JPM Options History — November 2010 In November 2010, JPM traded between $36.96 and $40.94. ATM implied volatility averaged 28.1%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 2.3% (HV 20d: 30.4%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.80.
Notable Days 2010-11-05 : Highest Volume — 276,329 contracts2010-11-03 : Largest IV drop — 15.1% change2010-11-30 : Highest IV Rank — 36.7%2010-11-30 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $38.98 $36.96 $40.94 $37.42 $37.40 Max Pain $38.81 $38.00 $39.00 $38.00 $39.00 ATM IV 28.1% 25.1% 32.4% 30.5% 32.4% Expected Move 8.1% 7.4% 9.3% 8.7% 9.3% HV 20d 30.4% 25.2% 34.6% 26.0% 31.9% HV 60d 29.5% 27.9% 30.2% 27.9% 28.7% IV Rank 24.2% 15.6% 36.7% 31.2% 36.7% IV Percentile 25.3% 6.3% 62.7% 38.5% 62.7% Term Structure 1.7% 0.1% 3.2% 0.4% 0.3% VWIV 29.3% 26.8% 32.1% 31.9% 32.1% Skew 25d 3.6% 1.9% 6.3% 6.3% 3.4% Skew 10d 8.1% 4.3% 14.4% 14.4% 6.5% Call IV 25d 27.4% 24.6% 30.9% 27.2% 30.9% Put IV 25d 31.0% 28.3% 34.3% 33.5% 34.3% Bid-Ask Spread % 6.67 4.36 10.57 4.36 8.02 Gamma HHI 0.08 0.07 0.10 0.08 0.08 Net GEX 23.9M -6.2M 50.0M -1.1M -1.9M Net DEX -230.6M -1.14B 591.0M 439.5M 504.2M Net VEX -12.8M -13.7M -11.9M -12.2M -12.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.28 1.24 1.16 0.80 Total Volume 108,398.667 45,948 276,329 124,639 85,362 Total OI 2,752,419.429 2,599,437 2,958,004 2,599,437 2,774,556
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 2010-11-01 $37.42 $38.00 30.5% 8.7% 26.0% 31.2% 31.9% 6.3% 0.4% -1.1M 439.5M -12.2M 1.16 4.36 N/A N/A 57,746 66,893 1,384,071 1,215,366 2010-11-02 $36.96 $38.00 30.3% 8.7% 25.2% 30.8% 30.4% 5.0% 0.1% -6.2M 591.0M -12.0M 0.68 6.75 N/A N/A 66,103 44,763 1,407,122 1,223,384 2010-11-03 $37.72 $38.00 25.8% 7.4% 26.4% 17.4% 26.8% 4.3% 1.9% 612.4K 320.4M -12.3M 0.45 5.00 N/A N/A 39,001 17,432 1,421,371 1,245,148 2010-11-04 $39.80 $38.00 26.4% 7.6% 33.0% 19.3% 28.0% 3.2% 0.9% 33.2M -602.4M -12.9M 0.55 4.64 N/A N/A 172,321 94,418 1,427,746 1,249,104 2010-11-05 $40.94 $39.00 25.1% 7.8% 34.3% 15.6% 28.2% 3.5% 1.2% 50.0M -1.14B -13.7M 0.55 7.22 N/A N/A 178,158 98,171 1,467,315 1,258,519 2010-11-08 $40.51 $39.00 25.9% 7.9% 34.4% 17.8% 29.2% 3.2% 1.8% 48.5M -949.8M -13.4M 1.24 7.54 N/A N/A 43,060 53,377 1,480,937 1,261,921 2010-11-09 $39.90 $39.00 26.7% 8.1% 34.4% 20.2% 28.7% 3.4% 1.8% 38.3M -656.5M -13.4M 0.81 5.84 N/A N/A 49,121 39,755 1,481,259 1,276,540 2010-11-10 $40.62 $39.00 25.3% 7.8% 34.6% 16.1% 28.6% 3.5% 2.1% 48.4M -945.3M -13.5M 0.77 6.10 N/A N/A 39,766 30,679 1,485,335 1,277,334 2010-11-11 $40.02 $39.00 28.0% 8.0% 33.4% 24.0% 29.4% 3.8% 1.8% 42.0M -702.8M -13.4M 0.98 6.27 N/A N/A 36,742 36,060 1,492,150 1,283,911 2010-11-12 $39.61 $39.00 28.5% 8.2% 29.7% 25.5% 29.7% 4.2% 1.7% 32.3M -443.1M -13.2M 0.76 6.69 N/A N/A 42,105 31,991 1,500,567 1,296,539 2010-11-15 $40.08 $39.00 28.5% 8.2% 28.4% 25.5% 28.8% 3.3% 1.6% 45.5M -713.7M -12.9M 0.91 10.57 N/A N/A 38,701 35,405 1,512,068 1,297,745 2010-11-16 $39.61 $39.00 30.4% 8.7% 28.3% 30.9% 31.8% 4.4% 1.5% 33.7M -482.9M -13.2M 0.28 8.31 N/A N/A 175,278 49,730 1,494,931 1,296,842 2010-11-17 $39.18 $39.00 29.8% 8.6% 28.5% 29.4% 31.1% 3.8% 1.9% 33.4M -349.5M -13.4M 0.95 6.18 N/A N/A 35,003 33,124 1,620,765 1,308,519 2010-11-18 $39.66 $39.00 27.7% 7.9% 28.4% 23.1% 28.5% 3.3% 1.6% 47.5M -583.2M -13.5M 0.51 7.43 N/A N/A 73,106 37,584 1,631,447 1,315,994 2010-11-19 $39.41 $39.00 26.2% 7.5% 28.5% 18.8% 27.0% 3.3% 2.8% 30.2M -503.7M -13.0M 1.04 4.38 N/A N/A 36,601 38,110 1,644,590 1,313,414 2010-11-22 $38.51 $39.00 26.3% 7.5% 29.2% 18.9% 27.6% 2.8% 3.2% 14.6M 96.9M -12.6M 1.22 8.38 N/A N/A 47,607 58,205 1,484,808 1,186,646 2010-11-23 $37.63 $39.00 28.4% 8.1% 30.5% 25.2% 29.4% 2.9% 2.6% -633.9K 462.4M -12.2M 0.91 5.32 N/A N/A 47,022 42,991 1,493,153 1,216,011 2010-11-24 $38.16 $39.00 27.8% 8.0% 30.7% 23.3% 27.9% 2.3% 2.7% 6.3M 251.5M -12.4M 0.45 6.55 N/A N/A 38,395 17,429 1,506,117 1,217,160 2010-11-26 $37.50 $39.00 29.5% 8.5% 31.4% 28.4% 29.6% 1.9% 2.1% 2.3M 406.5M -12.1M 1.04 6.88 N/A N/A 22,552 23,396 1,520,072 1,216,752 2010-11-29 $37.91 $39.00 29.8% 8.6% 31.6% 29.3% 30.3% 3.3% 2.1% 4.6M 153.9M -11.9M 0.81 7.69 N/A N/A 57,029 46,080 1,443,945 1,169,634 2010-11-30 $37.40 $39.00 32.4% 9.3% 31.9% 36.7% 32.1% 3.4% 0.3% -1.9M 504.2M -12.0M 0.80 8.02 N/A N/A 47,298 38,064 1,534,982 1,239,574
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