JPM Options History — May 2010

In May 2010, JPM traded between $37.83 and $43.53. ATM implied volatility averaged 41.2%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 3.8% (HV 20d: 37.4%). Max pain ranged from $41.00 to $44.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.09.

Notable Days

2010-05-21: Highest Volume — 267,615 contracts
2010-05-20: Largest IV spike — 20.0% change
2010-05-20: Highest IV Rank — 73.3%
2010-05-20: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.43	$37.83	$43.53	$43.53	$39.58
Max Pain	$41.90	$41.00	$44.00	$44.00	$41.00
ATM IV	41.2%	31.8%	53.5%	31.8%	37.3%
Expected Move	11.9%	9.1%	15.3%	9.1%	10.7%
HV 20d	37.4%	32.7%	43.5%	34.1%	42.6%
HV 60d	28.0%	25.0%	31.9%	25.0%	31.9%
IV Rank	44.7%	23.1%	73.3%	23.1%	38.1%
IV Percentile	68.4%	30.6%	91.7%	30.6%	61.1%
Term Structure	0.2%	-3.5%	2.2%	0.7%	1.6%
VWIV	42.3%	34.2%	51.3%	34.2%	38.5%
Skew 25d	11.8%	7.4%	19.3%	9.0%	7.4%
Skew 10d	26.6%	15.0%	42.6%	22.7%	15.0%
Call IV 25d	36.8%	29.4%	46.2%	29.4%	35.0%
Put IV 25d	48.6%	38.4%	64.7%	38.4%	42.3%
Bid-Ask Spread %	3.55	2.43	7.12	2.70	2.89
Gamma HHI	0.07	0.06	0.08	0.08	0.06
Net GEX	8.9M	-19.2M	37.5M	37.5M	10.9M
Net DEX	235.4M	-816.1M	1.24B	-816.1M	336.7M
Net VEX	-17.2M	-18.6M	-16.1M	-17.8M	-16.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.57	1.78	0.96	1.11
Total Volume	171,751.4	65,657	267,615	105,259	65,657
Total OI	2,673,928.7	2,440,965	2,965,634	2,440,965	2,752,287

Daily Data (20 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
2010-05-03	$43.53	$44.00	31.8%	9.1%	34.1%	23.1%	34.2%	9.0%	0.7%	37.5M	-816.1M	-17.8M	0.96	2.70	N/A	N/A	53,756	51,503	1,403,574	1,037,391
2010-05-04	$42.47	$44.00	37.5%	10.7%	34.6%	34.3%	37.5%	9.7%	-0.3%	23.6M	-415.3M	-18.1M	1.01	3.62	N/A	N/A	84,708	85,493	1,417,315	1,067,624
2010-05-05	$42.68	$44.00	37.5%	10.8%	34.7%	34.4%	38.4%	8.9%	-0.2%	27.9M	-559.5M	-18.6M	0.79	3.92	N/A	N/A	109,175	85,701	1,428,191	1,060,317
2010-05-06	$40.81	$44.00	43.9%	12.6%	37.3%	46.7%	44.3%	13.0%	-1.8%	11.7M	137.7M	-17.7M	1.10	7.12	N/A	N/A	122,287	135,052	1,447,763	1,084,436
2010-05-07	$40.76	$42.00	46.6%	13.6%	37.1%	52.0%	48.8%	19.3%	-0.4%	11.0M	90.2M	-18.4M	1.09	4.21	N/A	N/A	99,624	108,380	1,467,304	1,112,203
2010-05-10	$41.95	$42.00	40.3%	11.9%	39.0%	41.1%	41.6%	14.7%	0.3%	19.1M	-259.7M	-18.5M	0.97	3.92	N/A	N/A	87,329	85,150	1,479,921	1,127,956
2010-05-11	$41.55	$42.00	37.3%	11.1%	39.1%	35.1%	42.1%	11.9%	1.0%	15.4M	-84.9M	-17.8M	1.61	3.65	N/A	N/A	62,628	100,934	1,499,494	1,139,006
2010-05-12	$41.69	$42.00	33.6%	10.2%	35.5%	27.6%	37.8%	11.0%	1.5%	12.5M	-51.9M	-17.3M	0.85	2.90	N/A	N/A	66,650	56,877	1,502,993	1,162,155
2010-05-13	$40.81	$42.00	37.1%	10.6%	35.7%	34.6%	39.3%	10.0%	1.3%	-139.3K	303.6M	-17.0M	1.78	2.83	N/A	N/A	50,831	90,320	1,499,733	1,161,690
2010-05-14	$39.89	$42.00	40.3%	11.5%	32.9%	44.4%	40.7%	12.0%	1.0%	-5.8M	631.9M	-16.7M	1.14	2.91	N/A	N/A	86,910	98,925	1,513,644	1,193,644
2010-05-17	$39.84	$41.00	39.3%	11.3%	33.0%	42.4%	41.3%	10.7%	2.2%	-7.1M	636.8M	-16.6M	1.09	2.43	N/A	N/A	90,063	98,348	1,525,108	1,218,383
2010-05-18	$39.02	$41.00	44.0%	12.6%	32.7%	52.5%	45.7%	11.9%	-0.1%	-7.6M	855.2M	-16.1M	1.66	3.35	N/A	N/A	87,620	145,624	1,539,638	1,221,092
2010-05-19	$39.38	$41.00	44.6%	12.8%	33.2%	53.9%	44.1%	13.8%	0.1%	-6.5M	798.1M	-16.7M	1.22	2.96	N/A	N/A	100,947	122,819	1,562,221	1,280,629
2010-05-20	$37.83	$41.00	53.5%	15.3%	35.2%	73.3%	51.3%	18.4%	-3.5%	-19.2M	1.24B	-16.1M	0.92	3.94	N/A	N/A	121,649	111,475	1,573,350	1,326,052
2010-05-21	$40.05	$41.00	46.9%	13.4%	42.0%	58.9%	47.0%	15.6%	-0.7%	17.5M	364.9M	-17.7M	0.99	5.74	N/A	N/A	134,589	133,026	1,635,902	1,329,732
2010-05-24	$38.62	$41.00	48.0%	13.8%	43.0%	61.2%	47.0%	14.3%	-0.3%	3.6M	542.2M	-16.4M	0.88	2.73	N/A	N/A	66,439	58,507	1,453,155	1,154,425
2010-05-25	$38.94	$41.00	44.4%	12.7%	42.0%	53.4%	45.2%	9.6%	0.4%	5.8M	450.3M	-16.4M	1.09	2.90	N/A	N/A	65,536	71,583	1,478,009	1,166,745
2010-05-26	$38.78	$41.00	43.2%	12.4%	40.6%	50.9%	44.8%	7.9%	-0.1%	3.9M	530.2M	-16.3M	1.07	3.44	N/A	N/A	74,851	79,904	1,501,542	1,198,615
2010-05-27	$40.42	$41.00	36.2%	10.4%	43.5%	35.6%	36.2%	7.5%	0.6%	23.2M	-21.4M	-17.0M	0.57	2.93	N/A	N/A	53,655	30,503	1,534,711	1,220,624
2010-05-28	$39.58	$41.00	37.3%	10.7%	42.6%	38.1%	38.5%	7.4%	1.6%	10.9M	336.7M	-16.6M	1.11	2.89	N/A	N/A	31,116	34,541	1,529,664	1,222,623