JPM Options History — August 2010 In August 2010, JPM traded between $35.63 and $41.64. ATM implied volatility averaged 29.1%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 2.3% (HV 20d: 26.9%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.89.
Notable Days 2010-08-11 : Highest Volume — 124,712 contracts2010-08-11 : Largest IV spike — 17.8% change2010-08-13 : Highest IV Rank — 39.5%2010-08-11 : Largest Expected Move — 9.6%Monthly Statistics Metric Avg Min Max Open Close Price $38.13 $35.63 $41.64 $41.64 $36.36 Max Pain $39.95 $39.00 $41.00 $39.00 $40.00 ATM IV 29.1% 24.2% 33.3% 24.2% 32.0% Expected Move 8.5% 6.9% 9.6% 6.9% 9.2% HV 20d 26.9% 22.7% 32.5% 31.8% 23.8% HV 60d 34.3% 30.8% 37.0% 36.7% 30.8% IV Rank 27.3% 12.9% 39.5% 12.9% 35.5% IV Percentile 23.8% 2.4% 44.0% 2.4% 42.1% Term Structure 3.7% 2.5% 5.2% 3.2% 3.9% VWIV 29.9% 25.5% 34.1% 25.9% 31.5% Skew 25d 6.0% 3.8% 7.8% 4.2% 5.4% Skew 10d 12.7% 7.7% 16.8% 9.8% 11.9% Call IV 25d 27.3% 22.7% 30.5% 23.0% 29.4% Put IV 25d 33.3% 26.6% 38.3% 27.3% 34.8% Bid-Ask Spread % 2.92 1.94 4.49 2.75 4.49 Gamma HHI 0.08 0.07 0.14 0.08 0.08 Net GEX 782.9K -25.5M 38.4M 38.1M -13.1M Net DEX 474.8M -649.5M 1.06B -649.5M 930.1M Net VEX -12.8M -14.7M -11.3M -14.6M -11.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.89 0.45 1.31 0.72 0.85 Total Volume 59,709.773 35,183 124,712 109,363 49,969 Total OI 2,359,646.545 2,214,237 2,457,596 2,297,201 2,327,634
Daily Data (22 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 2010-08-02 $41.64 $39.00 24.2% 6.9% 31.8% 12.9% 25.9% 4.2% 3.2% 38.1M -649.5M -14.6M 0.72 2.75 N/A N/A 63,765 45,598 1,215,775 1,081,426 2010-08-03 $41.08 $39.00 25.1% 7.2% 32.5% 15.3% 25.8% 3.9% 3.3% 34.8M -483.2M -14.4M 0.71 3.36 N/A N/A 31,163 22,022 1,233,104 1,091,199 2010-08-04 $41.29 $39.00 24.6% 7.0% 28.3% 13.9% 25.5% 3.8% 4.1% 38.4M -566.7M -14.7M 0.92 2.33 N/A N/A 34,392 31,709 1,248,906 1,093,241 2010-08-05 $41.27 $39.00 24.5% 7.0% 28.3% 13.6% 26.3% 4.4% 3.4% 37.3M -539.2M -14.7M 1.22 2.24 N/A N/A 15,869 19,314 1,257,661 1,109,453 2010-08-06 $40.44 $41.00 25.2% 8.4% 29.1% 15.9% 29.1% 6.7% 3.1% 28.4M -210.0M -14.4M 1.07 2.41 N/A N/A 29,241 31,297 1,258,438 1,111,673 2010-08-09 $39.82 $41.00 26.1% 8.3% 29.6% 18.4% 29.5% 6.5% 2.5% 18.8M 24.1M -13.7M 0.52 2.48 N/A