JPM Options History — March 2010 In March 2010, JPM traded between $41.53 and $45.02. ATM implied volatility averaged 27.6%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 6.2% (HV 20d: 21.4%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.85.
Notable Days 2010-03-23 : Highest Volume — 212,127 contracts2010-03-11 : Largest IV spike — 26.0% change2010-03-15 : Highest IV Rank — 7.8%2010-03-15 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $43.42 $41.53 $45.02 $41.83 $44.75 Max Pain $41.70 $40.00 $43.00 $40.00 $43.00 ATM IV 27.6% 23.7% 30.6% 28.0% 28.3% Expected Move 8.1% 7.4% 8.8% 8.0% 8.1% HV 20d 21.4% 12.7% 31.4% 31.4% 12.7% HV 60d 29.3% 28.1% 30.2% 30.0% 28.1% IV Rank 4.1% 0.0% 7.8% 3.3% 5.8% IV Percentile 4.8% 0.0% 13.9% 1.6% 6.7% Term Structure -0.1% -2.0% 2.9% 2.5% -1.6% VWIV 29.2% 26.5% 31.6% 29.5% 29.3% Skew 25d 3.2% -28.9% 5.7% 5.2% 4.8% Skew 10d 8.5% -5.2% 11.9% 10.0% 9.7% Call IV 25d 28.1% 24.5% 59.9% 26.3% 26.4% Put IV 25d 31.2% 28.2% 33.6% 31.5% 31.2% Bid-Ask Spread % 4.30 2.17 28.85 3.14 4.27 Gamma HHI 0.11 0.09 0.16 0.09 0.11 Net GEX 73.9M 49.8M 93.9M 65.1M 71.5M Net DEX -1.63B -2.07B -1.05B -1.22B -1.77B Net VEX -15.5M -16.4M -14.9M -15.3M -16.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.85 0.32 1.36 1.06 1.36 Total Volume 93,525 47,595 212,127 69,422 55,676 Total OI 2,190,447.565 1,847,471 2,406,150 2,185,944 2,117,315
Daily Data (23 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 2010-03-01 $41.83 $40.00 28.0% 8.0% 31.4% 3.3% 29.5% 5.2% 2.5% 65.1M -1.22B -15.3M 1.06 3.14 N/A N/A 33,663 35,759 1,329,271 856,673 2010-03-02 $41.62 $40.00 28.1% 8.0% 31.1% 3.3% 29.2% 4.9% 1.9% 62.2M -1.10B -15.0M 0.78 3.92 N/A N/A 51,055 39,573 1,325,583 859,967 2010-03-03 $41.53 $40.00 28.3% 8.1% 30.1% 3.5% 29.6% 4.9% 1.8% 60.8M -1.05B -14.9M 0.32 4.33 N/A N/A 70,723 22,899 1,324,534 866,143 2010-03-04 $41.92 $40.00 26.5% 7.6% 30.1% 2.1% 27.7% 4.5% 2.9% 70.5M -1.22B -15.3M 0.93 5.01 N/A N/A 39,158 36,532 1,359,910 873,060 2010-03-05 $42.81 $41.00 23.7% 8.0% 24.0% 0.0% 29.0% 5.7% 0.7% 77.5M -1.58B -15.6M 0.65 2.17 N/A N/A 57,171 37,344 1,363,462 888,242 2010-03-08 $42.59 $41.00 24.3% 8.1% 24.1% 0.5% 29.3% 5.5% 0.0% 78.7M -1.49B -15.3M 1.04 2.62 N/A N/A 28,952 29,998 1,372,734 888,641 2010-03-09 $42.42 $41.00 25.4% 8.5% 23.1% 