JPM Options History — December 2010

In December 2010, JPM traded between $38.15 and $42.67. ATM implied volatility averaged 26.7%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 0.4% (HV 20d: 26.3%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.65.

Notable Days

2010-12-22: Highest Volume — 150,306 contracts
2010-12-13: Largest IV spike — 16.6% change
2010-12-14: Highest IV Rank — 28.4%
2010-12-07: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.84	$38.15	$42.67	$38.15	$42.42
Max Pain	$39.86	$39.00	$40.00	$39.00	$40.00
ATM IV	26.7%	23.8%	29.5%	28.7%	23.8%
Expected Move	7.9%	7.0%	8.6%	8.2%	8.1%
HV 20d	26.3%	21.7%	33.2%	32.3%	21.7%
HV 60d	27.9%	27.2%	28.9%	28.6%	27.4%
IV Rank	20.2%	11.5%	28.4%	25.9%	11.5%
IV Percentile	19.4%	2.0%	40.1%	30.2%	2.0%
Term Structure	0.6%	-1.2%	3.6%	2.9%	-0.3%
VWIV	28.3%	25.3%	30.6%	28.5%	28.2%
Skew 25d	3.4%	1.8%	4.7%	3.3%	2.5%
Skew 10d	6.9%	4.4%	10.1%	7.8%	4.7%
Call IV 25d	26.6%	23.6%	28.5%	27.7%	27.6%
Put IV 25d	30.0%	26.7%	32.6%	31.0%	30.0%
Bid-Ask Spread %	6.36	4.72	10.00	8.56	5.15
Gamma HHI	0.11	0.08	0.14	0.08	0.12
Net GEX	57.0M	11.4M	85.1M	11.4M	68.9M
Net DEX	-937.1M	-1.58B	217.2M	217.2M	-1.50B
Net VEX	-12.4M	-12.8M	-11.6M	-12.2M	-12.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.40	0.95	0.70	0.87
Total Volume	93,744.864	42,955	150,306	74,536	69,217
Total OI	2,748,177.182	2,406,324	2,994,617	2,799,202	2,605,375