N/A 37,749 19,680 1,264,109 1,118,486 2010-08-10 $39.17 $41.00 27.3% 8.6% 27.7% 21.9% 29.6% 6.5% 3.3% 10.2M 228.8M -13.4M 0.86 2.32 N/A N/A 27,871 23,849 1,279,651 1,121,147 2010-08-11 $37.77 $40.00 32.2% 9.6% 30.3% 36.1% 34.1% 7.8% 2.5% -6.4M 663.5M -13.1M 1.00 1.94 N/A N/A 62,371 62,341 1,283,019 1,126,611 2010-08-12 $37.81 $40.00 31.9% 9.2% 30.3% 35.4% 32.2% 6.9% 3.0% -7.3M 670.6M -13.1M 0.78 2.13 N/A N/A 36,834 28,752 1,284,100 1,139,024 2010-08-13 $37.50 $40.00 33.3% 9.5% 27.7% 39.5% 32.3% 6.6% 3.0% -6.6M 710.3M -13.0M 0.66 3.29 N/A N/A 24,243 15,998 1,296,665 1,133,584 2010-08-16 $37.69 $40.00 31.4% 9.0% 27.8% 34.0% 31.5% 6.6% 3.5% -8.5M 708.3M -12.8M 0.94 2.73 N/A N/A 18,464 17,377 1,297,176 1,136,733 2010-08-17 $37.48 $40.00 31.8% 9.1% 27.1% 34.9% 31.7% 6.8% 3.2% -11.3M 768.3M -12.4M 0.97 3.69 N/A N/A 22,597 21,861 1,301,446 1,134,589 2010-08-18 $37.89 $40.00 29.4% 8.4% 25.3% 28.1% 29.9% 6.5% 4.3% -7.1M 661.0M -12.7M 1.03 3.14 N/A N/A 25,263 26,108 1,302,565 1,137,486 2010-08-19 $37.07 $40.00 31.7% 9.1% 24.6% 34.8% 32.2% 6.9% 3.7% -17.8M 902.1M -12.3M 1.18 2.88 N/A N/A 27,926 32,976 1,303,141 1,147,882 2010-08-20 $37.14 $40.00 30.0% 8.6% 24.1% 29.8% 29.4% 6.5% 5.2% -25.5M 885.4M -12.2M 0.72 3.15 N/A N/A 25,144 18,126 1,304,753 1,152,843 2010-08-23 $36.88 $40.00 28.6% 8.2% 23.3% 25.7% 28.6% 6.6% 5.0% -13.9M 851.2M -11.8M 0.45 3.07 N/A N/A 49,779 22,459 1,150,519 1,063,718 2010-08-24 $36.21 $40.00 31.6% 9.0% 23.3% 34.4% 30.4% 7.1% 3.9% -14.5M 965.3M -11.6M 1.14 3.09 N/A N/A 37,524 42,901 1,176,947 1,068,617 2010-08-25 $36.23 $40.00 31.6% 9.1% 23.3% 34.4% 31.5% 6.7% 3.8% -13.3M 932.7M -11.7M 0.71 2.76 N/A N/A 36,423 25,921 1,185,859 1,075,876 2010-08-26 $35.63 $40.00 31.3% 9.0% 23.7% 33.6% 31.7% 6.6% 4.1% -15.2M 1.06B -11.3M 1.06 3.83 N/A N/A 25,346 26,779 1,197,570 1,085,198 2010-08-27 $36.60 $40.00 27.1% 7.8% 26.3% 21.3% 29.1% 4.8% 4.7% -13.2M 888.7M -11.7M 0.66 3.15 N/A N/A 36,371 23,935 1,203,695 1,095,817 2010-08-30 $35.85 $40.00 30.3% 8.7% 22.7% 30.8% 30.7% 5.1% 4.4% -15.0M 1.04B -11.3M 1.31 3.09 N/A N/A 15,708 20,600 1,216,657 1,098,231 2010-08-31 $36.36 $40.00 32.0% 9.2% 23.8% 35.5% 31.5% 5.4% 3.9% -13.1M 930.1M -11.6M 0.85 4.49 N/A N/A 27,068 22,901 1,222,284 1,105,350
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