JPM Options History — June 2011 In June 2011, JPM traded between $39.49 and $41.76. ATM implied volatility averaged 29.1%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 7.6% (HV 20d: 21.5%). Max pain ranged from $41.00 to $44.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.86.
Notable Days 2011-06-30 : Highest Volume — 240,034 contracts2011-06-06 : Largest IV spike — 36.8% change2011-06-28 : Highest IV Rank — 48.9%2011-06-24 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $40.74 $39.49 $41.76 $41.76 $40.94 Max Pain $42.41 $41.00 $44.00 $44.00 $41.00 ATM IV 29.1% 21.5% 35.2% 31.6% 21.5% Expected Move 8.0% 6.8% 9.3% 6.8% 7.4% HV 20d 21.5% 20.4% 22.2% 20.5% 21.0% HV 60d 19.3% 18.3% 20.2% 20.2% 20.2% IV Rank 32.1% 11.5% 48.9% 38.8% 11.5% IV Percentile 61.7% 7.9% 93.3% 73.8% 7.9% Term Structure -1.1% -2.5% 0.8% 0.8% -1.3% VWIV 28.4% 24.7% 31.1% 24.7% 26.3% Skew 25d 5.7% 2.3% 7.6% 4.5% 2.3% Skew 10d 12.0% 5.0% 17.1% 9.4% 5.0% Call IV 25d 26.1% 22.5% 29.6% 22.5% 25.6% Put IV 25d 31.8% 27.0% 35.7% 27.0% 27.9% Bid-Ask Spread % 7.51 3.85 10.58 8.22 6.22 Gamma HHI 0.08 0.07 0.10 0.07 0.07 Net GEX -17.9M -33.1M 8.2M -23.5M 8.2M Net DEX 744.7M 385.4M 1.08B 645.3M 385.4M Net VEX -13.6M -14.2M -13.1M -13.1M -14.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.19 1.55 1.14 0.19 Total Volume 122,460.636 69,877 240,034 166,257 240,034 Total OI 2,131,698.045 1,883,554 2,358,808 2,055,986 2,130,826
Daily Data (22 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 2011-06-01 $41.76 $44.00 31.6% 6.8% 20.5% 38.8% 24.7% 4.5% 0.8% -23.5M 645.3M -13.1M 1.14 8.22 N/A N/A 77,797 88,460 955,690 1,100,296 2011-06-02 $41.61 $44.00 26.5% 7.2% 20.5% 25.0% 26.5% 5.0% 0.2% -22.9M 678.7M -13.4M 1.11 8.76 N/A N/A 73,112 81,127 989,540 1,115,988 2011-06-03 $41.57 $43.00 23.9% 7.2% 20.5% 18.0% 26.1% 5.7% -0.6% -23.0M 710.1M -13.6M 0.82 7.46 N/A N/A 60,108 49,142 1,004,749 1,151,714 2011-06-06 $40.53 $43.00 32.7% 8.0% 21.8% 42.0% 28.0% 5.8% -1.0% -31.7M 1.01B -13.2M 0.99 5.61 N/A N/A 72,473 71,462 1,003,128 1,146,463 2011-06-07 $40.72 $43.00 30.6% 7.7% 22.1% 36.3% 26.6% 5.5% -0.7% -30.4M 966.3M -13.2M 0.76 7.00 N/A N/A 41,993 31,909 1,026,721 1,161,893 2011-06-08 $40.39 $43.00 28.4% 8.3% 21.8% 30.1% 28.7% 6.1% -1.5% -33.1M 1.08B -13.2M 0.84 7.05 N/A N/A 41,392 34,607 1,031,731 1,163,011 2011-06-09 $40.98 $43.00 26.5% 7.6% 22.1% 24.9% 26.9% 5.7% -0.8% -29.6M 888.1M -13.1M 1.23 4.96 N/A N/A 57,225 70,259 1,033,347 1,166,366 2011-06-10 $41.05 $43.00 27.7% 8.0% 22.2% 28.4% 28.7% 6.1% -1.4% -25.3M 839.0M -13.5M 0.60 7.65 N/A N/A 137,238 82,328 1,059,398 1,196,382 2011-06-13 $41.67 $43.00 26.3% 7.5% 22.1% 24.4% 27.3% 6.2% -0.8% -16.4M 551.1M -14.0M 0.91 7.91 N/A N/A 37,960 34,617 1,095,156 1,194,794 2011-06-14 $41.60 $43.00 25.6% 7.3% 22.0% 22.4% 26.2% 5.8% -0.9% -16.8M 591.9M -13.8M 1.10 8.15 N/A N/A 45,898 50,632 1,094,436 1,196,964 2011-06-15 $40.68 $43.00 29.1% 8.3% 21.4% 32.1% 29.1% 6.1% -1.2% -28.5M 932.0M -13.8M 0.71 6.97 N/A N/A 96,493 68,176 1,104,989 1,207,133 2011-06-16 $40.36 $42.00 31.2% 9.0% 21.2% 37.9% 31.1% 7.6% -1.5% -24.9M 923.7M -13.8M 1.55 8.22 N/A N/A 54,376 84,422 1,136,492 1,199,801 2011-06-17 $40.80 $42.00 28.6% 8.2% 21.8% 30.8% 29.4% 7.1% -0.5% -16.1M 783.7M -14.0M 1.14 7.00 N/A N/A 59,891 68,106 1,147,210 1,211,598 2011-06-20 $40.48 $42.00 29.8% 8.5% 21.0% 34.0% 30.8% 6.9% -1.2% -13.9M 648.1M -13.8M 0.87 5.61 N/A N/A 37,336 32,541 903,975 979,579 2011-06-21 $40.91 $42.00 28.7% 8.2% 21.2% 30.9% 28.7% 6.6% -1.7% -9.9M 509.3M -13.8M 0.72 7.97 N/A N/A 64,936 47,071 918,909 988,337 2011-06-22 $40.69 $42.00 27.3% 7.8% 21.2% 27.1% 28.2% 6.4% -0.6% -9.3M 533.4M -13.8M 0.77 8.62 N/A N/A 50,436 38,955 949,738 996,084 2011-06-23 $40.07 $42.00 29.9% 8.6% 21.7% 34.2% 29.8% 5.8% -1.2% -17.2M 725.2M -13.9M 1.06 10.58 N/A N/A 56,944 60,415 966,635 1,008,157 2011-06-24 $39.49 $42.00 31.6% 9.3% 22.0% 39.1% 31.1% 5.7% -2.2% -11.9M 863.3M -13.7M 1.07 8.65 N/A N/A 42,690 45,614 988,105 1,026,320 2011-06-27 $39.88 $41.00 34.7% 8.9% 22.1% 47.3% 30.4% 5.7% -1.9% -10.0M 744.0M -13.8M 0.34 9.69 N/A N/A 56,311 19,394 986,563 1,018,692 2011-06-28 $39.54 $41.00 35.2% 8.8% 21.5% 48.9% 30.3% 4.2% -2.5% -10.7M 840.3M -13.2M 0.41 9.02 N/A N/A 90,257 37,345 1,004,335 1,025,244 2011-06-29 $40.45 $41.00 32.9% 8.5% 20.4% 42.4% 29.6% 4.1% -2.3% 3.2M 538.0M -14.1M 0.68 3.85 N/A N/A 61,182 41,470 1,057,661 1,053,207 2011-06-30 $40.94 $41.00 21.5% 7.4% 21.0% 11.5% 26.3% 2.3% -1.3% 8.2M 385.4M -14.2M 0.19 6.22 N/A N/A 202,336 37,698 1,064,185 1,066,641
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