JPM Options History — October 2011

In October 2011, JPM traded between $28.65 and $37.02. ATM implied volatility averaged 52.6%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 9.0% (HV 20d: 61.6%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.08.

Notable Days

2011-10-13: Highest Volume — 339,921 contracts
2011-10-31: Largest IV spike — 45.8% change
2011-10-03: Highest IV Rank — 76.9%
2011-10-03: Largest Expected Move — 20.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.74	$28.65	$37.02	$28.65	$34.76
Max Pain	$32.43	$32.00	$33.00	$33.00	$33.00
ATM IV	52.6%	32.5%	81.5%	81.5%	47.4%
Expected Move	13.8%	9.1%	20.9%	20.9%	11.7%
HV 20d	61.6%	54.7%	67.6%	54.7%	62.7%
HV 60d	57.4%	52.0%	62.1%	52.0%	62.1%
IV Rank	42.4%	18.2%	76.9%	76.9%	36.0%
IV Percentile	87.3%	69.0%	99.6%	99.6%	86.9%
Term Structure	-1.6%	-5.9%	0.7%	-5.9%	-1.3%
VWIV	49.6%	33.6%	70.0%	70.0%	41.3%
Skew 25d	13.7%	7.6%	19.8%	19.7%	8.3%
Skew 10d	28.8%	15.6%	41.2%	36.9%	18.6%
Call IV 25d	42.0%	29.2%	65.1%	65.1%	37.6%
Put IV 25d	55.7%	36.8%	84.8%	84.8%	45.8%
Bid-Ask Spread %	3.98	3.10	6.76	4.02	4.77
Gamma HHI	0.10	0.07	0.14	0.13	0.09
Net GEX	-5.7M	-18.5M	11.2M	-16.1M	-849.0K
Net DEX	1.00B	-99.7M	1.74B	1.74B	613.1M
Net VEX	-9.9M	-10.8M	-8.4M	-8.4M	-10.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.63	2.07	0.79	1.15
Total Volume	162,212.524	77,538	339,921	141,782	120,543
Total OI	2,541,405.619	2,364,723	2,763,281	2,422,273	2,463,105

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
2011-10-03	$28.65	$33.00	81.5%	20.9%	54.7%	76.9%	70.0%	19.7%	-5.9%	-16.1M	1.74B	-8.4M	0.79	4.02	N/A	N/A	79,118	62,664	1,152,341	1,269,932
2011-10-04	$30.26	$33.00	72.3%	18.6%	58.3%	65.9%	67.8%	18.8%	-3.7%	-13.5M	1.50B	-9.2M	1.06	6.76	N/A	N/A	85,577	90,992	1,157,114	1,264,196
2011-10-05	$30.84	$33.00	75.1%	16.9%	56.6%	69.3%	59.1%	17.6%	-2.9%	-9.8M	1.37B	-9.3M	0.85	3.29	N/A	N/A	89,893	76,510	1,182,093	1,268,886
2011-10-06	$32.38	$33.00	60.2%	15.5%	58.4%	51.4%	55.8%	18.1%	-2.4%	-2.8M	1.04B	-9.9M	0.66	3.96	N/A	N/A	114,210	75,553	1,194,047	1,287,540
2011-10-07	$30.70	$32.00	62.1%	15.8%	59.4%	53.7%	56.7%	19.8%	-1.9%	-13.8M	1.42B	-9.2M	0.98	3.84	N/A	N/A	94,509	92,550	1,213,513	1,301,111
2011-10-10	$32.30	$32.00	69.3%	15.1%	62.2%	62.4%	58.1%	19.0%	-4.3%	-8.0M	1.10B	-9.8M	0.76	3.19	N/A	N/A	89,039	67,556	1,205,370	1,282,093
2011-10-11	$32.30	$32.00	75.6%	15.4%	62.2%	70.0%	53.3%	19.4%	-3.2%	-6.5M	1.10B	-9.8M	1.75	3.32	N/A	N/A	36,848	64,601	1,232,400	1,299,973
2011-10-12	$33.20	$32.00	55.0%	14.4%	62.9%	45.2%	50.3%	16.1%	-2.6%	-1.4M	871.1M	-10.4M	1.28	5.21	N/A	N/A	122,530	156,453	1,237,510	1,323,792
2011-10-13	$31.60	$32.00	46.0%	13.2%	64.3%	34.4%	47.8%	11.7%	-0.5%	-18.5M	1.35B	-9.3M	1.53	3.82	N/A	N/A	134,607	205,314	1,254,821	1,358,719
2011-10-14	$31.89	$32.00	43.9%	12.6%	64.3%	31.9%	45.3%	11.3%	-0.6%	-16.3M	1.32B	-9.4M	1.26	3.29	N/A	N/A	65,253	82,463	1,290,527	1,433,021
2011-10-17	$31.04	$32.00	46.0%	13.2%	64.3%	34.3%	47.7%	10.7%	-0.8%	-18.4M	1.50B	-9.0M	2.07	3.48	N/A	N/A	41,040	84,996	1,241,070	1,405,029
2011-10-18	$32.87	$32.00	43.8%	12.6%	67.6%	31.7%	45.3%	10.8%	-1.0%	-3.3M	1.01B	-9.9M	0.70	3.65	N/A	N/A	113,652	79,038	1,247,301	1,434,658
2011-10-19	$32.25	$32.00	47.8%	13.7%	64.0%	36.5%	50.3%	11.9%	-0.8%	-7.0M	1.18B	-10.0M	1.54	3.25	N/A	N/A	53,062	81,962	1,273,384	1,427,925
2011-10-20	$33.13	$32.00	45.3%	13.0%	62.8%	33.6%	49.8%	11.2%	-0.6%	2.5M	958.1M	-10.4M	1.08	3.76	N/A	N/A	65,618	70,696	1,277,252	1,450,364
2011-10-21	$33.42	$32.00	45.7%	13.1%	62.8%	34.0%	45.5%	12.6%	-1.4%	2.4M	830.6M	-10.4M	0.70	3.72	N/A	N/A	72,125	50,421	1,294,516	1,468,765
2011-10-24	$34.57	$32.00	38.3%	11.0%	59.5%	25.2%	41.1%	11.0%	-0.2%	-2.2M	625.1M	-10.3M	0.63	3.10	N/A	N/A	71,064	44,609	1,108,519	1,256,204
2011-10-25	$33.49	$33.00	44.1%	12.6%	60.9%	32.1%	44.1%	12.2%	-1.1%	-6.1M	889.6M	-10.0M	1.25	3.98	N/A	N/A	34,501	43,037	1,135,282	1,274,598
2011-10-26	$34.18	$33.00	39.8%	11.4%	59.4%	27.0%	42.7%	11.1%	0.1%	-357.7K	705.0M	-10.1M	1.09	3.93	N/A	N/A	41,107	44,957	1,140,516	1,286,490
2011-10-27	$37.02	$33.00	33.9%	9.7%	64.5%	19.8%	36.7%	9.0%	0.5%	11.2M	-99.7M	-10.8M	0.65	5.00	N/A	N/A	196,731	128,724	1,153,027	1,306,636
2011-10-28	$36.69	$33.00	32.5%	9.1%	62.2%	18.2%	33.6%	7.6%	0.7%	9.8M	-6.1M	-10.7M	0.84	4.19	N/A	N/A	44,849	37,491	1,186,057	1,329,821
2011-10-31	$34.76	$33.00	47.4%	11.7%	62.7%	36.0%	41.3%	8.3%	-1.3%	-849.0K	613.1M	-10.5M	1.15	4.77	N/A	N/A	56,179	64,364	1,154,720	1,308,385