JPM Options History — September 2010

In September 2010, JPM traded between $37.74 and $41.19. ATM implied volatility averaged 30.0%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 1.2% (HV 20d: 31.2%). Max pain ranged from $36.00 to $40.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.84.

Notable Days

2010-09-13: Highest Volume — 195,752 contracts
2010-09-07: Largest IV spike — 14.9% change
2010-09-29: Highest IV Rank — 45.5%
2010-09-29: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.58	$37.74	$41.19	$37.74	$38.06
Max Pain	$38.67	$36.00	$40.00	$40.00	$40.00
ATM IV	30.0%	23.6%	35.4%	25.2%	34.3%
Expected Move	8.8%	7.1%	10.1%	7.2%	9.8%
HV 20d	31.2%	28.1%	34.0%	28.1%	30.1%
HV 60d	31.1%	28.9%	32.1%	31.2%	28.9%
IV Rank	29.8%	11.1%	45.5%	15.8%	42.4%
IV Percentile	32.4%	0.4%	66.7%	5.2%	61.1%
Term Structure	0.5%	-2.4%	5.1%	4.8%	-2.2%
VWIV	31.1%	25.8%	35.3%	26.9%	34.2%
Skew 25d	5.8%	3.7%	7.6%	5.0%	3.7%
Skew 10d	12.7%	6.9%	16.6%	10.4%	6.9%
Call IV 25d	28.3%	23.2%	33.4%	23.7%	32.9%
Put IV 25d	34.1%	27.7%	37.8%	28.8%	36.6%
Bid-Ask Spread %	4.05	3.02	5.12	4.79	4.47
Gamma HHI	0.09	0.07	0.28	0.07	0.07
Net GEX	15.7M	-5.7M	51.4M	-5.7M	-2.1M
Net DEX	-44.9M	-678.3M	585.1M	585.1M	449.9M
Net VEX	-12.3M	-12.8M	-11.7M	-11.9M	-11.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.33	1.58	0.65	0.90
Total Volume	82,066.571	39,399	195,752	60,420	84,235
Total OI	2,296,530.571	2,025,337	2,530,181	2,342,135	2,209,700

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
2010-09-01	$37.74	$40.00	25.2%	7.2%	28.1%	15.8%	26.9%	5.0%	4.8%	-5.7M	585.1M	-11.9M	0.65	4.79	N/A	N/A	36,726	23,694	1,230,623	1,111,512
2010-09-02	$38.16	$40.00	24.7%	7.1%	28.7%	14.4%	25.8%	4.5%	5.1%	-2.4M	475.7M	-12.2M	0.67	3.53	N/A	N/A	23,770	16,026	1,234,681	1,113,831
2010-09-03	$39.17	$36.00	23.6%	8.3%	29.8%	11.1%	30.2%	7.3%	1.5%	2.6M	198.6M	-12.4M	1.14	3.72	N/A	N/A	39,555	45,051	1,235,599	1,113,549
2010-09-07	$38.28	$36.00	27.1%	8.9%	30.4%	21.4%	31.5%	7.6%	1.0%	-3.3M	452.3M	-11.8M	0.48	4.29	N/A	N/A	33,621	16,153	1,235,685	1,123,512
2010-09-08	$39.12	$37.00	28.8%	9.0%	31.0%	26.3%	31.2%	7.4%	0.6%	6.4M	152.2M	-12.3M	0.40	3.48	N/A	N/A	56,262	22,571	1,246,838	1,123,647
2010-09-09	$40.10	$37.00	29.7%	8.5%	29.1%	28.8%	30.8%	6.3%	1.2%	20.0M	-203.7M	-12.6M	1.12	3.81	N/A	N/A	55,240	61,619	1,268,524	1,133,055
2010-09-10	$39.76	$37.00	29.7%	8.5%	29.3%	29.0%	30.3%	6.5%	1.2%	18.3M	-112.7M	-12.4M	0.53	4.61	N/A	N/A	41,388	22,097	1,281,149	1,146,589
2010-09-13	$41.12	$37.00	31.6%	9.1%	31.0%	34.5%	31.4%	6.5%	-0.1%	44.4M	-662.1M	-12.8M	0.33	3.02	N/A	N/A	147,409	48,343	1,296,158	1,147,719
2010-09-14	$40.72	$38.00	31.2%	8.9%	31.4%	33.2%	32.2%	6.5%	-0.1%	33.7M	-514.5M	-12.7M	0.67	5.12	N/A	N/A	59,627	40,123	1,337,100	1,156,637
2010-09-15	$40.98	$38.00	29.8%	8.5%	31.2%	29.3%	30.8%	6.1%	0.7%	36.3M	-640.4M	-12.7M	1.00	3.74	N/A	N/A	42,792	42,824	1,335,423	1,163,597
2010-09-16	$40.99	$39.00	29.7%	8.5%	31.2%	28.8%	31.3%	6.3%	0.7%	42.1M	-678.3M	-12.6M	1.52	4.10	N/A	N/A	29,964	45,578	1,337,139	1,168,883
2010-09-17	$40.06	$39.00	30.6%	8.8%	31.3%	31.7%	31.3%	5.9%	0.4%	51.4M	-253.4M	-12.4M	1.05	4.28	N/A	N/A	59,415	62,359	1,339,104	1,191,077
2010-09-20	$41.19	$39.00	29.4%	8.4%	32.4%	28.1%	29.7%	5.5%	-0.1%	18.6M	-431.5M	-12.5M	0.57	4.25	N/A	N/A	61,763	34,913	1,065,443	959,894
2010-09-21	$40.59	$39.00	29.1%	8.4%	32.9%	27.3%	29.8%	5.6%	0.2%	18.1M	-302.1M	-12.6M	1.03	4.44	N/A	N/A	44,606	45,944	1,094,695	971,848
2010-09-22	$39.94	$40.00	30.7%	8.8%	32.7%	31.8%	31.1%	6.1%	0.3%	13.0M	-102.8M	-12.7M	0.95	4.52	N/A	N/A	36,583	34,731	1,114,435	996,265
2010-09-23	$39.10	$40.00	33.6%	9.6%	34.0%	40.2%	33.3%	6.1%	-0.3%	9.5M	80.2M	-12.5M	1.05	3.43	N/A	N/A	32,859	34,643	1,126,337	1,004,474
2010-09-24	$39.75	$40.00	30.7%	8.8%	33.4%	31.9%	30.2%	5.8%	-0.0%	12.4M	-44.9M	-12.6M	0.50	3.46	N/A	N/A	26,337	13,062	1,123,128	1,009,053
2010-09-27	$39.08	$40.00	32.3%	9.3%	33.3%	36.5%	32.3%	4.6%	-0.6%	8.0M	127.0M	-12.1M	0.57	3.86	N/A	N/A	31,545	18,127	1,131,219	1,013,862
2010-09-28	$38.95	$40.00	32.7%	9.4%	32.2%	37.6%	33.2%	4.4%	-1.3%	7.3M	164.0M	-11.9M	1.02	3.85	N/A	N/A	35,588	36,332	1,138,805	1,019,886
2010-09-29	$38.41	$40.00	35.4%	10.1%	32.6%	45.5%	35.3%	4.4%	-2.4%	2.1M	319.1M	-11.9M	1.58	4.25	N/A	N/A	30,942	48,981	1,143,302	1,033,165
2010-09-30	$38.06	$40.00	34.3%	9.8%	30.1%	42.4%	34.2%	3.7%	-2.2%	-2.1M	449.9M	-11.7M	0.90	4.47	N/A	N/A	44,288	39,947	1,151,991	1,057,709