JPM Options History — August 2011

In August 2011, JPM traded between $33.41 and $40.44. ATM implied volatility averaged 51.2%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 1.5% (HV 20d: 52.7%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.10.

Notable Days

2011-08-08: Highest Volume — 358,649 contracts
2011-08-08: Largest IV spike — 120.5% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 19.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.54	$33.41	$40.44	$40.44	$37.56
Max Pain	$40.74	$40.00	$42.00	$41.00	$40.00
ATM IV	51.2%	34.5%	100.7%	38.4%	45.4%
Expected Move	13.1%	8.2%	19.4%	9.0%	10.4%
HV 20d	52.7%	23.8%	66.8%	24.0%	66.8%
HV 60d	35.6%	21.9%	42.0%	21.9%	41.9%
IV Rank	52.8%	26.9%	100.0%	76.3%	33.7%
IV Percentile	97.2%	93.7%	100.0%	97.6%	94.8%
Term Structure	-1.9%	-8.6%	2.2%	-1.0%	2.2%
VWIV	46.9%	29.3%	65.2%	31.3%	37.7%
Skew 25d	13.8%	4.5%	20.8%	5.2%	10.5%
Skew 10d	29.5%	9.1%	44.6%	11.7%	21.4%
Call IV 25d	40.2%	27.0%	58.6%	29.0%	33.6%
Put IV 25d	54.0%	31.5%	78.0%	34.2%	44.1%
Bid-Ask Spread %	7.25	3.73	17.40	17.22	4.59
Gamma HHI	0.08	0.06	0.10	0.07	0.07
Net GEX	-12.2M	-22.3M	-452.7K	-452.7K	-4.0M
Net DEX	1.16B	330.7M	1.86B	330.7M	675.7M
Net VEX	-12.9M	-14.3M	-10.8M	-14.2M	-13.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.10	0.63	1.74	0.83	0.63
Total Volume	166,065.696	61,132	358,649	115,827	61,132
Total OI	2,338,972.13	2,162,203	2,538,329	2,162,203	2,342,319

