JPM Options History — December 2009 In December 2009, JPM traded between $40.27 and $42.22. ATM implied volatility averaged 31.4%, placing in the 2.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 8.7% (HV 20d: 22.7%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.79.
Notable Days 2009-12-11 : Highest Volume — 283,195 contracts2009-12-10 : Largest IV spike — 15.8% change2009-12-17 : Highest IV Rank — 4.9%2009-12-17 : Largest Expected Move — 10.1%Monthly Statistics Metric Avg Min Max Open Close Price $41.46 $40.27 $42.22 $42.22 $41.67 Max Pain $39.50 $39.00 $41.00 $41.00 $40.00 ATM IV 31.4% 28.7% 35.1% 30.4% 32.3% Expected Move 9.2% 8.2% 10.1% 8.7% 9.3% HV 20d 22.7% 19.3% 26.3% 26.1% 20.5% HV 60d 33.5% 28.7% 35.5% 35.4% 28.7% IV Rank 2.0% 0.0% 4.9% 1.1% 3.0% IV Percentile 6.2% 0.0% 18.3% 2.8% 10.7% Term Structure 1.0% -1.9% 3.5% 3.4% -1.3% VWIV 32.6% 29.3% 35.6% 31.0% 32.8% Skew 25d 4.1% 3.1% 5.6% 3.1% 3.3% Skew 10d 8.3% 5.9% 11.9% 6.3% 5.9% Call IV 25d 30.6% 27.6% 33.1% 29.1% 31.4% Put IV 25d 34.6% 30.9% 38.0% 32.2% 34.7% Bid-Ask Spread % 2.65 2.02 3.29 2.48 2.39 Gamma HHI 0.08 0.08 0.12 0.09 0.08 Net GEX 13.9M -7.0M 26.0M 13.2M 25.0M Net DEX -1.10B -1.41B -458.2M -886.1M -1.35B Net VEX -10.5M -13.0M -8.5M -10.5M -10.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.20 1.37 1.37 0.20 Total Volume 108,758.636 34,718 283,195 125,908 143,644 Total OI 2,418,221.727 2,196,871 2,732,678 2,329,555 2,277,563
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 2009-12-01 $42.22 $41.00 30.4% 8.7% 26.1% 1.1% 31.0% 3.1% 3.4% 13.2M -886.1M -10.5M 1.37 2.48 N/A N/A 53,066 72,842 1,141,393 1,188,162 2009-12-02 $41.93 $41.00 30.2% 8.7% 26.2% 0.9% 30.6% 3.4% 3.5% 15.8M -1.13B -9.2M 0.46 2.09 N/A N/A 68,490 31,576 1,149,641 1,199,877 2009-12-03 $41.40 $41.00 33.1% 9.5% 26.3% 3.3% 32.5% 3.1% 2.2% 13.5M -1.02B -9.3M 0.53 2.62 N/A N/A 84,961 45,090 1,171,250 1,202,335 2009-12-04 $41.74 $39.00 29.8% 9.8% 22.1% 0.6% 34.9% 4.7% 1.5% 12.8M -1.01B -9.3M 0.88 2.94 N/A N/A 54,443 48,102 1,148,036 1,219,660 2009-12-07 $41.25 $39.00 30.6% 9.9% 22.2% 1.2% 35.6% 4.8% 1.4% 7.2M -762.3M -9.9M 1.04 2.46 N/A N/A 30,451 31,525 1,153,746 1,227,282 2009-12-08 $41.21 $39.00 30.9% 10.0% 20.6% 1.5% 35.3% 5.1% 1.7% 7.2M -875.6M -8.6M 0.97 3.29 N/A