JPM Options History — October 2010

In October 2010, JPM traded between $37.07 and $40.40. ATM implied volatility averaged 30.0%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.7% (HV 20d: 27.2%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.77.

Notable Days

2010-10-15: Highest Volume — 373,444 contracts
2010-10-13: Largest IV drop — 44.9% change
2010-10-12: Highest IV Rank — 62.9%
2010-10-01: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.49	$37.07	$40.40	$38.81	$37.63
Max Pain	$38.52	$38.00	$39.00	$39.00	$38.00
ATM IV	30.0%	22.8%	41.3%	32.2%	26.2%
Expected Move	8.1%	7.3%	9.2%	9.2%	7.5%
HV 20d	27.2%	23.4%	30.6%	30.6%	26.1%
HV 60d	28.5%	27.5%	29.2%	29.2%	28.2%
IV Rank	29.7%	8.7%	62.9%	36.1%	18.7%
IV Percentile	33.6%	0.4%	87.7%	50.8%	11.9%
Term Structure	1.3%	-1.8%	2.9%	-1.8%	2.2%
VWIV	28.8%	25.9%	32.7%	32.7%	26.9%
Skew 25d	4.3%	2.5%	6.0%	2.6%	4.2%
Skew 10d	11.5%	5.9%	19.5%	5.9%	8.7%
Call IV 25d	26.7%	24.0%	31.5%	31.5%	24.9%
Put IV 25d	31.0%	27.6%	34.8%	34.2%	29.1%
Bid-Ask Spread %	3.33	2.45	5.40	4.64	2.98
Gamma HHI	0.08	0.06	0.24	0.07	0.08
Net GEX	6.3M	-43.8M	42.5M	5.8M	-292.7K
Net DEX	195.8M	-480.5M	778.1M	219.4M	380.0M
Net VEX	-12.3M	-13.0M	-11.8M	-11.9M	-12.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.39	1.45	0.39	0.62
Total Volume	119,485.333	40,582	373,444	120,002	40,582
Total OI	2,416,593.333	2,218,844	2,582,885	2,218,844	2,582,885

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
2010-10-01	$38.81	$39.00	32.2%	9.2%	30.6%	36.1%	32.7%	2.6%	-1.8%	5.8M	219.4M	-11.9M	0.39	4.64	N/A	N/A	86,170	33,832	1,165,330	1,053,514
2010-10-04	$38.95	$39.00	33.8%	8.7%	29.2%	41.0%	30.2%	5.2%	0.4%	9.9M	106.5M	-12.5M	0.70	3.10	N/A	N/A	69,901	48,684	1,213,322	1,069,729
2010-10-05	$39.64	$39.00	31.8%	8.4%	28.5%	34.9%	29.5%	4.3%	0.7%	21.3M	-193.8M	-12.9M	0.86	2.94	N/A	N/A	47,438	40,969	1,252,788	1,085,789
2010-10-06	$39.90	$39.00	31.8%	8.3%	27.6%	35.1%	30.4%	4.5%	0.8%	22.2M	-244.8M	-13.0M	0.91	2.79	N/A	N/A	37,879	34,396	1,253,553	1,089,875
2010-10-07	$39.52	$39.00	33.3%	8.5%	26.4%	39.4%	30.8%	4.3%	0.7%	19.4M	-134.2M	-12.8M	0.94	3.02	N/A	N/A	32,205	30,139	1,262,100	1,093,414
2010-10-08	$39.31	$39.00	32.8%	8.6%	26.3%	38.0%	29.4%	4.1%	0.5%	18.6M	-53.6M	-12.4M	0.73	2.65	N/A	N/A	44,342	32,412	1,270,979	1,088,706
2010-10-11	$39.73	$39.00	38.1%	8.1%	23.4%	53.4%	28.8%	3.8%	0.6%	25.1M	-200.6M	-12.6M	0.51	3.32	N/A	N/A	75,826	38,658	1,279,687	1,101,035
2010-10-12	$40.40	$39.00	41.3%	8.2%	24.1%	62.9%	28.5%	3.0%	0.2%	35.9M	-480.5M	-12.6M	0.39	3.09	N/A	N/A	132,465	51,497	1,290,764	1,118,356
2010-10-13	$39.84	$39.00	22.8%	7.4%	24.4%	8.7%	25.9%	2.5%	1.8%	42.5M	-271.0M	-12.3M	0.55	3.19	N/A	N/A	115,364	62,913	1,322,387	1,124,977
2010-10-14	$38.72	$39.00	29.5%	8.5%	26.2%	28.3%	30.5%	5.3%	1.1%	1.2M	262.8M	-12.1M	0.90	2.59	N/A	N/A	135,382	121,773	1,327,715	1,135,398
2010-10-15	$37.15	$39.00	32.1%	9.2%	28.8%	36.0%	31.9%	5.1%	1.0%	-43.8M	778.1M	-11.8M	0.99	2.92	N/A	N/A	187,684	185,760	1,349,702	1,163,333
2010-10-18	$38.20	$38.00	27.7%	7.9%	28.8%	23.0%	27.8%	4.6%	1.9%	1.4M	287.8M	-12.1M	0.64	2.45	N/A	N/A	77,243	49,258	1,228,450	1,099,334
2010-10-19	$37.69	$38.00	29.5%	8.5%	28.7%	28.4%	30.1%	6.0%	1.3%	-864.1K	420.4M	-12.1M	0.89	3.80	N/A	N/A	74,429	66,044	1,252,615	1,114,572
2010-10-20	$38.10	$38.00	26.0%	7.5%	28.8%	18.1%	26.4%	4.6%	2.9%	2.3M	315.4M	-12.3M	0.75	3.83	N/A	N/A	60,455	45,197	1,266,483	1,128,322
2010-10-21	$37.70	$38.00	27.1%	7.8%	28.1%	21.4%	28.9%	5.1%	2.7%	24.4K	417.5M	-12.5M	1.45	3.63	N/A	N/A	42,033	60,988	1,295,079	1,144,927
2010-10-22	$37.70	$38.00	25.6%	7.3%	27.3%	17.0%	26.5%	4.5%	2.9%	-3.9M	440.9M	-12.4M	0.71	2.97	N/A	N/A	30,932	22,038	1,299,844	1,168,601
2010-10-25	$37.07	$38.00	28.3%	8.1%	27.3%	24.8%	28.5%	4.3%	1.4%	-8.2M	603.9M	-12.0M	0.81	3.69	N/A	N/A	43,935	35,431	1,315,608	1,171,120
2010-10-26	$37.20	$38.00	27.0%	7.7%	27.3%	21.0%	27.6%	3.7%	1.9%	-7.1M	568.3M	-12.0M	0.98	3.45	N/A	N/A	26,064	25,423	1,330,437	1,179,958
2010-10-27	$37.54	$38.00	26.1%	7.5%	27.3%	18.2%	27.4%	4.2%	1.8%	-3.8M	436.7M	-12.1M	0.95	3.42	N/A	N/A	33,800	32,115	1,333,580	1,186,231
2010-10-28	$37.51	$38.00	26.1%	7.5%	27.1%	18.5%	27.1%	4.0%	2.0%	-4.4M	453.4M	-12.1M	0.43	5.40	N/A	N/A	68,076	29,460	1,341,953	1,196,008
2010-10-29	$37.63	$38.00	26.2%	7.5%	26.1%	18.7%	26.9%	4.2%	2.2%	-292.7K	380.0M	-12.5M	0.62	2.98	N/A	N/A	25,012	15,570	1,374,573	1,208,312