JPM Options History — February 2010

In February 2010, JPM traded between $37.70 and $41.97. ATM implied volatility averaged 33.0%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 2.6% (HV 20d: 35.7%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.69.

Notable Days

  • 2010-02-18: Highest Volume — 269,235 contracts
  • 2010-02-04: Largest IV spike — 27.0% change
  • 2010-02-04: Highest IV Rank — 12.2%
  • 2010-02-08: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.73$37.70$41.97$39.63$41.97
Max Pain$40.21$40.00$41.00$41.00$40.00
ATM IV33.0%27.5%39.3%32.7%27.5%
Expected Move9.6%7.9%11.4%9.4%7.9%
HV 20d35.7%29.3%39.3%37.0%31.9%
HV 60d29.2%27.4%30.0%28.3%30.0%
IV Rank7.3%2.9%12.2%7.0%2.9%
IV Percentile18.4%1.2%41.7%14.7%1.2%
Term Structure1.1%-0.9%3.1%1.5%3.1%
VWIV33.7%29.0%40.2%33.7%29.0%
Skew 25d6.3%4.4%8.5%6.3%5.4%
Skew 10d12.9%9.2%18.6%12.0%10.1%
Call IV 25d31.1%25.4%37.0%30.6%25.4%
Put IV 25d37.4%30.8%45.0%36.9%30.8%
Bid-Ask Spread %3.292.286.083.003.66
Gamma HHI0.110.060.480.070.09
Net GEX40.0M10.1M154.4M17.4M65.2M
Net DEX-317.6M-1.31B337.2M-90.3M-1.31B
Net VEX-14.3M-15.5M-13.5M-14.0M-15.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.191.140.480.60
Total Volume131,443.05353,681269,23576,184183,599
Total OI2,096,3231,938,1822,287,6071,938,1822,151,692

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$39.63$41.0032.7%9.4%37.0%7.0%33.7%6.3%1.5%17.4M-90.3M-14.0M0.483.00N/AN/A51,41424,7701,147,024791,158
2010-02-02$40.55$41.0030.5%8.7%36.5%5.3%31.4%5.4%1.3%25.4M-352.9M-14.1M1.143.08N/AN/A69,72979,1401,156,451785,572
2010-02-03$40.29$41.0030.9%8.9%35.5%5.6%30.7%4.4%1.7%20.2M-270.4M-14.4M0.922.86N/AN/A28,01525,6661,162,741820,552
2010-02-04$38.35$41.0039.3%11.3%38.8%12.2%38.4%6.0%0.8%10.1M198.3M-13.6M0.536.08N/AN/A95,96851,2251,163,344812,352
2010-02-05$38.30$40.0036.8%11.3%37.6%10.3%39.1%8.5%-0.7%12.0M204.8M-13.7M0.674.80N/AN/A110,51173,7561,195,173822,298
2010-02-08$37.70$40.0038.0%11.4%37.6%11.2%40.2%8.0%-0.9%11.0M337.2M-13.5M0.592.62N/AN/A105,38161,6821,233,874836,283
2010-02-09$38.39$40.0036.3%10.8%38.8%9.8%36.8%7.7%-0.0%20.5M151.3M-13.8M0.453.91N/AN/A116,94253,1201,268,620845,526
2010-02-10$38.87$40.0033.9%10.3%38.9%8.0%35.8%7.4%0.5%28.5M-4.6M-14.1M0.672.68N/AN/A69,85846,5961,297,479855,602
2010-02-11$39.02$40.0035.9%10.3%38.1%9.6%36.0%6.7%0.7%27.2M-49.4M-14.1M0.482.81N/AN/A72,93034,9851,288,919862,200
2010-02-12$38.95$40.0034.3%9.8%37.7%8.3%34.3%6.1%1.8%30.6M-67.3M-14.1M0.713.17N/AN/A49,40735,1291,314,816869,508
2010-02-16$40.07$40.0034.4%9.8%39.2%8.3%34.8%6.3%0.2%44.4M-438.6M-14.4M0.533.10N/AN/A74,84739,3791,324,176873,190
2010-02-17$40.04$40.0032.2%9.2%39.1%6.6%32.6%6.1%1.5%48.3M-406.4M-14.2M0.582.89N/AN/A52,74930,6371,330,661875,905
2010-02-18$40.41$40.0032.3%9.3%39.3%6.7%31.4%6.0%0.6%58.8M-581.8M-14.3M0.193.26N/AN/A226,36842,8671,340,569877,514
2010-02-19$40.03$40.0030.7%8.8%31.2%5.4%31.2%5.7%1.3%154.4M-468.7M-14.4M0.953.14N/AN/A61,13158,1281,405,518882,089
2010-02-22$40.85$40.0030.9%8.9%29.3%5.6%31.6%5.8%1.1%46.0M-790.1M-14.8M0.662.77N/AN/A81,73554,1111,226,471759,800
2010-02-23$39.88$40.0031.9%9.1%30.8%6.4%32.3%5.8%1.3%38.9M-488.6M-14.5M1.033.46N/AN/A55,71857,4051,258,063781,368
2010-02-24$40.85$40.0029.4%8.4%30.8%4.4%30.1%6.2%2.4%51.0M-814.7M-15.1M0.822.28N/AN/A70,68457,7611,279,449802,452
2010-02-25$40.64$40.0029.9%8.6%30.0%4.8%31.6%5.6%1.9%50.7M-797.0M-15.2M1.082.88N/AN/A45,20448,8711,312,401819,327
2010-02-26$41.97$40.0027.5%7.9%31.9%2.9%29.0%5.4%3.1%65.2M-1.31B-15.5M0.603.66N/AN/A114,62268,9771,312,875838,817