JPM Options History — March 2011 In March 2011, JPM traded between $43.81 and $46.56. ATM implied volatility averaged 26.6%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 1.1% (HV 20d: 25.5%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.78.
Notable Days 2011-03-18 : Highest Volume — 262,040 contracts2011-03-03 : Largest IV drop — 19.7% change2011-03-16 : Highest IV Rank — 40.2%2011-03-16 : Largest Expected Move — 9.6%Monthly Statistics Metric Avg Min Max Open Close Price $45.59 $43.81 $46.56 $45.60 $46.10 Max Pain $44.74 $43.00 $45.00 $43.00 $45.00 ATM IV 26.6% 20.5% 33.6% 29.4% 20.5% Expected Move 7.9% 6.8% 9.6% 7.5% 7.6% HV 20d 25.5% 20.8% 28.3% 26.8% 20.8% HV 60d 23.4% 22.6% 24.1% 23.3% 22.6% IV Rank 19.8% 2.1% 40.2% 28.0% 2.1% IV Percentile 30.7% 0.4% 75.0% 52.4% 0.4% Term Structure -0.9% -3.4% 2.6% 1.8% -3.1% VWIV 27.9% 24.9% 33.4% 27.1% 27.3% Skew 25d 4.7% 3.3% 6.1% 4.3% 3.7% Skew 10d 9.8% 6.2% 13.1% 8.2% 8.2% Call IV 25d 25.5% 22.4% 31.3% 24.8% 25.2% Put IV 25d 30.3% 26.0% 37.4% 29.1% 28.9% Bid-Ask Spread % 5.67 2.65 7.99 3.32 4.11 Gamma HHI 0.11 0.09 0.17 0.12 0.11 Net GEX 50.3M 21.4M 79.9M 56.0M 58.0M Net DEX -1.04B -1.70B -430.7M -1.22B -1.01B Net VEX -16.5M -17.3M -15.8M -16.7M -16.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.45 1.30 0.80 0.82 Total Volume 105,846.087 49,702 262,040 120,249 60,170 Total OI 2,109,133.87 1,825,896 2,328,973 2,108,117 1,999,227
Daily Data (23 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 2011-03-01 $45.60 $43.00 29.4% 7.5% 26.8% 28.0% 27.1% 4.3% 1.8% 56.0M -1.22B -16.7M 0.80 3.32 N/A N/A 66,927 53,322 1,116,296 991,821 2011-03-02 $45.21 $43.00 30.1% 7.6% 25.8% 30.1% 27.1% 4.0% 1.7% 46.7M -1.03B -16.7M 1.23 4.21 N/A N/A 57,581 71,101 1,136,952 1,016,866 2011-03-03 $46.08 $43.00 24.2% 6.8% 26.4% 12.8% 24.9% 3.6% 2.6% 65.4M -1.46B -17.1M 0.74 4.95 N/A N/A 50,146 36,979 1,163,441 1,050,673 2011-03-04 $45.52 $45.00 23.4% 7.6% 26.8% 10.6% 26.8% 5.9% -0.4% 53.9M -1.16B -17.0M 0.57 4.33 N/A N/A 91,681 51,827 1,168,882 1,057,860 2011-03-07 $45.19 $45.00 28.0% 8.2% 26.0% 23.9% 28.4% 5.8% -0.8% 45.1M -1.07B -16.9M 0.79 3.55 N/A N/A 47,619 37,703 1,153,460 1,055,304 2011-03-08 $46.40 $45.00 26.0% 7.9% 26.7% 18.2% 27.1% 5.3% -0.7% 68.8M -1.65B -17.0M 0.72 3.58 N/A N/A 70,317 50,367 1,169,541 1,066,207 2011-03-09 $46.56 $45.00 