JPM Options History — April 2010

In April 2010, JPM traded between $42.41 and $47.81. ATM implied volatility averaged 29.0%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 8.4% (HV 20d: 20.6%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.01.

Notable Days

2010-04-16: Highest Volume — 443,505 contracts
2010-04-14: Largest IV drop — 45.2% change
2010-04-30: Highest IV Rank — 29.4%
2010-04-30: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.20	$42.41	$47.81	$45.18	$42.58
Max Pain	$45.00	$43.00	$46.00	$43.00	$45.00
ATM IV	29.0%	19.8%	36.2%	26.8%	35.1%
Expected Move	7.8%	6.6%	10.1%	7.7%	10.1%
HV 20d	20.6%	10.9%	33.0%	12.7%	33.0%
HV 60d	26.7%	24.5%	29.7%	27.9%	26.8%
IV Rank	12.8%	0.0%	29.4%	4.3%	29.4%
IV Percentile	17.2%	0.0%	48.8%	4.0%	48.0%
Term Structure	0.1%	-1.2%	1.5%	-1.1%	0.3%
VWIV	27.9%	24.6%	37.0%	28.1%	37.0%
Skew 25d	5.4%	4.0%	9.6%	4.0%	9.6%
Skew 10d	12.1%	8.5%	23.1%	9.4%	23.1%
Call IV 25d	25.2%	21.7%	32.2%	25.0%	32.2%
Put IV 25d	30.6%	26.4%	41.8%	29.0%	41.8%
Bid-Ask Spread %	2.93	1.85	4.28	2.93	3.36
Gamma HHI	0.11	0.08	0.16	0.11	0.08
Net GEX	63.1M	22.1M	94.6M	76.9M	28.9M
Net DEX	-1.70B	-3.19B	-322.3M	-1.90B	-482.5M
Net VEX	-16.3M	-17.5M	-15.4M	-16.3M	-17.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.61	1.50	1.50	1.45
Total Volume	148,336.952	47,945	443,505	56,146	196,668
Total OI	2,204,478.905	2,030,632	2,388,837	2,100,467	2,388,837

Daily Data (21 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
2010-04-01	$45.18	$43.00	26.8%	7.7%	12.7%	4.3%	28.1%	4.0%	-1.1%	76.9M	-1.90B	-16.3M	1.50	2.93	N/A	N/A	22,474	33,672	1,246,185	854,282
2010-04-05	$45.34	$45.00	28.9%	7.4%	11.0%	7.5%	26.7%	4.9%	0.6%	79.0M	-1.94B	-16.1M	0.67	2.28	N/A	N/A	28,646	19,299	1,251,866	864,769
2010-04-06	$45.84	$45.00	27.9%	7.2%	10.9%	6.4%	25.9%	4.7%	0.3%	82.6M	-2.17B	-15.7M	1.22	2.42	N/A	N/A	31,423	38,191	1,252,583	869,573
2010-04-07	$45.32	$45.00	32.6%	7.6%	11.9%	13.7%	26.0%	4.6%	-0.4%	77.7M	-1.92B	-15.8M	1.42	2.80	N/A	N/A	47,348	67,141	1,260,018	884,032
2010-04-08	$45.76	$45.00	30.9%	7.5%	11.7%	11.1%	27.3%	4.8%	-0.6%	80.2M	-2.12B	-15.8M	1.07	2.36	N/A	N/A	33,143	35,624	1,260,018	884,032
2010-04-09	$45.98	$45.00	30.1%	7.6%	11.7%	9.8%	26.6%	4.6%	-0.7%	76.8M	-2.21B	-15.8M	0.79	2.18	N/A	N/A	34,488	27,195	1,281,246	921,951
2010-04-12	$46.14	$45.00	35.9%	7.8%	11.6%	18.6%	27.4%	4.5%	-0.8%	77.2M	-2.27B	-15.7M	0.75	2.16	N/A	N/A	84,683	63,270	1,284,130	923,067
2010-04-13	$45.87	$45.00	36.2%	7.6%	11.9%	19.1%	26.8%	4.6%	-1.0%	80.4M	-2.19B	-15.4M	0.72	1.85	N/A	N/A	130,658	93,876	1,301,758	924,068
2010-04-14	$47.73	$45.00	19.8%	6.6%	17.6%	0.0%	24.8%	4.7%	-0.0%	92.2M	-3.19B	-15.4M	0.61	2.79	N/A	N/A	142,973	87,055	1,344,565	963,593
2010-04-15	$47.81	$45.00	23.6%	6.8%	17.4%	5.8%	24.6%	4.2%	0.3%	94.6M	-3.15B	-15.7M	0.72	3.07	N/A	N/A	79,757	57,236	1,340,588	981,199
2010-04-16	$45.55	$46.00	27.6%	7.9%	25.5%	11.8%	27.9%	6.3%	-0.1%	50.7M	-1.96B	-16.3M	0.98	4.28	N/A	N/A	224,135	219,370	1,351,836	996,664
2010-04-19	$45.39	$46.00	27.7%	7.9%	25.5%	12.0%	28.0%	5.3%	0.4%	61.5M	-1.58B	-16.2M	1.35	3.38	N/A	N/A	91,140	122,868	1,214,428	816,204
2010-04-20	$45.88	$45.00	24.6%	7.0%	25.6%	7.2%	25.5%	5.2%	1.5%	60.5M	-1.66B	-16.4M	1.46	3.25	N/A	N/A	42,676	62,169	1,208,007	862,940
2010-04-21	$45.35	$45.00	25.7%	7.4%	25.3%	9.9%	25.7%	4.7%	0.8%	56.8M	-1.46B	-16.6M	1.21	3.02	N/A	N/A	68,628	83,087	1,225,205	881,260
2010-04-22	$44.74	$45.00	26.9%	7.7%	25.6%	11.9%	27.9%	5.7%	1.0%	51.6M	-1.24B	-16.9M	1.17	3.38	N/A	N/A	93,110	109,236	1,253,389	907,628
2010-04-23	$44.94	$45.00	26.1%	7.5%	25.7%	11.0%	26.6%	5.6%	1.2%	52.6M	-1.27B	-17.1M	1.06	2.71	N/A	N/A	24,454	25,857	1,273,118	942,089
2010-04-26	$43.89	$45.00	28.6%	8.2%	27.0%	15.3%	28.8%	5.7%	0.6%	38.8M	-868.9M	-16.5M	0.96	3.15	N/A	N/A	45,554	43,644	1,263,459	944,210
2010-04-27	$42.41	$45.00	34.8%	10.0%	29.5%	26.1%	33.6%	7.0%	-1.2%	22.1M	-322.3M	-16.2M	0.88	2.97	N/A	N/A	116,913	102,564	1,276,014	959,967
2010-04-28	$43.46	$45.00	31.7%	9.1%	31.0%	22.0%	32.1%	7.1%	-0.0%	37.8M	-783.7M	-16.9M	0.63	3.98	N/A	N/A	114,532	71,820	1,311,307	966,342
2010-04-29	$44.00	$45.00	28.5%	8.2%	31.3%	16.7%	29.4%	5.5%	0.7%	46.7M	-1.02B	-17.5M	0.71	3.16	N/A	N/A	57,517	40,982	1,376,103	981,527
2010-04-30	$42.58	$45.00	35.1%	10.1%	33.0%	29.4%	37.0%	9.6%	0.3%	28.9M	-482.5M	-17.3M	1.45	3.36	N/A	N/A	80,256	116,412	1,391,639	997,198