JPM Options History — January 2010

In January 2010, JPM traded between $38.44 and $44.79. ATM implied volatility averaged 34.8%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 7.2% (HV 20d: 27.6%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.74.

Notable Days

2010-01-21: Highest Volume — 407,142 contracts
2010-01-14: Largest IV drop — 44.7% change
2010-01-13: Highest IV Rank — 20.5%
2010-01-26: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.23	$38.44	$44.79	$42.85	$38.94
Max Pain	$42.11	$41.00	$43.00	$41.00	$41.00
ATM IV	34.8%	23.9%	53.6%	32.0%	35.7%
Expected Move	8.9%	6.8%	11.0%	8.3%	10.2%
HV 20d	27.6%	22.2%	36.3%	22.2%	36.3%
HV 60d	29.6%	28.0%	31.6%	29.1%	28.0%
IV Rank	6.9%	0.0%	20.5%	2.7%	9.4%
IV Percentile	21.9%	0.0%	57.5%	10.3%	28.2%
Term Structure	0.4%	-1.4%	2.2%	1.7%	1.2%
VWIV	31.2%	23.9%	37.7%	29.7%	35.7%
Skew 25d	4.0%	1.2%	7.0%	4.2%	7.0%
Skew 10d	8.9%	2.3%	17.5%	8.5%	16.0%
Call IV 25d	29.5%	23.0%	35.8%	27.5%	33.1%
Put IV 25d	33.5%	25.0%	41.7%	31.7%	40.0%
Bid-Ask Spread %	3.21	2.51	5.92	3.35	2.79
Gamma HHI	0.10	0.06	0.18	0.09	0.07
Net GEX	33.9M	5.0M	82.8M	32.5M	13.4M
Net DEX	-779.1M	-1.73B	249.1M	-908.9M	52.1M
Net VEX	-13.3M	-14.0M	-12.4M	-13.1M	-13.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.29	1.34	0.50	1.34
Total Volume	172,757.842	75,842	407,142	133,505	97,953
Total OI	2,052,802.368	1,506,432	2,631,976	2,190,169	1,906,973

Daily Data (19 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
2010-01-04	$42.85	$41.00	32.0%	8.3%	22.2%	2.7%	29.7%	4.2%	1.7%	32.5M	-908.9M	-13.1M	0.50	3.35	N/A	N/A	89,039	44,466	1,099,323	1,090,846
2010-01-05	$43.68	$42.00	32.1%	8.2%	23.0%	2.8%	29.7%	3.9%	1.3%	40.6M	-1.24B	-13.6M	0.68	3.42	N/A	N/A	87,441	59,606	1,129,054	1,095,582
2010-01-06	$43.92	$42.00	31.0%	7.7%	22.4%	1.9%	27.9%	4.5%	1.6%	49.4M	-1.36B	-13.7M	1.19	3.41	N/A	N/A	40,030	47,769	1,165,952	1,115,847
2010-01-07	$44.79	$42.00	32.4%	8.0%	23.1%	3.0%	28.8%	3.3%	-0.1%	57.6M	-1.69B	-13.9M	0.74	2.83	N/A	N/A	92,280	68,280	1,179,957	1,135,057
2010-01-08	$44.68	$42.00	32.0%	8.1%	23.1%	2.8%	29.5%	3.5%	-0.0%	60.0M	-1.64B	-14.0M	0.55	3.54	N/A	N/A	89,646	49,079	1,190,665	1,148,747
2010-01-11	$44.53	$42.00	42.2%	8.5%	23.3%	11.1%	29.8%	2.5%	-0.6%	64.3M	-1.61B	-13.8M	0.46	2.58	N/A	N/A	90,120	41,226	1,224,771	1,163,754
2010-01-12	$43.49	$42.00	47.1%	8.9%	25.0%	15.2%	31.2%	2.2%	-0.7%	56.3M	-1.20B	-13.7M	0.88	2.95	N/A	N/A	106,822	93,627	1,259,208	1,175,364
2010-01-13	$44.25	$43.00	53.6%	8.6%	24.8%	20.5%	30.2%	2.1%	-0.5%	69.0M	-1.53B	-14.0M	0.71	2.51	N/A	N/A	101,501	71,661	1,289,013	1,208,175
2010-01-14	$44.69	$43.00	29.6%	8.5%	23.1%	0.7%	30.0%	2.4%	-0.6%	82.8M	-1.73B	-13.7M	0.55	5.92	N/A	N/A	199,592	110,221	1,308,321	1,223,433
2010-01-15	$43.68	$43.00	25.9%	7.4%	24.8%	0.0%	26.1%	1.2%	1.2%	26.5M	-1.05B	-13.4M	0.92	2.80	N/A	N/A	160,030	147,178	1,363,806	1,268,170
2010-01-19	$43.28	$43.00	24.0%	6.9%	22.7%	0.0%	23.9%	1.8%	2.2%	21.4M	-650.9M	-13.2M	0.74	3.03	N/A	N/A	59,732	43,934	848,910	657,522
2010-01-20	$43.40	$43.00	23.9%	6.8%	22.2%	0.0%	24.0%	2.1%	2.0%	24.2M	-716.4M	-13.3M	0.69	3.05	N/A	N/A	44,956	30,886	870,274	666,657
2010-01-21	$40.54	$43.00	33.8%	9.7%	32.5%	7.9%	33.8%	4.5%	-1.4%	6.0M	-65.5M	-12.4M	0.82	3.30	N/A	N/A	224,111	183,031	880,990	677,751
2010-01-22	$39.16	$42.00	38.3%	11.0%	34.5%	11.4%	37.7%	5.9%	-0.6%	6.2M	116.3M	-12.7M	1.05	3.16	N/A	N/A	113,217	119,194	960,595	705,985
2010-01-25	$39.21	$42.00	36.7%	10.5%	34.5%	10.2%	36.0%	5.3%	-0.9%	5.9M	136.5M	-12.6M	0.56	3.07	N/A	N/A	88,515	49,222	980,545	726,979
2010-01-26	$38.44	$42.00	38.3%	11.0%	34.7%	11.5%	36.8%	6.3%	0.4%	5.0M	249.1M	-12.5M	0.64	3.01	N/A	N/A	77,592	49,910	1,007,089	735,078
2010-01-27	$39.33	$41.00	36.4%	10.4%	36.0%	10.0%	36.4%	6.4%	0.5%	10.6M	42.2M	-13.1M	0.76	2.99	N/A	N/A	59,782	45,569	1,019,478	739,764
2010-01-28	$39.48	$41.00	35.9%	10.3%	36.1%	9.6%	35.1%	6.8%	0.3%	11.9M	-654.2K	-13.1M	0.29	3.26	N/A	N/A	159,222	45,959	1,031,191	752,419
2010-01-29	$38.94	$41.00	35.7%	10.2%	36.3%	9.4%	35.7%	7.0%	1.2%	13.4M	52.1M	-13.6M	1.34	2.79	N/A	N/A	41,851	56,102	1,141,638	765,335