JPM Options History — September 2011

In September 2011, JPM traded between $29.27 and $36.30. ATM implied volatility averaged 51.7%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 0.4% (HV 20d: 52.1%). Max pain ranged from $33.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.08.

Notable Days

2011-09-22: Highest Volume — 310,520 contracts
2011-09-06: Largest IV spike — 50.6% change
2011-09-30: Highest IV Rank — 57.5%
2011-09-30: Largest Expected Move — 18.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.33	$29.27	$36.30	$36.30	$30.12
Max Pain	$35.52	$33.00	$40.00	$40.00	$33.00
ATM IV	51.7%	39.7%	65.3%	41.4%	65.3%
Expected Move	14.8%	11.7%	18.0%	11.7%	18.0%
HV 20d	52.1%	46.5%	67.3%	65.4%	54.4%
HV 60d	46.9%	42.5%	51.2%	42.5%	51.2%
IV Rank	41.2%	26.9%	57.5%	28.9%	57.5%
IV Percentile	94.6%	88.5%	98.8%	91.3%	98.8%
Term Structure	-1.8%	-5.3%	1.8%	1.8%	-2.8%
VWIV	51.5%	40.6%	59.3%	40.6%	58.9%
Skew 25d	15.3%	10.6%	19.4%	10.6%	19.4%
Skew 10d	31.0%	21.3%	37.0%	21.3%	36.3%
Call IV 25d	44.5%	35.7%	53.9%	35.7%	53.9%
Put IV 25d	59.8%	46.3%	73.3%	46.3%	73.3%
Bid-Ask Spread %	4.15	2.89	6.46	4.91	6.15
Gamma HHI	0.11	0.08	0.15	0.08	0.13
Net GEX	-17.2M	-23.3M	-11.4M	-12.4M	-15.9M
Net DEX	1.58B	1.04B	1.87B	1.04B	1.58B
Net VEX	-9.8M	-12.7M	-7.8M	-12.7M	-8.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.49	1.80	1.80	1.08
Total Volume	145,671.286	77,455	310,520	92,852	158,797
Total OI	2,355,379.286	2,118,990	2,592,505	2,356,318	2,410,237

