JPM Options History — May 2011

In May 2011, JPM traded between $42.27 and $45.92. ATM implied volatility averaged 21.8%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.6% (HV 20d: 18.2%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.11.

Notable Days

2011-05-13: Highest Volume — 185,002 contracts
2011-05-31: Largest IV spike — 30.6% change
2011-05-13: Highest IV Rank — 18.4%
2011-05-13: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.90	$42.27	$45.92	$45.18	$43.24
Max Pain	$44.24	$44.00	$46.00	$45.00	$44.00
ATM IV	21.8%	17.4%	24.1%	21.0%	22.8%
Expected Move	6.2%	5.5%	6.9%	5.9%	5.6%
HV 20d	18.2%	17.3%	19.8%	18.7%	18.5%
HV 60d	20.5%	19.0%	21.9%	21.9%	19.0%
IV Rank	12.2%	0.3%	18.4%	9.9%	14.9%
IV Percentile	9.3%	0.4%	20.2%	4.8%	15.5%
Term Structure	1.9%	0.1%	3.1%	0.1%	2.9%
VWIV	21.8%	19.5%	23.6%	20.9%	19.5%
Skew 25d	3.9%	2.8%	5.0%	2.8%	4.0%
Skew 10d	8.8%	5.5%	11.8%	5.5%	10.4%
Call IV 25d	20.1%	17.6%	22.5%	19.8%	17.6%
Put IV 25d	24.0%	21.6%	27.0%	22.6%	21.6%
Bid-Ask Spread %	5.39	3.93	7.07	5.96	5.71
Gamma HHI	0.09	0.07	0.28	0.09	0.08
Net GEX	-5.2M	-70.4M	37.6M	23.5M	-7.2M
Net DEX	-38.3M	-858.7M	485.3M	-554.0M	116.8M
Net VEX	-14.5M	-15.7M	-13.1M	-14.8M	-13.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.46	1.65	1.23	1.27
Total Volume	88,004.714	41,560	185,002	59,089	66,692
Total OI	2,088,091.238	1,939,757	2,206,485	2,043,922	2,048,744

Daily Data (21 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
2011-05-02	$45.18	$45.00	21.0%	5.9%	18.7%	9.9%	20.9%	2.8%	0.1%	23.5M	-554.0M	-14.8M	1.23	5.96	N/A	N/A	26,469	32,620	982,266	1,061,656
2011-05-03	$45.92	$45.00	21.5%	5.8%	19.7%	11.5%	20.9%	3.2%	0.5%	37.6M	-858.7M	-15.1M	0.63	3.93	N/A	N/A	56,246	35,170	991,519	1,068,131
2011-05-04	$45.50	$46.00	23.4%	5.9%	19.8%	16.6%	21.9%	2.9%	1.0%	25.6M	-619.5M	-15.7M	1.56	4.68	N/A	N/A	16,222	25,338	994,064	1,077,193
2011-05-05	$45.17	$45.00	21.6%	5.9%	17.8%	11.8%	21.5%	3.3%	1.2%	17.6M	-516.5M	-15.7M	1.17	4.82	N/A	N/A	33,003	38,603	995,674	1,078,214
2011-05-06	$45.04	$44.00	20.9%	6.2%	17.8%	9.6%	22.2%	4.1%	2.2%	-3.6M	-435.8M	-15.4M	1.41	4.63	N/A	N/A	39,535	55,715	991,679	1,082,748
2011-05-09	$44.96	$44.00	22.1%	6.3%	17.4%	13.1%	22.2%	3.9%	1.9%	14.6M	-407.5M	-15.1M	0.46	5.07	N/A	N/A	62,444	28,758	990,947	1,079,089
2011-05-10	$45.16	$44.00	21.0%	6.0%	17.5%	9.9%	21.7%	3.7%	2.3%	25.8M	-565.1M	-15.2M	1.13	4.78	N/A	N/A	21,630	24,424	1,012,956	1,085,234
2011-05-11	$44.23	$44.00	21.6%	6.3%	18.8%	11.6%	22.1%	3.8%	2.1%	-1.9M	-111.5M	-14.8M	1.64	6.24	N/A	N/A	35,343	57,853	1,015,178	1,092,532
2011-05-12	$44.09	$44.00	22.0%	6.3%	18.7%	12.7%	23.2%	4.0%	2.3%	-8.6M	-28.7M	-14.8M	1.54	5.89	N/A	N/A	38,776	59,716	1,021,722	1,098,841
2011-05-13	$43.15	$44.00	24.1%	6.9%	17.6%	18.4%	23.4%	5.0%	1.7%	-25.5M	353.8M	-14.5M	1.05	5.00	N/A	N/A	90,297	94,705	1,027,729	1,115,095
2011-05-16	$42.88	$44.00	24.0%	6.9%	17.6%	18.3%	23.6%	4.5%	1.6%	-22.5M	389.3M	-14.4M	1.05	5.88	N/A	N/A	34,901	36,542	1,058,295	1,116,176
2011-05-17	$43.81	$44.00	22.4%	6.4%	18.1%	13.8%	23.2%	4.3%	1.7%	-9.3M	65.3M	-14.5M	0.64	5.71	N/A	N/A	83,969	53,868	1,046,526	1,125,703
2011-05-18	$44.08	$44.00	20.6%	5.9%	17.3%	9.0%	21.4%	3.6%	2.4%	-5.6M	-29.2M	-14.4M	1.60	5.50	N/A	N/A	32,283	51,777	1,055,134	1,130,820
2011-05-19	$44.00	$44.00	20.1%	5.8%	17.3%	7.6%	19.9%	3.6%	2.7%	-9.4M	15.7M	-14.3M	1.65	6.01	N/A	N/A	19,824	32,665	1,052,829	1,133,878
2011-05-20	$43.13	$44.00	21.9%	6.3%	18.6%	12.5%	22.8%	4.6%	1.9%	-70.4M	370.2M	-14.0M	1.35	6.05	N/A	N/A	60,105	81,092	1,062,796	1,143,689
2011-05-23	$42.55	$44.00	22.0%	6.3%	19.0%	12.9%	22.7%	4.3%	1.9%	-17.6M	392.6M	-13.6M	0.82	5.33	N/A	N/A	41,997	34,532	903,025	1,036,732
2011-05-24	$42.34	$44.00	23.6%	6.8%	18.3%	17.2%	23.4%	4.8%	1.4%	-20.5M	466.0M	-13.5M	0.93	7.07	N/A	N/A	85,592	79,219	914,256	1,051,853
2011-05-25	$42.27	$44.00	22.9%	6.6%	17.8%	15.2%	22.6%	4.2%	1.7%	-23.1M	485.3M	-13.6M	0.71	5.54	N/A	N/A	36,409	25,991	936,420	1,087,233
2011-05-26	$42.45	$44.00	20.4%	5.9%	17.6%	8.4%	19.5%	3.4%	2.9%	-17.1M	399.4M	-13.5M	0.72	4.01	N/A	N/A	28,750	20,586	942,519	1,091,413
2011-05-27	$42.79	$44.00	17.4%	5.5%	18.1%	0.3%	19.6%	3.5%	3.1%	-11.3M	268.4M	-13.6M	0.68	5.31	N/A	N/A	40,727	27,711	953,870	1,095,538
2011-05-31	$43.24	$44.00	22.8%	5.6%	18.5%	14.9%	19.5%	4.0%	2.9%	-7.2M	116.8M	-13.1M	1.27	5.71	N/A	N/A	29,427	37,265	949,899	1,098,845