JPM Options History — November 2009 In November 2009, JPM traded between $41.33 and $44.35. ATM implied volatility averaged 35.1%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 2.4% (HV 20d: 37.5%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.90.
Notable Days 2009-11-02 : Highest Volume — 168,336 contracts2009-11-27 : Largest IV spike — 14.0% change2009-11-02 : Highest IV Rank — 10.2%2009-11-02 : Largest Expected Move — 12.2%Monthly Statistics Metric Avg Min Max Open Close Price $43.01 $41.33 $44.35 $42.58 $42.49 Max Pain $41.20 $40.00 $44.00 $44.00 $41.00 ATM IV 35.1% 29.9% 42.7% 42.7% 32.1% Expected Move 10.2% 8.6% 12.2% 12.2% 9.2% HV 20d 37.5% 26.9% 40.8% 39.3% 26.9% HV 60d 36.7% 35.4% 38.1% 38.1% 35.4% IV Rank 4.6% 0.7% 10.2% 10.2% 2.5% IV Percentile 10.1% 0.8% 25.4% 25.4% 4.4% Term Structure 2.8% -0.2% 4.6% -0.2% 3.8% VWIV 35.5% 30.3% 43.9% 43.9% 32.1% Skew 25d 5.5% 3.0% 8.6% 8.6% 3.7% Skew 10d 11.8% 5.9% 21.3% 21.3% 7.1% Call IV 25d 33.2% 28.6% 40.1% 40.1% 30.3% Put IV 25d 38.7% 31.8% 48.7% 48.7% 34.0% Bid-Ask Spread % 3.25 2.59 4.03 3.32 3.21 Gamma HHI 0.10 0.07 0.11 0.11 0.09 Net GEX 27.2M 14.0M 42.2M 25.9M 22.4M Net DEX -1.36B -1.85B -922.5M -1.24B -1.37B Net VEX -10.7M -12.3M -9.1M -11.9M -9.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.65 1.17 1.01 0.83 Total Volume 99,198.45 60,946 168,336 168,336 75,212 Total OI 2,334,490.95 2,199,987 2,459,018 2,249,427 2,311,821
Daily Data (20 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 2009-11-02 $42.58 $44.00 42.7% 12.2% 39.3% 10.2% 43.9% 8.6% -0.2% 25.9M -1.24B -11.9M 1.01 3.32 N/A N/A 83,845 84,491 1,165,096 1,084,331 2009-11-03 $42.70 $44.00 41.6% 11.9% 38.1% 9.5% 42.7% 7.1% -0.0% 26.2M -1.29B -11.7M 0.97 3.14 N/A N/A 59,087 57,036 1,166,498 1,098,372 2009-11-04 $42.21 $44.00 41.4% 11.9% 37.5% 9.3% 40.7% 6.7% 0.3% 24.1M -1.06B -12.3M 1.17 4.03 N/A N/A 50,771 59,179 1,184,959 1,108,386 2009-11-05 $43.87 $44.00 36.4% 10.4% 40.3% 5.5% 37.4% 5.8% 1.3% 35.9M -1.69B -11.7M 0.65 3.57 N/A N/A 40,304 26,032 1,189,790 1,123,912 2009-11-06 $43.48 $40.00 36.1% 11.0% 40.1% 5.3% 36.8% 7.0% 2.7% 32.8M -1.48B -11.8M 1.00 3.33 N/A N/A 39,012 38,844 1,191,045 1,128,109 2009-11-09 $44.35 $40.00 34.5% 10.4% 40.8% 4.1% 36.8% 6.4% 2.7% 42.2M -1.85B -10.9M 1.15 3.30 N/A N/A 50,870 58,598 1,192,091 1,138,473 2009-11-10 $44.17 $40.00 33.7% 9.9% 40.7% 3.5% 34.7% 5.7% 3.6% 39.6M -1.70B -11.3M 1.05 3.21 N/A N/A 54,432 57,349 1,191,272 1,148,361 2009-11-11 $44.32 $40.00 33.7% 10.1% 38.7% 3.4% 34.7% 6.0% 3.2% 41.2M -1.82B -10.7M 0.76 2.96 N/A N/A 52,952 40,288 1,191,996 1,172,685 2009-11-12 $43.30 $40.00 36.9% 10.6% 39.4% 5.8% 36.5% 6.0% 2.7% 30.8M -1.40B -11.0M 0.81 3.63 N/A N/A 55,234 44,917 1,202,547 1,173,300 2009-11-13 $42.90 $40.00 35.6% 10.2% 38.8% 4.9% 35.7% 5.7% 3.1% 24.3M -1.17B -11.6M 0.70 3.62 N/A N/A 60,013 42,166 1,204,692 1,181,233 2009-11-16 $43.04 $40.00 35.6% 10.2% 38.8% 4.9% 35.5% 5.7% 3.0% 25.4M -1.22B -11.2M 0.80 3.33 N/A N/A 51,291 41,078 1,208,066 1,190,834 2009-11-17 $43.16 $40.00 34.5% 9.9% 38.9% 4.1% 34.5% 5.3% 3.2% 28.9M -1.35B -10.8M 0.86 2.95 N/A N/A 55,546 47,550 1,218,126 1,199,970 2009-11-18 $43.38 $41.00 34.0% 9.7% 37.6% 3.7% 34.4% 5.3% 3.5% 33.5M -1.42B -10.7M 0.87 3.62 N/A N/A 33,949 29,568 1,223,423 1,214,266 2009-11-19 $42.55 $41.00 34.4% 9.9% 36.9% 4.0% 35.0% 5.1% 3.5% 16.1M -1.11B -10.0M 1.08 3.44 N/A N/A 52,192 56,468 1,225,490 1,220,277 2009-11-20 $42.46 $41.00 33.8% 9.7% 36.8% 3.5% 33.7% 4.9% 3.1% 14.5M -1.05B -9.4M 1.00 2.74 N/A N/A 65,128 64,994 1,227,390 1,231,628 2009-11-23 $43.28 $41.00 31.0% 8.9% 36.0% 1.4% 30.7% 4.6% 3.6% 26.6M -1.53B -9.4M 0.69 3.11 N/A N/A 66,126 45,782 1,079,213 1,120,774 2009-11-24 $42.48 $41.00 30.2% 8.7% 36.5% 0.9% 30.3% 3.9% 4.6% 21.1M -1.25B -9.8M 0.83 3.19 N/A N/A 33,303 27,643 1,098,099 1,136,389 2009-11-25 $42.16 $41.00 29.9% 8.6% 35.3% 0.7% 30.4% 3.0% 4.2% 19.1M -1.22B -9.1M 0.85 2.59 N/A N/A 60,104 50,920 1,101,811 1,145,629 2009-11-27 $41.33 $41.00 34.1% 9.8% 32.7% 4.1% 33.7% 3.9% 3.3% 14.0M -922.5M -10.0M 0.90 2.76 N/A N/A 37,802 33,893 1,133,943 1,165,522 2009-11-30 $42.49 $41.00 32.1% 9.2% 26.9% 2.5% 32.1% 3.7% 3.8% 22.4M -1.37B -9.3M 0.83 3.21 N/A N/A 41,137 34,075 1,136,242 1,175,579
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