JPM Options History — February 2011

In February 2011, JPM traded between $44.59 and $48.00. ATM implied volatility averaged 24.2%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.7% (HV 20d: 22.5%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.84.

Notable Days

2011-02-16: Highest Volume — 250,937 contracts
2011-02-22: Largest IV spike — 25.7% change
2011-02-22: Highest IV Rank — 22.2%
2011-02-22: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.22	$44.59	$48.00	$45.93	$46.69
Max Pain	$41.95	$41.00	$43.00	$43.00	$43.00
ATM IV	24.2%	21.8%	27.4%	23.2%	24.5%
Expected Move	6.9%	6.2%	7.9%	6.2%	7.1%
HV 20d	22.5%	19.7%	25.9%	21.3%	25.3%
HV 60d	23.4%	22.2%	24.1%	23.8%	23.3%
IV Rank	12.8%	5.8%	22.2%	9.9%	13.6%
IV Percentile	10.5%	0.8%	34.5%	2.0%	13.1%
Term Structure	1.4%	0.8%	2.4%	1.7%	1.0%
VWIV	24.5%	22.3%	27.9%	22.6%	25.2%
Skew 25d	3.4%	2.5%	4.6%	3.3%	3.8%
Skew 10d	7.6%	5.5%	12.1%	6.7%	7.7%
Call IV 25d	22.7%	20.6%	26.0%	20.7%	22.6%
Put IV 25d	26.1%	23.3%	30.4%	24.0%	26.3%
Bid-Ask Spread %	4.61	3.05	5.99	5.44	3.90
Gamma HHI	0.15	0.13	0.16	0.16	0.14
Net GEX	90.5M	59.3M	124.1M	92.7M	74.2M
Net DEX	-1.90B	-2.94B	-1.22B	-1.95B	-1.69B
Net VEX	-15.8M	-16.9M	-14.7M	-14.7M	-16.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.40	2.65	0.48	0.90
Total Volume	133,935.526	44,385	250,937	114,128	78,848
Total OI	2,104,476.842	1,940,938	2,296,525	1,940,938	2,080,436

Daily Data (19 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
2011-02-01	$45.93	$43.00	23.2%	6.2%	21.3%	9.9%	22.6%	3.3%	1.7%	92.7M	-1.95B	-14.7M	0.48	5.44	N/A	N/A	76,984	37,144	1,093,720	847,218
2011-02-02	$45.45	$43.00	25.6%	6.5%	21.4%	16.9%	22.3%	3.1%	1.3%	87.6M	-1.70B	-15.0M	0.68	5.71	N/A	N/A	26,347	18,038	1,108,782	864,252
2011-02-03	$45.46	$43.00	23.2%	6.7%	21.1%	9.9%	23.4%	2.8%	1.1%	89.3M	-1.73B	-15.0M	2.65	5.84	N/A	N/A	46,274	122,839	1,113,766	867,841
2011-02-04	$44.59	$41.00	22.4%	6.9%	22.2%	7.5%	24.5%	3.6%	1.8%	71.4M	-1.22B	-15.4M	0.72	3.05	N/A	N/A	102,653	73,728	1,112,756	958,762
2011-02-07	$45.50	$41.00	26.6%	7.1%	22.0%	19.8%	24.4%	3.6%	1.5%	91.0M	-1.74B	-15.6M	0.40	4.91	N/A	N/A	158,330	63,250	1,145,509	955,296
2011-02-08	$45.74	$41.00	24.7%	6.8%	21.9%	14.3%	24.5%	3.3%	1.3%	96.5M	-1.85B	-15.6M	0.73	4.35	N/A	N/A	64,856	47,514	1,162,917	976,351
2011-02-09	$45.11	$41.00	24.3%	7.1%	22.6%	13.1%	25.4%	3.4%	1.5%	87.0M	-1.47B	-15.6M	1.01	5.72	N/A	N/A	49,911	50,559	1,127,758	987,609
2011-02-10	$45.53	$41.00	23.6%	6.8%	21.1%	11.1%	24.5%	2.9%	1.5%	97.2M	-1.67B	-15.6M	0.62	5.99	N/A	N/A	31,401	19,321	1,136,611	994,399
2011-02-11	$46.57	$41.00	24.3%	7.0%	22.3%	13.0%	24.4%	3.3%	1.0%	104.0M	-2.23B	-15.6M	0.54	4.18	N/A	N/A	159,408	85,663	1,145,671	997,172
2011-02-14	$46.54	$41.00	23.8%	6.8%	22.1%	11.7%	24.6%	3.0%	1.0%	113.3M	-2.21B	-15.6M	0.49	4.08	N/A	N/A	75,089	37,059	1,170,711	1,011,187
2011-02-15	$46.82	$41.00	22.2%	6.4%	22.0%	6.9%	22.7%	3.4%	2.4%	119.3M	-2.32B	-15.7M	0.53	4.58	N/A	N/A	93,005	49,166	1,186,788	1,017,971
2011-02-16	$47.94	$41.00	22.7%	6.5%	21.1%	8.5%	23.5%	2.5%	1.6%	124.1M	-2.94B	-15.4M	0.60	4.55	N/A	N/A	156,443	94,494	1,197,904	1,021,174
2011-02-17	$47.82	$42.00	22.6%	6.5%	20.0%	8.2%	23.7%	2.9%	1.6%	112.9M	-2.82B	-15.9M	1.52	3.62	N/A	N/A	33,110	50,281	1,213,639	1,060,033
2011-02-18	$48.00	$42.00	21.8%	6.3%	19.7%	5.8%	22.5%	2.7%	2.3%	110.6M	-2.86B	-16.2M	0.66	4.23	N/A	N/A	65,593	43,417	1,217,853	1,078,672
2011-02-22	$46.01	$43.00	27.4%	7.9%	25.3%	22.2%	27.9%	4.4%	1.0%	59.3M	-1.42B	-16.3M	0.95	4.44	N/A	N/A	92,645	87,926	1,055,012	903,884
2011-02-23	$45.96	$43.00	26.7%	7.6%	25.3%	20.0%	27.5%	4.5%	0.8%	59.8M	-1.40B	-16.2M	0.87	4.65	N/A	N/A	84,155	73,047	1,082,854	937,402
2011-02-24	$45.91	$43.00	26.5%	7.6%	25.3%	19.5%	27.3%	4.4%	1.4%	59.4M	-1.33B	-16.6M	0.92	4.24	N/A	N/A	59,575	54,984	1,098,766	961,083
2011-02-25	$46.68	$43.00	23.7%	7.2%	25.9%	11.3%	25.2%	4.6%	1.1%	69.6M	-1.63B	-16.9M	0.72	4.12	N/A	N/A	47,412	34,306	1,111,070	982,231
2011-02-28	$46.69	$43.00	24.5%	7.1%	25.3%	13.6%	25.2%	3.8%	1.0%	74.2M	-1.69B	-16.4M	0.90	3.90	N/A	N/A	41,605	37,243	1,101,607	978,829