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
2011-08-01	$40.44	$41.00	38.4%	9.0%	24.0%	76.3%	31.3%	5.2%	-1.0%	-452.7K	330.7M	-14.2M	0.83	17.22	N/A	N/A	63,356	52,471	1,068,728	1,093,475
2011-08-02	$39.84	$41.00	40.6%	8.9%	24.1%	84.3%	31.7%	5.0%	-0.7%	-7.4M	549.9M	-14.0M	0.73	15.97	N/A	N/A	42,640	31,315	1,088,120	1,110,793
2011-08-03	$39.90	$41.00	34.5%	8.2%	23.8%	62.4%	29.3%	4.5%	0.3%	-9.0M	548.7M	-14.0M	1.16	16.93	N/A	N/A	54,413	63,030	1,093,686	1,120,729
2011-08-04	$37.92	$41.00	46.0%	11.8%	28.6%	100.0%	42.0%	7.1%	-2.9%	-20.5M	1.13B	-13.5M	1.41	17.40	N/A	N/A	87,254	122,832	1,097,906	1,126,826
2011-08-05	$37.60	$42.00	45.7%	11.4%	28.4%	99.0%	41.6%	11.9%	-0.9%	-19.7M	1.22B	-13.6M	1.55	5.10	N/A	N/A	103,069	160,193	1,115,231	1,145,798
2011-08-08	$34.06	$42.00	100.7%	19.4%	43.2%	100.0%	65.2%	19.5%	-8.6%	-14.5M	1.58B	-12.3M	1.43	4.60	N/A	N/A	147,752	210,897	1,126,305	1,147,730
2011-08-09	$36.40	$42.00	68.7%	14.3%	50.5%	61.6%	51.0%	15.9%	-4.0%	-18.0M	1.37B	-13.1M	0.87	9.60	N/A	N/A	154,243	134,741	1,162,070	1,167,975
2011-08-10	$34.37	$42.00	80.1%	18.2%	53.7%	75.3%	64.1%	18.6%	-8.3%	-14.5M	1.60B	-12.4M	1.27	4.49	N/A	N/A	103,772	132,177	1,202,292	1,193,138
2011-08-11	$36.69	$41.00	55.0%	15.8%	59.0%	45.2%	55.8%	19.4%	-4.4%	-8.1M	1.12B	-14.3M	0.85	4.47	N/A	N/A	122,854	104,076	1,229,970	1,227,287
2011-08-12	$35.91	$41.00	54.4%	15.6%	59.3%	44.5%	53.7%	17.9%	-3.8%	-2.2M	1.34B	-13.2M	0.90	4.75	N/A	N/A	91,461	81,938	1,241,972	1,221,223
2011-08-15	$36.88	$41.00	42.7%	12.2%	60.4%	30.4%	47.6%	13.6%	-0.6%	-19.4M	1.26B	-12.9M	1.42	4.93	N/A	N/A	64,505	91,466	1,221,570	1,218,055
2011-08-16	$36.03	$41.00	44.3%	12.7%	60.4%	32.3%	45.4%	13.4%	-1.5%	-18.6M	1.52B	-12.2M	1.29	5.65	N/A	N/A	58,426	75,616	1,232,016	1,245,882
2011-08-17	$36.57	$41.00	39.8%	11.4%	60.4%	26.9%	39.6%	11.7%	0.1%	-22.3M	1.44B	-12.6M	0.91	5.51	N/A	N/A	51,968	47,313	1,236,371	1,270,530
2011-08-18	$35.19	$40.00	51.0%	14.6%	59.8%	40.4%	47.9%	17.3%	-3.8%	-16.8M	1.68B	-12.1M	1.04	5.45	N/A	N/A	86,260	89,406	1,247,719	1,258,040
2011-08-19	$34.35	$40.00	54.8%	15.7%	59.9%	44.9%	54.6%	19.5%	-4.5%	-16.0M	1.86B	-11.5M	1.15	5.99	N/A	N/A	71,664	82,636	1,268,481	1,269,848
2011-08-22	$33.41	$40.00	53.9%	15.4%	60.3%	43.8%	53.7%	20.8%	-1.1%	-16.6M	1.55B	-10.8M	1.03	5.05	N/A	N/A	69,523	71,847	1,077,959	1,100,992
2011-08-23	$34.78	$40.00	47.8%	13.7%	62.9%	36.5%	49.7%	18.3%	-0.7%	-13.9M	1.35B	-11.8M	1.17	5.12	N/A	N/A	76,907	89,958	1,094,584	1,134,100
2011-08-24	$35.83	$40.00	45.0%	12.9%	64.3%	33.1%	47.2%	16.4%	-0.0%	-8.9M	1.09B	-12.7M	0.78	5.63	N/A	N/A	69,192	54,217	1,116,171	1,153,175
2011-08-25	$35.72	$40.00	50.3%	14.4%	64.2%	39.5%	51.8%	17.9%	-2.3%	-7.0M	1.07B	-12.9M	0.99	5.27	N/A	N/A	109,093	108,142	1,135,140	1,172,024
2011-08-26	$36.21	$40.00	48.5%	13.4%	64.6%	37.4%	47.7%	13.9%	-0.1%	-11.2M	958.6M	-13.1M	0.80	3.73	N/A	N/A	75,786	60,609	1,162,954	1,207,131
2011-08-29	$37.64	$40.00	44.3%	11.1%	66.5%	32.3%	46.1%	10.2%	1.1%	-6.0M	672.9M	-13.6M	1.26	4.22	N/A	N/A	51,422	64,872	1,135,889	1,186,308
2011-08-30	$37.06	$40.00	45.4%	11.2%	66.5%	33.6%	42.9%	9.8%	1.6%	-6.7M	807.2M	-13.2M	1.74	5.03	N/A	N/A	26,627	46,440	1,148,059	1,179,788
2011-08-31	$37.56	$40.00	45.4%	10.4%	66.8%	33.7%	37.7%	10.5%	2.2%	-4.0M	675.7M	-13.4M	0.63	4.59	N/A	N/A	37,506	23,626	1,154,977	1,187,342