N/A 71,527 69,485 1,159,361 1,237,284 2009-12-09 $41.19 $39.00 30.0% 10.0% 20.6% 0.7% 35.2% 5.6% 1.5% 6.3M -820.5M -9.2M 0.43 2.79 N/A N/A 126,248 54,176 1,184,009 1,251,021 2009-12-10 $41.27 $39.00 34.7% 10.0% 20.6% 4.6% 35.4% 5.5% 1.3% 11.0M -1.00B -9.8M 1.12 2.75 N/A N/A 38,060 42,658 1,244,985 1,261,022 2009-12-11 $40.96 $39.00 33.5% 9.6% 19.3% 3.7% 34.1% 5.1% 1.6% -1.2M -816.5M -9.6M 0.24 2.48 N/A N/A 228,338 54,857 1,253,509 1,280,533 2009-12-14 $41.77 $39.00 31.6% 9.1% 20.7% 2.0% 32.3% 4.5% 1.9% 11.8M -1.41B -11.8M 0.83 2.71 N/A N/A 55,265 45,619 1,427,242 1,305,436 2009-12-15 $40.86 $39.00 34.4% 9.9% 21.8% 4.4% 35.1% 4.7% 0.9% 6.4M -1.08B -11.3M 0.84 2.74 N/A N/A 55,025 45,999 1,418,010 1,293,792 2009-12-16 $41.36 $39.00 33.0% 9.5% 22.4% 3.2% 33.2% 4.3% 1.7% 13.0M -1.36B -11.1M 0.85 3.08 N/A N/A 58,126 49,166 1,422,943 1,283,815 2009-12-17 $40.27 $39.00 35.1% 10.1% 23.8% 4.9% 34.8% 4.3% 1.1% -7.0M -458.2M -11.2M 0.66 2.51 N/A N/A 73,070 48,504 1,423,719 1,286,074 2009-12-18 $40.95 $39.00 31.5% 9.0% 24.1% 2.0% 32.7% 4.2% 3.4% 2.5M -1.21B -11.4M 0.70 3.17 N/A N/A 103,374 72,024 1,443,193 1,285,760 2009-12-21 $41.90 $39.00 28.7% 8.2% 25.7% 0.0% 29.3% 3.6% 2.0% 22.3M -1.17B -8.5M 0.54 2.80 N/A N/A 56,607 30,635 1,164,147 1,032,724 2009-12-22 $41.94 $39.00 29.0% 8.3% 24.6% 0.2% 29.8% 3.5% 0.7% 25.4M -1.25B -13.0M 1.00 2.49 N/A N/A 37,259 37,262 1,171,877 1,037,742 2009-12-23 $41.56 $39.00 29.8% 8.5% 24.0% 0.9% 30.6% 3.3% -0.1% 26.0M -1.36B -11.1M 1.05 2.63 N/A N/A 35,793 37,511 1,184,317 1,051,679 2009-12-24 $41.89 $40.00 28.9% 8.3% 24.0% 0.2% 29.4% 3.1% -1.1% 25.4M -1.41B -11.2M 0.90 2.53 N/A N/A 22,926 20,608 1,180,057 1,062,867 2009-12-28 $41.72 $40.00 31.7% 9.1% 23.0% 2.5% 32.1% 3.5% -1.9% 22.3M -1.30B -12.8M 0.91 2.65 N/A N/A 30,128 27,498 1,181,574 1,066,365 2009-12-29 $41.49 $40.00 31.0% 8.9% 20.7% 1.9% 30.7% 3.1% -1.6% 23.1M -1.32B -11.0M 0.85 2.02 N/A N/A 18,769 15,949 1,186,496 1,072,907 2009-12-30 $41.53 $40.00 30.3% 8.7% 20.6% 1.3% 30.8% 3.2% -1.2% 22.8M -1.26B -11.1M 1.01 2.70 N/A N/A 32,906 33,128 1,190,385 1,077,088 2009-12-31 $41.67 $40.00 32.3% 9.3% 20.5% 3.0% 32.8% 3.3% -1.3% 25.0M -1.35B -10.8M 0.20 2.39 N/A N/A 119,783 23,861 1,191,452 1,086,111
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