JPM Options History — April 2011

In April 2011, JPM traded between $43.96 and $47.64. ATM implied volatility averaged 22.4%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.4% (HV 20d: 18.0%). Max pain ranged from $45.00 to $46.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2011-04-01: Highest Volume — 524,881 contracts
  • 2011-04-13: Largest IV drop — 37.2% change
  • 2011-04-12: Highest IV Rank — 46.0%
  • 2011-04-01: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.77$43.96$47.64$46.35$45.63
Max Pain$45.55$45.00$46.00$45.00$45.00
ATM IV22.4%17.3%35.3%19.4%17.3%
Expected Move6.1%5.2%7.6%7.6%5.3%
HV 20d18.0%15.4%20.3%20.3%18.5%
HV 60d22.2%21.8%22.6%22.5%21.8%
IV Rank10.0%0.0%46.0%0.0%0.0%
IV Percentile14.1%0.0%80.2%0.0%0.0%
Term Structure0.5%-3.3%1.5%-3.3%0.4%
VWIV21.4%18.8%25.7%19.5%19.3%
Skew 25d3.2%2.2%4.7%2.9%2.2%
Skew 10d6.6%4.7%9.0%6.2%6.4%
Call IV 25d20.2%17.6%25.2%25.2%18.2%
Put IV 25d23.4%20.0%28.0%28.0%20.4%
Bid-Ask Spread %4.683.405.645.645.02
Gamma HHI0.110.080.160.110.09
Net GEX38.0M-25.2M88.2M59.0M31.2M
Net DEX-815.0M-1.76B-81.4M-1.18B-737.4M
Net VEX-15.6M-16.5M-14.7M-15.9M-14.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.082.020.081.19
Total Volume133,807.7556,749524,881524,88179,770
Total OI2,043,650.351,868,8952,243,3602,025,8242,010,251

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$46.35$45.0019.4%7.6%20.3%0.0%19.5%2.9%-3.3%59.0M-1.18B-15.9M0.085.64N/AN/A485,08539,7961,032,905992,919
2011-04-04$46.34$46.0023.5%6.7%20.1%11.9%23.0%4.7%0.2%65.9M-1.13B-16.2M0.864.63N/AN/A31,90627,4831,022,123997,109
2011-04-05$46.58$46.0020.9%6.3%17.9%4.4%23.1%4.4%0.6%73.7M-1.29B-15.9M0.513.99N/AN/A39,67720,1531,027,9231,003,771
2011-04-06$47.64$46.0025.5%6.3%19.5%17.8%23.1%4.2%0.5%88.2M-1.76B-16.3M0.584.87N/AN/A72,59342,2891,045,8521,009,049
2011-04-07$47.40$46.0026.4%6.6%17.6%20.3%23.0%4.3%0.5%87.0M-1.64B-16.4M0.574.80N/AN/A68,41238,9011,067,3711,025,445
2011-04-08$46.84$46.0028.5%6.8%18.3%26.2%23.9%4.1%0.4%84.1M-1.38B-16.3M1.075.52N/AN/A50,79654,4601,075,3041,033,625
2011-04-11$46.86$46.0034.0%6.9%17.8%42.1%25.7%3.8%-0.1%70.8M-1.34B-16.4M2.024.54N/AN/A47,73896,2671,072,5501,045,284
2011-04-12$46.64$46.0035.3%7.0%16.9%46.0%25.0%3.5%-0.3%57.0M-1.19B-16.5M1.034.72N/AN/A92,02395,2301,079,2451,103,541
2011-04-13$46.25$46.0022.2%6.3%15.6%8.0%21.9%3.0%1.0%44.6M-942.2M-15.9M0.825.26N/AN/A117,95396,4681,074,8371,122,727
2011-04-14$44.97$46.0021.6%6.2%18.1%6.5%21.6%2.6%1.0%-17.3M-196.6M-15.5M0.914.33N/AN/A121,824110,6751,083,2171,139,441
2011-04-15$44.89$46.0019.8%5.7%15.4%1.2%19.9%2.5%1.5%-25.2M-178.3M-15.4M1.344.74N/AN/A56,34675,6171,105,5691,137,791
2011-04-18$43.96$46.0022.4%6.4%17.0%8.7%22.7%3.7%0.9%2.5M-81.4M-15.3M0.614.69N/AN/A103,78363,425897,111971,784
2011-04-19$44.65$45.0019.0%5.5%18.0%0.0%19.4%2.9%1.3%15.6M-324.9M-15.2M0.865.61N/AN/A41,33635,409907,893994,779
2011-04-20$44.56$45.0019.6%5.6%18.0%1.7%20.2%2.7%1.0%13.5M-288.7M-15.1M0.785.14N/AN/A61,28148,055913,7711,004,149
2011-04-21$44.68$45.0018.4%5.3%18.0%0.0%19.0%2.4%1.2%9.3M-307.5M-15.1M0.793.81N/AN/A44,35535,237924,9211,021,540
2011-04-25$44.61$45.0018.9%5.4%17.9%1.2%19.6%2.7%1.0%9.9M-288.1M-15.0M0.883.61N/AN/A37,53933,213926,0611,024,818
2011-04-26$45.12$45.0019.2%5.5%18.4%2.1%19.8%2.6%0.6%19.9M-501.2M-15.4M0.505.21N/AN/A50,03924,980945,4051,042,796
2011-04-27$45.50$45.0019.0%5.5%18.7%1.7%19.8%2.7%0.6%31.7M-702.4M-14.8M0.433.40N/AN/A55,41723,875953,8951,039,746
2011-04-28$45.85$45.0018.0%5.2%18.6%0.0%18.8%2.4%0.8%38.4M-839.0M-14.7M1.144.16N/AN/A26,46030,289955,6481,040,841
2011-04-29$45.63$45.0017.3%5.3%18.5%0.0%19.3%2.2%0.4%31.2M-737.4M-14.7M1.195.02N/AN/A36,50343,267956,7331,053,518