JPM Options History — July 2011

In July 2011, JPM traded between $39.39 and $42.29. ATM implied volatility averaged 29.2%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 5.5% (HV 20d: 23.7%). Max pain ranged from $41.00 to $41.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.97.

Notable Days

2011-07-14: Highest Volume — 267,617 contracts
2011-07-05: Largest IV spike — 43.1% change
2011-07-13: Highest IV Rank — 70.9%
2011-07-29: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.73	$39.39	$42.29	$41.58	$40.45
Max Pain	$41.00	$41.00	$41.00	$41.00	$41.00
ATM IV	29.2%	19.6%	43.3%	19.6%	36.8%
Expected Move	7.6%	6.9%	9.4%	7.2%	9.4%
HV 20d	23.7%	20.3%	26.4%	21.8%	24.7%
HV 60d	21.2%	19.9%	22.3%	19.9%	21.9%
IV Rank	37.6%	6.2%	70.9%	6.2%	70.6%
IV Percentile	56.8%	3.6%	98.8%	3.6%	97.2%
Term Structure	-0.1%	-1.6%	0.9%	-1.3%	-1.6%
VWIV	27.1%	23.4%	33.2%	26.5%	33.1%
Skew 25d	3.9%	3.0%	4.9%	3.8%	4.8%
Skew 10d	8.3%	5.9%	10.8%	7.6%	10.8%
Call IV 25d	25.0%	22.0%	30.7%	24.2%	30.7%
Put IV 25d	28.9%	26.0%	35.5%	28.0%	35.5%
Bid-Ask Spread %	15.70	8.15	18.16	8.15	16.36
Gamma HHI	0.09	0.07	0.45	0.07	0.07
Net GEX	13.8M	-9.4M	101.0M	13.9M	-68.0K
Net DEX	262.6M	-459.3M	841.8M	45.2M	326.2M
Net VEX	-14.1M	-14.8M	-13.0M	-14.4M	-14.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.30	2.51	0.70	1.28
Total Volume	123,254.55	54,855	267,617	100,879	97,480
Total OI	2,140,162.35	1,961,000	2,336,627	2,141,507	2,160,304

Daily Data (20 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
2011-07-01	$41.58	$41.00	19.6%	7.2%	21.8%	6.2%	26.5%	3.8%	-1.3%	13.9M	45.2M	-14.4M	0.70	8.15	N/A	N/A	59,311	41,568	1,060,330	1,081,177
2011-07-05	$41.03	$41.00	28.1%	7.4%	20.3%	29.2%	26.4%	4.3%	-0.4%	7.4M	267.2M	-14.0M	0.99	14.84	N/A	N/A	33,186	33,013	1,063,224	1,058,306
2011-07-06	$40.56	$41.00	31.0%	7.4%	20.7%	37.2%	26.8%	3.7%	-0.3%	1.2M	432.7M	-13.8M	1.00	17.20	N/A	N/A	42,125	42,218	1,074,638	1,064,939
2011-07-07	$41.32	$41.00	29.8%	7.4%	21.5%	33.9%	26.2%	3.5%	-0.4%	16.9M	57.2M	-14.0M	0.90	14.97	N/A	N/A	71,967	64,786	1,089,562	1,069,687
2011-07-08	$40.74	$41.00	30.0%	7.3%	21.5%	34.6%	26.0%	3.1%	-0.1%	7.7M	362.8M	-13.9M	0.44	15.52	N/A	N/A	54,518	24,039	1,104,631	1,084,825
2011-07-11	$39.43	$41.00	41.1%	8.1%	24.4%	64.8%	27.9%	3.0%	-0.3%	-5.7M	821.5M	-13.0M	0.90	18.16	N/A	N/A	92,443	82,858	1,105,068	1,067,032
2011-07-12	$39.39	$41.00	40.9%	8.4%	23.5%	64.2%	28.9%	4.0%	-1.1%	-3.0M	841.8M	-13.2M	0.56	16.46	N/A	N/A	88,161	48,967	1,141,623	1,090,126
2011-07-13	$39.62	$41.00	43.3%	8.1%	23.7%	70.9%	28.2%	3.6%	-1.2%	2.0M	747.6M	-13.3M	0.30	14.41	N/A	N/A	182,359	54,083	1,144,315	1,100,997
2011-07-14	$40.35	$41.00	26.7%	7.6%	23.6%	33.8%	26.5%	3.7%	0.0%	43.7M	386.0M	-13.9M	0.67	16.39	N/A	N/A	160,073	107,544	1,201,404	1,115,445
2011-07-15	$39.98	$41.00	25.2%	7.2%	23.6%	28.7%	25.4%	4.1%	0.7%	101.0M	697.5M	-13.5M	0.98	16.95	N/A	N/A	53,376	52,335	1,203,049	1,133,578
2011-07-18	$39.83	$41.00	26.2%	7.5%	23.3%	32.2%	26.6%	3.6%	0.7%	-9.4M	560.1M	-13.5M	0.60	16.00	N/A	N/A	96,877	58,533	960,122	1,000,878
2011-07-19	$40.39	$41.00	24.1%	6.9%	23.7%	24.7%	23.4%	4.2%	0.9%	-848.4K	347.2M	-13.9M	0.47	16.73	N/A	N/A	62,946	29,370	1,005,927	1,016,161
2011-07-20	$40.96	$41.00	24.3%	7.0%	24.0%	25.4%	24.8%	4.6%	0.9%	9.9M	102.5M	-14.2M	0.78	11.98	N/A	N/A	73,872	57,493	1,030,214	1,020,792
2011-07-21	$42.29	$41.00	24.5%	7.0%	26.4%	26.1%	24.9%	4.3%	0.8%	25.9M	-459.3M	-14.8M	0.70	17.56	N/A	N/A	116,918	81,698	1,045,358	1,022,688
2011-07-22	$42.19	$41.00	23.9%	6.9%	25.7%	23.9%	24.6%	3.6%	0.7%	25.3M	-443.6M	-14.8M	0.85	16.26	N/A	N/A	37,650	32,187	1,073,348	1,040,427
2011-07-25	$41.69	$41.00	25.0%	7.2%	25.4%	27.7%	25.9%	3.5%	0.5%	18.3M	-179.4M	-14.6M	0.68	16.16	N/A	N/A	35,791	24,405	1,050,669	1,021,862
2011-07-26	$41.44	$41.00	26.1%	7.5%	25.5%	31.7%	26.5%	3.3%	0.7%	15.9M	-86.0M	-14.6M	1.64	17.33	N/A	N/A	20,818	34,037	1,057,102	1,028,287
2011-07-27	$40.67	$41.00	28.8%	8.3%	26.3%	41.6%	29.4%	4.3%	-0.2%	3.8M	202.1M	-14.6M	2.44	16.31	N/A	N/A	29,931	73,004	1,056,335	1,036,117
2011-07-28	$40.68	$41.00	29.4%	8.4%	25.0%	43.7%	33.2%	4.9%	-0.5%	1.3M	222.8M	-14.6M	2.51	16.18	N/A	N/A	32,232	80,919	1,060,558	1,062,142
2011-07-29	$40.45	$41.00	36.8%	9.4%	24.7%	70.6%	33.1%	4.8%	-1.6%	-68.0K	326.2M	-14.5M	1.28	16.36	N/A	N/A	42,824	54,656	1,070,903	1,089,401