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
2011-09-01	$36.30	$40.00	41.4%	11.7%	65.4%	28.9%	40.6%	10.6%	1.8%	-12.4M	1.04B	-12.7M	1.80	4.91	N/A	N/A	33,123	59,729	1,163,070	1,193,248
2011-09-02	$34.63	$40.00	39.7%	12.7%	67.3%	26.9%	44.0%	12.0%	1.0%	-18.0M	1.46B	-11.6M	1.39	5.31	N/A	N/A	43,761	60,685	1,159,450	1,192,769
2011-09-06	$33.44	$38.00	59.9%	14.8%	58.7%	51.0%	54.2%	15.9%	-2.4%	-19.1M	1.62B	-10.4M	1.52	3.53	N/A	N/A	55,068	83,451	1,143,971	1,180,471
2011-09-07	$34.82	$38.00	45.3%	13.1%	55.3%	33.5%	45.9%	14.9%	-2.0%	-17.6M	1.39B	-11.3M	0.61	3.65	N/A	N/A	62,460	38,300	1,159,960	1,198,471
2011-09-08	$33.51	$37.00	48.6%	13.9%	53.2%	37.5%	47.4%	15.2%	-2.0%	-20.2M	1.64B	-10.3M	1.20	3.55	N/A	N/A	57,177	68,893	1,174,887	1,202,336
2011-09-09	$32.08	$37.00	64.8%	16.5%	49.0%	57.0%	59.2%	17.3%	-5.3%	-21.2M	1.87B	-9.8M	0.96	3.13	N/A	N/A	95,327	91,763	1,194,493	1,236,964
2011-09-12	$32.42	$35.00	59.9%	16.5%	49.0%	51.1%	55.9%	17.9%	-4.9%	-19.9M	1.77B	-9.9M	0.90	3.56	N/A	N/A	86,797	78,142	1,199,069	1,241,863
2011-09-13	$32.49	$35.00	47.6%	15.6%	47.7%	36.4%	57.9%	16.5%	-4.2%	-19.0M	1.77B	-10.0M	1.32	2.89	N/A	N/A	92,035	121,915	1,221,318	1,263,774
2011-09-14	$32.80	$35.00	42.9%	13.9%	47.6%	30.6%	48.2%	15.7%	-0.8%	-19.5M	1.81B	-10.1M	0.63	3.84	N/A	N/A	78,284	49,681	1,237,184	1,299,662
2011-09-15	$33.81	$35.00	42.3%	12.1%	48.7%	30.0%	43.5%	15.5%	0.3%	-12.6M	1.57B	-10.5M	0.99	3.02	N/A	N/A	64,646	63,957	1,259,903	1,298,268
2011-09-16	$33.43	$35.00	43.8%	12.5%	47.1%	31.7%	46.6%	13.9%	-0.2%	-13.9M	1.69B	-10.2M	1.41	3.47	N/A	N/A	59,019	83,034	1,271,889	1,320,616
2011-09-19	$32.49	$35.00	46.4%	13.3%	47.4%	34.8%	46.8%	13.6%	-0.6%	-17.8M	1.41B	-9.3M	0.49	3.79	N/A	N/A	81,334	39,647	1,012,013	1,106,977
2011-09-20	$32.25	$35.00	45.6%	13.1%	46.5%	33.9%	43.6%	13.1%	-0.6%	-19.8M	1.47B	-9.2M	1.13	3.45	N/A	N/A	36,305	41,150	1,016,882	1,128,809
2011-09-21	$30.34	$35.00	52.2%	15.0%	48.2%	41.8%	49.4%	13.3%	-1.1%	-23.3M	1.75B	-8.1M	0.83	3.90	N/A	N/A	76,121	63,067	1,023,576	1,147,158
2011-09-22	$29.27	$35.00	61.3%	17.6%	47.2%	52.7%	57.5%	15.1%	-3.1%	-20.6M	1.80B	-7.8M	1.25	3.97	N/A	N/A	138,114	172,406	1,048,459	1,156,925
2011-09-23	$29.59	$35.00	59.8%	17.2%	47.8%	51.0%	59.3%	15.5%	-2.6%	-18.3M	1.72B	-8.4M	0.83	3.69	N/A	N/A	92,858	77,442	1,071,533	1,183,490
2011-09-26	$31.65	$34.00	51.0%	14.6%	54.5%	40.4%	52.4%	14.4%	-1.2%	-13.5M	1.35B	-9.5M	0.99	6.46	N/A	N/A	82,290	81,257	1,087,018	1,186,768
2011-09-27	$31.57	$33.00	51.6%	14.8%	51.9%	41.1%	54.0%	16.8%	-1.4%	-11.4M	1.37B	-9.6M	0.96	5.36	N/A	N/A	87,378	83,708	1,114,109	1,220,888
2011-09-28	$30.47	$33.00	59.1%	16.9%	52.7%	50.1%	57.8%	18.2%	-3.0%	-15.4M	1.56B	-8.9M	1.34	4.63	N/A	N/A	37,334	50,131	1,128,327	1,230,799
2011-09-29	$31.39	$33.00	56.4%	16.2%	53.9%	46.8%	57.6%	17.0%	-2.6%	-12.7M	1.42B	-9.3M	1.10	4.93	N/A	N/A	63,167	69,344	1,134,012	1,241,349
2011-09-30	$30.12	$33.00	65.3%	18.0%	54.4%	57.5%	58.9%	19.4%	-2.8%	-15.9M	1.58B	-8.9M	1.08	6.15	N/A	N/A	76,489	82,308	1,153,038	1,257,199