24.2% 7.6% 26.7% 12.9% 27.6% 5.5% -0.3% 71.5M -1.70B -17.3M 0.77 2.65 N/A N/A 41,643 32,063 1,172,680 1,081,173 2011-03-10 $45.53 $45.00 28.5% 8.2% 27.5% 25.3% 29.2% 5.8% -0.6% 52.4M -1.23B -17.1M 0.70 5.27 N/A N/A 61,684 42,928 1,180,762 1,084,656 2011-03-11 $45.74 $45.00 27.3% 7.8% 27.3% 21.8% 28.2% 5.6% -0.2% 55.6M -1.30B -17.0M 1.30 6.49 N/A N/A 29,852 38,911 1,195,874 1,090,730 2011-03-14 $45.30 $45.00 29.5% 8.4% 26.2% 28.2% 29.0% 5.5% -1.0% 45.9M -1.12B -16.8M 0.62 6.26 N/A N/A 51,296 31,661 1,176,396 1,086,304 2011-03-15 $44.61 $45.00 30.6% 8.8% 26.7% 31.6% 30.6% 4.8% -1.6% 33.7M -818.2M -16.5M 0.68 6.90 N/A N/A 74,315 50,368 1,181,624 1,092,330 2011-03-16 $43.81 $45.00 33.6% 9.6% 27.0% 40.2% 33.4% 6.1% -2.4% 21.4M -430.7M -16.7M 0.87 7.57 N/A N/A 59,830 51,895 1,193,035 1,092,434 2011-03-17 $44.56 $45.00 32.3% 9.3% 26.3% 36.5% 32.7% 5.8% -2.0% 35.2M -796.3M -16.7M 0.51 5.85 N/A N/A 116,601 59,774 1,193,148 1,106,679 2011-03-18 $45.74 $45.00 29.3% 8.4% 28.3% 27.7% 29.5% 5.6% -1.4% 79.9M -1.31B -16.8M 0.45 7.99 N/A N/A 180,909 81,131 1,213,116 1,115,857 2011-03-21 $45.63 $45.00 27.4% 7.9% 28.2% 22.2% 28.0% 5.2% -1.4% 35.7M -762.4M -16.1M 0.58 6.35 N/A N/A 52,977 30,972 922,640 903,256 2011-03-22 $45.47 $45.00 26.5% 7.6% 24.0% 19.5% 27.0% 4.4% -0.8% 36.9M -683.8M -15.8M 1.30 6.77 N/A N/A 23,369 30,286 929,632 911,192 2011-03-23 $45.60 $45.00 25.1% 7.2% 24.0% 15.5% 26.3% 3.8% -0.9% 39.6M -707.2M -15.8M 0.87 6.64 N/A N/A 48,603 42,428 934,313 918,421 2011-03-24 $45.73 $45.00 24.8% 7.1% 24.1% 14.5% 25.5% 3.7% -1.1% 45.9M -774.0M -15.9M 0.81 7.55 N/A N/A 34,185 27,804 948,473 933,812 2011-03-25 $45.86 $45.00 22.1% 7.3% 23.3% 6.8% 26.2% 3.3% -1.5% 52.4M -846.2M -15.9M 0.83 6.23 N/A N/A 86,260 71,323 956,815 942,969 2011-03-28 $45.96 $45.00 23.4% 7.4% 23.3% 10.3% 26.1% 3.5% -2.0% 46.8M -886.6M -15.8M 0.68 7.45 N/A N/A 32,720 22,087 965,167 955,601 2011-03-29 $46.02 $45.00 22.2% 7.2% 21.7% 6.8% 26.4% 3.7% -2.0% 50.4M -894.9M -15.8M 0.75 5.66 N/A N/A 28,446 21,256 976,795 958,843 2011-03-30 $46.45 $45.00 23.0% 7.7% 21.6% 9.4% 28.8% 4.3% -3.4% 58.8M -1.08B -15.9M 0.63 6.79 N/A N/A 80,574 50,569 982,513 966,309 2011-03-31 $46.10 $45.00 20.5% 7.6% 20.8% 2.1% 27.3% 3.7% -3.1% 58.0M -1.01B -16.0M 0.82 4.11 N/A N/A 33,075 27,095 1,019,100 980,127
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