JPM Options History — July 2010 In July 2010, JPM traded between $35.83 and $40.69. ATM implied volatility averaged 35.4%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 0.0% (HV 20d: 35.4%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.88.
Notable Days 2010-07-15 : Highest Volume — 247,490 contracts2010-07-15 : Largest IV drop — 39.8% change2010-07-14 : Highest IV Rank — 83.4%2010-07-01 : Largest Expected Move — 12.4%Monthly Statistics Metric Avg Min Max Open Close Price $39.09 $35.83 $40.69 $36.08 $40.28 Max Pain $38.52 $38.00 $39.00 $38.00 $39.00 ATM IV 35.4% 25.1% 54.0% 43.1% 25.1% Expected Move 9.3% 7.2% 12.4% 12.4% 7.2% HV 20d 35.4% 30.6% 39.0% 36.4% 30.6% HV 60d 38.1% 37.2% 39.1% 37.6% 37.2% IV Rank 37.8% 15.5% 83.4% 50.7% 15.5% IV Percentile 45.9% 3.2% 99.6% 86.1% 3.2% Term Structure 1.7% -0.9% 4.6% -0.5% 4.6% VWIV 32.9% 25.4% 42.9% 42.9% 25.4% Skew 25d 7.2% 5.1% 9.7% 7.1% 5.1% Skew 10d 14.4% 10.1% 17.4% 15.0% 10.1% Call IV 25d 29.4% 22.6% 39.9% 39.9% 22.6% Put IV 25d 36.6% 27.7% 47.0% 47.0% 27.7% Bid-Ask Spread % 2.90 2.29 3.69 2.59 3.17 Gamma HHI 0.08 0.06 0.20 0.08 0.07 Net GEX 17.4M -13.9M 74.9M -9.5M 23.7M Net DEX 49.6M -577.2M 870.4M 806.1M -189.4M Net VEX -14.4M -15.4M -13.2M -13.5M -14.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.44 1.78 0.99 1.68 Total Volume 100,522.571 34,091 247,490 131,375 34,091 Total OI 2,266,631 2,122,129 2,468,575 2,209,505 2,285,132
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 2010-07-01 $36.08 $38.00 43.1% 12.4% 36.4% 50.7% 42.9% 7.1% -0.5% -9.5M 806.1M -13.5M 0.99 2.59 N/A N/A 65,926 65,449 1,146,716 1,062,789 2010-07-02 $35.83 $38.00 39.3% 11.3% 34.1% 42.4% 41.0% 6.7% 1.2% -12.2M 870.4M -13.2M 1.78 2.29 N/A N/A 33,782 60,141 1,162,767 1,070,544 2010-07-06 $36.33 $38.00 42.9% 11.5% 33.5% 50.1% 37.7% 9.7% -0.3% -13.9M 805.5M -13.2M 0.83 2.39 N/A N/A 53,310 44,259 1,172,063 1,098,654 2010-07-07 $38.15 $38.00 39.1% 10.4% 36.5% 41.8% 37.7% 8.3% 0.5% 7.8M 293.0M -14.1M 0.56 2.97 N/A N/A 71,622 40,305 1,181,708 1,067,874 2010-07-08 $38.16 $38.00 39.0% 10.3% 35.9% 41.8% 37.3% 8.1% 0.4% 10.9M 278.0M -14.0M 0.88 2.94 N/A N/A 46,026 40,596 1,196,578 1,068,053 2010-07-09 $38.85 $38.00 39.3% 10.0% 34.8% 42.4% 35.9% 7.6% 0.4% 21.5M 27.5M -14.5M 0.58 3.24 N/A N/A 50,689 29,184 1,209,649 1,074,981 2010-07-12 $39.19 $38.00 49.0% 10.4% 34.8% 63.6% 36.4% 8.0% 0.1% 25.7M -96.0M -14.6M 0.79 2.55 N/A N/A 59,567 47,163 1,220,624 1,079,777 2010-07-13 $40.48 $38.00 49.5% 10.2% 35.5% 64.5% 35.8% 7.7% 0.1% 41.8M -559.6M -15.0M 0.44 2.76 N/A N/A 119,856 52,736 1,232,718 1,089,297 2010-07-14 $40.35 $38.00 54.0% 10.4% 34.7% 83.4% 34.4% 7.8% -0.9% 44.1M -503.7M -15.3M 0.44 3.39 N/A N/A 151,817 67,123 1,262,026 1,099,807 2010-07-15 $40.46 $38.00 32.5% 9.3% 34.7% 30.9% 32.8% 7.6% 1.1% 74.9M -577.2M -15.4M 0.66 2.58 N/A N/A 149,404 98,086 1,322,085 1,125,137 2010-07-16 $39.00 $39.00 33.8% 9.7% 37.4% 40.9% 34.2% 7.6% 2.0% 18.9M 102.5M -14.9M 0.87 3.05 N/A N/A 73,779 64,372 1,324,705 1,143,870 2010-07-19 $39.04 $39.00 31.6% 9.0% 36.7% 34.3% 31.6% 8.3% 2.3% 4.6M 185.5M -14.4M 0.54 2.88 N/A N/A 49,234 26,371 1,107,952 1,014,177 2010-07-20 $39.63 $39.00 28.9% 8.3% 37.0% 26.6% 29.2% 7.2% 2.0% 8.8M 49.3M -14.5M 0.58 2.64 N/A N/A 41,739 24,288 1,125,864 1,024,585 2010-07-21 $38.42 $39.00 32.4% 9.3% 38.4% 36.8% 31.1% 6.9% 2.1% 2.8M 322.8M -14.1M 0.97 2.92 N/A N/A 42,984 41,836 1,138,063 1,029,096 2010-07-22 $39.35 $39.00 29.6% 8.5% 39.0% 28.8% 29.8% 6.4% 2.6% 10.5M 98.4M -14.5M 0.60 2.98 N/A N/A 48,485 29,002 1,158,541 1,040,830 2010-07-23 $39.83 $39.00 27.3% 7.8% 38.2% 22.0% 28.7% 6.3% 3.8% 16.7M -63.2M -14.7M 0.87 2.64 N/A N/A 26,870 23,397 1,180,493 1,049,667 2010-07-26 $40.33 $39.00 26.8% 7.7% 36.3% 20.5% 27.3% 6.3% 3.6% 20.7M -182.6M -14.7M 1.28 3.37 N/A N/A 22,572 28,849 1,183,275 1,059,233 2010-07-27 $40.69 $39.00 26.1% 7.5% 35.2% 18.3% 26.9% 6.1% 3.8% 24.3M -300.2M -14.8M 1.15 3.69 N/A N/A 42,350 48,824 1,189,913 1,065,747 2010-07-28 $40.32 $39.00 27.1% 7.8% 31.9% 21.1% 28.0% 5.8% 3.7% 22.1M -179.2M -14.6M 1.10 2.96 N/A N/A 23,841 26,285 1,197,446 1,067,796 2010-07-29 $40.21 $39.00 26.0% 7.5% 31.4% 18.2% 26.3% 5.6% 4.0% 21.7M -145.8M -14.4M 0.94 2.88 N/A N/A 23,031 21,733 1,202,432 1,066,587 2010-07-30 $40.28 $39.00 25.1% 7.2% 30.6% 15.5% 25.4% 5.1% 4.6% 23.7M -189.4M -14.5M 1.68 3.17 N/A N/A 12,721 21,370 1,212,537 1,072,595
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