1.3% 30.2% 5.4% -0.5% 76.8M -1.37B -15.1M 1.06 3.12 N/A N/A 23,090 24,505 1,368,947 898,595 2010-03-10 $42.93 $41.00 24.1% 8.5% 22.8% 0.4% 30.0% 5.7% -0.7% 84.1M -1.67B -15.2M 0.67 3.30 N/A N/A 70,533 46,960 1,371,837 903,850 2010-03-11 $43.18 $42.00 30.3% 8.7% 22.6% 7.5% 31.6% 4.7% -0.6% 82.4M -1.77B -15.5M 0.87 2.71 N/A N/A 48,199 41,810 1,375,597 914,042 2010-03-12 $43.15 $42.00 30.1% 8.6% 22.7% 7.2% 30.4% 5.1% -0.5% 83.8M -1.79B -15.6M 1.03 2.46 N/A N/A 41,820 43,084 1,388,201 926,847 2010-03-15 $43.07 $42.00 30.6% 8.8% 22.7% 7.8% 31.4% 4.8% -0.7% 83.0M -1.71B -15.3M 0.98 3.04 N/A N/A 36,148 35,292 1,384,693 938,686 2010-03-16 $43.24 $42.00 29.3% 8.4% 21.0% 6.3% 29.6% 4.5% -0.6% 86.4M -1.76B -15.1M 0.55 2.85 N/A N/A 91,595 50,454 1,395,474 949,878 2010-03-17 $43.79 $42.00 28.4% 8.1% 21.1% 5.3% 28.8% -28.9% -0.2% 87.5M -2.07B -15.3M 0.48 28.85 N/A N/A 105,107 50,079 1,410,663 974,846 2010-03-18 $43.64 $42.00 27.6% 7.9% 21.2% 4.4% 28.5% 3.9% -0.4% 93.9M -1.91B -15.4M 0.75 3.08 N/A N/A 38,395 28,932 1,419,700 985,722 2010-03-19 $43.45 $42.00 28.0% 8.0% 20.9% 4.8% 28.1% 3.6% 0.0% 74.0M -1.90B -15.1M 0.69 2.90 N/A N/A 47,100 32,626 1,420,766 985,384 2010-03-22 $43.74 $42.00 26.4% 7.6% 20.0% 3.0% 27.6% 3.9% -0.4% 49.8M -1.29B -15.0M 1.06 2.80 N/A N/A 38,587 41,074 1,108,342 739,129 2010-03-23 $44.58 $42.00 25.7% 7.4% 17.9% 2.3% 26.5% 3.6% -1.0% 57.4M -1.62B -15.2M 0.52 2.70 N/A N/A 139,906 72,221 1,127,810 744,546 2010-03-24 $44.94 $42.00 27.1% 7.8% 16.6% 3.8% 28.0% 3.9% -0.9% 72.7M -1.89B -15.9M 0.94 2.60 N/A N/A 58,695 55,110 1,214,741 776,684 2010-03-25 $44.94 $43.00 27.4% 7.9% 16.3% 4.2% 27.8% 4.0% -0.8% 72.0M -1.88B -16.2M 1.01 3.46 N/A N/A 56,248 56,642 1,230,376 801,054 2010-03-26 $45.02 $43.00 28.8% 8.3% 12.8% 5.8% 29.5% 4.5% -1.2% 67.8M -1.80B -16.4M 0.92 3.08 N/A N/A 40,496 37,116 1,235,313 817,297 2010-03-29 $44.86 $43.00 29.4% 8.4% 12.8% 6.4% 30.4% 4.4% -2.0% 70.5M -1.79B -15.9M 0.73 3.12 N/A N/A 42,232 30,769 1,238,497 821,758 2010-03-30 $44.58 $43.00 28.4% 8.2% 12.9% 5.3% 29.3% 4.5% -1.3% 71.1M -1.71B -16.0M 1.14 3.41 N/A N/A 40,995 46,752 1,253,048 832,436 2010-03-31 $44.75 $43.00 28.3% 8.1% 12.7% 5.8% 29.3% 4.8% -1.6% 71.5M -1.77B -16.3M 1.36 4.27 N/A N/A 23,544 32,132 1,267,242 850,073
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