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
2010-12-01	$38.15	$39.00	28.7%	8.2%	32.3%	25.9%	28.5%	3.3%	2.9%	11.4M	217.2M	-12.2M	0.70	8.56	N/A	N/A	43,729	30,807	1,550,499	1,248,703
2010-12-02	$39.31	$39.00	27.5%	7.9%	33.2%	22.4%	27.9%	3.0%	2.9%	36.5M	-325.3M	-12.7M	0.40	8.44	N/A	N/A	102,745	41,029	1,559,651	1,257,064
2010-12-03	$39.61	$39.00	25.3%	7.2%	27.2%	15.9%	26.4%	1.8%	3.6%	44.3M	-490.6M	-12.8M	0.46	10.00	N/A	N/A	50,550	23,235	1,587,737	1,257,776
2010-12-06	$39.91	$40.00	26.9%	8.4%	25.3%	20.7%	30.3%	4.3%	0.8%	47.9M	-581.8M	-12.8M	0.63	5.80	N/A	N/A	39,738	24,902	1,598,381	1,266,468
2010-12-07	$39.25	$40.00	27.7%	8.6%	25.7%	23.1%	30.6%	4.1%	0.7%	39.3M	-320.3M	-12.4M	0.68	6.92	N/A	N/A	63,265	43,149	1,597,035	1,267,568
2010-12-08	$40.26	$40.00	24.6%	8.2%	26.8%	14.0%	29.6%	4.2%	0.5%	62.4M	-807.0M	-12.7M	0.43	6.04	N/A	N/A	67,492	29,004	1,620,447	1,285,916
2010-12-09	$40.81	$40.00	25.0%	8.0%	26.5%	15.2%	29.0%	4.5%	0.2%	75.3M	-1.12B	-12.8M	0.82	7.12	N/A	N/A	75,207	61,725	1,624,075	1,282,668
2010-12-10	$41.43	$40.00	24.4%	8.0%	26.4%	13.4%	28.5%	4.2%	-0.0%	81.2M	-1.43B	-12.7M	0.45	7.51	N/A	N/A	75,481	33,709	1,636,339	1,306,967
2010-12-13	$41.51	$40.00	28.4%	7.8%	26.0%	25.2%	28.8%	4.3%	0.2%	85.1M	-1.47B	-12.5M	0.72	5.57	N/A	N/A	77,999	55,845	1,639,208	1,309,069
2010-12-14	$40.79	$40.00	29.5%	8.0%	26.6%	28.4%	28.1%	4.5%	0.3%	75.6M	-1.09B	-12.5M	0.76	5.87	N/A	N/A	58,526	44,229	1,652,220	1,322,863
2010-12-15	$40.21	$40.00	29.1%	8.4%	26.8%	27.3%	29.0%	4.7%	0.1%	65.6M	-741.4M	-12.3M	0.57	4.72	N/A	N/A	45,437	26,110	1,655,052	1,325,184
2010-12-16	$40.01	$40.00	27.8%	8.0%	26.6%	23.4%	28.3%	3.7%	0.2%	66.3M	-610.1M	-12.0M	0.60	5.82	N/A	N/A	67,589	40,793	1,658,989	1,324,429
2010-12-17	$39.67	$40.00	27.2%	7.8%	26.4%	21.5%	27.6%	3.1%	0.3%	32.3M	-375.3M	-11.8M	0.70	5.76	N/A	N/A	63,935	44,549	1,662,437	1,332,180
2010-12-20	$39.95	$40.00	25.1%	7.2%	26.4%	15.3%	25.6%	2.9%	1.5%	37.2M	-433.2M	-11.6M	0.95	6.21	N/A	N/A	43,646	41,575	1,332,316	1,074,008
2010-12-21	$41.00	$40.00	24.6%	7.0%	26.3%	13.9%	25.3%	3.1%	1.3%	51.0M	-866.2M	-11.9M	0.76	5.98	N/A	N/A	58,223	44,134	1,353,860	1,085,246
2010-12-22	$42.16	$40.00	26.8%	7.7%	25.8%	20.3%	27.3%	2.7%	-0.0%	59.2M	-1.35B	-12.5M	0.50	5.69	N/A	N/A	100,142	50,164	1,369,454	1,102,512
2010-12-23	$42.08	$40.00	26.4%	7.6%	25.7%	19.2%	26.8%	3.0%	0.3%	61.3M	-1.32B	-12.5M	0.92	5.71	N/A	N/A	28,891	26,463	1,387,473	1,110,780
2010-12-27	$42.67	$40.00	28.3%	8.1%	24.5%	25.0%	29.5%	3.3%	-1.2%	64.7M	-1.57B	-12.5M	0.67	5.81	N/A	N/A	42,019	28,304	1,396,855	1,119,367
2010-12-28	$42.61	$40.00	28.5%	8.2%	24.6%	25.4%	30.2%	2.6%	-0.3%	65.6M	-1.58B	-12.5M	0.42	5.18	N/A	N/A	77,799	32,898	1,407,800	1,127,854
2010-12-29	$42.36	$40.00	28.5%	8.2%	23.9%	25.4%	29.2%	2.6%	-0.2%	61.7M	-1.46B	-12.5M	0.64	5.88	N/A	N/A	27,512	17,666	1,434,367	1,143,649
2010-12-30	$42.23	$40.00	23.9%	8.0%	23.6%	11.8%	28.0%	3.0%	0.0%	60.7M	-1.39B	-12.5M	0.68	6.20	N/A	N/A	25,612	17,343	1,429,220	1,150,837
2010-12-31	$42.42	$40.00	23.8%	8.1%	21.7%	11.5%	28.2%	2.5%	-0.3%	68.9M	-1.50B	-12.5M	0.87	5.15	N/A	N/A	37,032	32,185	1,445,926	1,159,449