41.77 Max Pain $44.82 $44.00 $45.00 $44.00 $45.00 ATM IV 39.4% 29.1% 50.4% 49.7% 45.6% Expected Move 10.8% 8.6% 14.2% 14.2% 13.1% HV 20d 39.9% 35.8% 42.1% 38.6% 42.1% HV 60d 36.4% 35.0% 38.7% 38.6% 38.7% IV Rank 7.7% 0.0% 15.8% 15.2% 12.4% IV Percentile 14.4% 0.0% 28.6% 25.4% 28.6% Term Structure -0.5% -4.2% 1.6% -4.2% -1.4% VWIV 37.9% 30.4% 48.2% 48.2% 45.0% Skew 25d 5.0% 3.3% 8.3% 5.9% 8.0% Skew 10d 11.2% 6.7% 21.9% 11.8% 17.5% Call IV 25d 35.4% 28.6% 46.8% 46.8% 42.6% Put IV 25d 40.5% 32.2% 52.7% 52.7% 50.6% Bid-Ask Spread % 3.21 1.55 18.82 3.48 3.03 Gamma HHI 0.14 0.10 0.45 0.10 0.10 Net GEX 43.7M 18.5M 127.4M 18.5M 20.6M Net DEX -2.01B -2.96B -1.00B -1.05B -1.00B Net VEX -10.4M -12.2M -9.2M -10.2M -12.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.42 1.36 0.61 0.96 Total Volume 130,857.636 70,767 255,266 146,653 188,031 Total OI 2,081,394.818 1,913,438 2,214,264 1,913,438 2,197,480
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 2009-10-01 $41.37 $44.00 49.7% 14.2% 38.6% 15.2% 48.2% 5.9% -4.2% 18.5M -1.05B -10.2M 0.61 3.48 N/A N/A 91,174 55,479 988,989 924,449 2009-10-02 $41.86 $44.00 47.9% 13.7% 37.2% 13.9% 47.9% 4.3% -3.2% 22.0M -1.18B -10.7M 0.89 2.64 N/A N/A 75,736 67,505 1,016,202 934,849 2009-10-05 $43.80 $44.00 48.5% 12.6% 40.6% 14.3% 43.5% 6.7% -1.6% 33.2M -1.74B -10.9M 0.67 2.21 N/A N/A 68,013 45,871 1,046,715 949,964 2009-10-06 $44.91 $44.00 47.9% 12.2% 41.4% 13.9% 42.8% 6.3% -1.5% 38.9M -2.09B -11.1M 0.42 2.52 N/A N/A 87,142 36,770 1,067,987 965,107 2009-10-07 $45.70 $45.00 47.1% 11.5% 41.7% 13.3% 40.7% 6.5% -1.1% 45.6M -2.39B -10.8M 0.91 1.81 N/A N/A 71,396 65,319 1,089,477 969,081 2009-10-08 $45.30 $45.00 44.3% 11.7% 41.9% 11.1% 40.9% 6.0% -1.2% 46.4M -2.33B -9.7M 1.15 1.70 N/A N/A 68,039 78,408 1,101,558 982,983 2009-10-09 $45.85 $45.00 40.8% 11.2% 41.7% 8.5% 40.5% 5.3% -0.8% 54.1M -2.51B -9.9M 1.31 1.55 N/A N/A 33,268 43,561 1,117,511 982,287 2009-10-12 $46.08 $45.00 50.4% 11.2% 40.6% 15.8% 39.7% 4.9% -1.6% 53.5M -2.54B -10.1M 0.80 2.21 N/A N/A 74,826 59,538 1,110,609 993,758 2009-10-13 $45.66 $45.00 49.1% 10.9% 40.5% 14.8% 39.0% 4.5% -1.4% 52.4M -2.43B -9.5M 0.83 3.27 N/A N/A 121,279 100,209 1,117,456 1,013,403 2009-10-14 $47.16 $45.00 29.1% 10.0% 40.4% 0.0% 35.2% 8.3% -0.1% 75.0M -2.96B -11.0M 0.80 18.82 N/A N/A 141,744 113,522 1,153,116 1,037,672 2009-10-15 $47.16 $45.00 33.2% 9.5% 40.3% 3.1% 33.7% 4.4% 0.5% 70.9M -2.96B -9.8M 0.61 2.31 N/A N/A 56,971 35,011 1,145,350 1,064,545 2009-10-16 $46.06 $45.00 30.8% 8.8% 41.4% 1.3% 31.2% 3.6% 1.6% 127.4M -2.61B -9.7M 0.73 1.91 N/A N/A 83,577 60,694 1,145,387 1,068,877 2009-10-19 $45.98 $45.00 30.2% 8.6% 41.2% 0.8% 30.5% 3.6% 1.5% 40.2M -2.26B -9.2M 1.26 2.72 N/A N/A 36,032 45,382 999,469 938,647 2009-10-20 $46.03 $45.00 30.1% 8.6% 38.3% 0.7% 30.4% 3.6% 1.4% 38.9M -2.22B -9.6M 0.80 2.31 N/A N/A 62,160 49,961 1,007,800 960,333 2009-10-21 $44.65 $45.00 31.0% 8.9% 38.3% 1.4% 31.0% 3.6% 0.8% 34.3M -1.70B -10.3M 0.91 3.02 N/A N/A 71,364 64,811 1,034,848 982,046 2009-10-22 $45.71 $45.00 30.3% 8.7% 38.8% 0.9% 30.6% 3.3% 1.6% 38.3M -2.17B -9.8M 0.94 2.30 N/A N/A 39,843 37,605 1,047,532 1,008,005 2009-10-23 $45.23 $45.00 31.7% 9.1% 38.5% 2.0% 31.5% 3.5% 1.4% 36.2M -2.01B -10.3M 1.36 2.75 N/A N/A 29,979 40,788 1,057,895 1,017,083 2009-10-26 $43.82 $45.00 35.7% 10.2% 39.1% 4.9% 35.6% 4.0% 0.2% 26.6M -1.54B -11.1M 0.93 2.58 N/A N/A 76,943 71,430 1,060,092 1,026,870 2009-10-27 $43.90 $45.00 36.3% 10.4% 39.1% 5.4% 36.3% 4.4% -0.6% 30.1M -1.62B -10.6M 0.74 2.88 N/A N/A 73,137 54,443 1,088,711 1,037,028 2009-10-28 $42.68 $45.00 41.4% 11.9% 39.4% 9.3% 41.5% 5.5% -2.0% 24.2M -1.25B -11.1M 1.03 2.07 N/A N/A 55,435 57,289 1,111,815 1,051,872 2009-10-29 $44.35 $45.00 36.4% 10.4% 35.8% 5.5% 36.8% 5.0% -0.1% 33.6M -1.73B -11.6M 0.74 2.56 N/A N/A 51,277 37,906 1,120,835 1,054,993 2009-10-30 $41.77 $45.00 45.6% 13.1% 42.1% 12.4% 45.0% 8.0% -1.4% 20.6M -1.00B -12.2M 0.96 3.03 N/A N/A 95,781 92,250 1,135,088 1,062,392
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