JPM Options History — January 2011

In January 2011, JPM traded between $43.40 and $45.29. ATM implied volatility averaged 27.9%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 5.8% (HV 20d: 22.1%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.69.

Notable Days

2011-01-14: Highest Volume — 351,540 contracts
2011-01-12: Largest IV drop — 36.3% change
2011-01-10: Highest IV Rank — 73.4%
2011-01-10: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.48	$43.40	$45.29	$43.58	$44.94
Max Pain	$40.85	$40.00	$43.00	$40.00	$43.00
ATM IV	27.9%	21.3%	44.9%	29.7%	24.4%
Expected Move	7.2%	6.1%	8.0%	7.9%	6.7%
HV 20d	22.1%	21.0%	23.4%	23.2%	22.0%
HV 60d	26.4%	25.3%	27.9%	27.8%	25.8%
IV Rank	23.5%	4.3%	73.4%	29.0%	13.4%
IV Percentile	26.6%	0.4%	96.0%	46.0%	7.5%
Term Structure	0.7%	-1.2%	2.4%	-0.7%	1.5%
VWIV	25.7%	21.0%	28.5%	28.5%	23.7%
Skew 25d	3.4%	2.0%	4.7%	2.1%	4.1%
Skew 10d	7.3%	4.1%	11.3%	4.4%	8.6%
Call IV 25d	24.0%	20.0%	27.5%	27.5%	22.0%
Put IV 25d	27.5%	23.4%	30.4%	29.6%	26.1%
Bid-Ask Spread %	5.26	3.94	6.38	5.67	5.95
Gamma HHI	0.19	0.13	0.40	0.13	0.16
Net GEX	89.3M	68.5M	164.9M	77.5M	75.8M
Net DEX	-2.07B	-3.18B	-1.33B	-2.03B	-1.51B
Net VEX	-13.5M	-15.0M	-12.5M	-12.5M	-14.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.34	1.24	0.38	0.86
Total Volume	168,633.7	62,824	351,540	271,886	62,824
Total OI	2,516,261.35	1,705,871	3,004,987	2,614,500	1,909,871

Daily Data (20 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
2011-01-03	$43.58	$40.00	29.7%	7.9%	23.2%	29.0%	28.5%	2.1%	-0.7%	77.5M	-2.03B	-12.5M	0.38	5.67	N/A	N/A	196,989	74,897	1,452,579	1,161,921
2011-01-04	$44.16	$40.00	27.7%	7.8%	23.3%	23.0%	27.8%	2.7%	-1.0%	76.4M	-2.09B	-12.6M	0.67	5.84	N/A	N/A	76,710	51,354	1,415,700	1,184,532
2011-01-05	$44.70	$40.00	27.8%	7.5%	22.0%	23.4%	27.4%	2.0%	-0.8%	84.2M	-2.44B	-12.5M	0.59	6.17	N/A	N/A	104,611	61,590	1,443,362	1,198,442
2011-01-06	$44.48	$40.00	32.8%	7.8%	21.1%	38.0%	27.7%	2.3%	-1.2%	83.5M	-2.28B	-12.8M	0.83	6.38	N/A	N/A	49,083	40,533	1,458,808	1,219,041
2011-01-07	$43.64	$40.00	34.8%	7.7%	22.5%	43.8%	28.2%	4.5%	0.4%	77.7M	-1.78B	-13.3M	0.97	5.24	N/A	N/A	134,633	130,353	1,474,284	1,230,628
2011-01-10	$43.40	$40.00	44.9%	8.0%	22.3%	73.4%	27.8%	4.7%	0.5%	77.6M	-1.75B	-13.0M	0.45	4.96	N/A	N/A	81,689	36,769	1,489,446	1,259,002
2011-01-11	$43.60	$40.00	43.8%	7.8%	22.3%	70.3%	28.2%	4.3%	0.3%	80.4M	-1.92B	-13.2M	0.39	5.24	N/A	N/A	70,576	27,589	1,515,226	1,269,568
2011-01-12	$44.71	$40.00	27.9%	7.4%	22.4%	23.6%	26.7%	3.7%	0.3%	92.4M	-2.58B	-13.3M	0.51	3.94	N/A	N/A	126,242	64,703	1,544,886	1,280,652
2011-01-13	$44.45	$40.00	27.3%	7.8%	21.6%	21.9%	27.2%	3.3%	-0.0%	91.2M	-2.40B	-13.4M	0.47	5.34	N/A	N/A	226,065	106,364	1,567,371	1,296,878
2011-01-14	$44.91	$40.00	23.8%	6.8%	21.3%	11.5%	24.1%	2.9%	1.1%	164.9M	-2.84B	-13.7M	0.59	5.39	N/A	N/A	220,508	131,032	1,662,643	1,331,347
2011-01-18	$44.75	$41.00	24.6%	7.1%	21.0%	14.1%	25.2%	2.6%	0.6%	104.1M	-2.63B	-13.5M	0.55	5.06	N/A	N/A	89,811	49,202	1,627,494	1,331,916
2011-01-19	$43.71	$41.00	25.8%	7.4%	23.4%	17.6%	26.5%	3.9%	0.3%	86.8M	-1.93B	-13.4M	0.62	5.27	N/A	N/A	99,559	61,742	1,637,119	1,331,974
2011-01-20	$44.75	$41.00	24.2%	6.9%	23.1%	12.9%	24.9%	4.2%	1.2%	117.9M	-2.52B	-13.6M	0.58	5.19	N/A	N/A	105,537	61,542	1,633,488	1,353,575
2011-01-21	$45.29	$41.00	23.6%	6.8%	21.6%	11.0%	24.0%	3.6%	2.1%	124.4M	-3.18B	-13.2M	0.34	5.29	N/A	N/A	201,598	68,016	1,640,045	1,364,942
2011-01-24	$45.02	$41.00	23.2%	6.7%	21.8%	9.9%	24.4%	3.7%	1.5%	77.3M	-1.61B	-13.5M	1.24	5.41	N/A	N/A	50,507	62,643	1,009,042	696,829
2011-01-25	$44.87	$42.00	23.5%	6.8%	21.6%	10.9%	24.8%	3.5%	1.6%	72.2M	-1.53B	-14.0M	1.02	4.93	N/A	N/A	55,809	56,682	1,031,926	736,173
2011-01-26	$44.98	$42.00	22.3%	6.4%	21.5%	7.1%	22.7%	3.0%	1.8%	75.9M	-1.57B	-13.9M	0.95	4.50	N/A	N/A	36,079	34,173	1,047,882	768,060
2011-01-27	$45.10	$42.00	21.3%	6.1%	21.3%	4.3%	21.0%	3.4%	2.4%	77.2M	-1.57B	-14.2M	0.97	4.76	N/A	N/A	75,391	72,850	1,052,754	785,002
2011-01-28	$44.54	$43.00	23.8%	6.6%	21.9%	11.6%	23.8%	4.2%	1.7%	68.5M	-1.33B	-15.0M	0.77	4.70	N/A	N/A	65,756	50,663	1,077,073	833,746
2011-01-31	$44.94	$43.00	24.4%	6.7%	22.0%	13.4%	23.7%	4.1%	1.5%	75.8M	-1.51B	-14.7M	0.86	5.95	N/A	N/A	33,859	28,965	1,078,228	831,643