JPM Options History — November 2011 In November 2011, JPM traded between $28.38 and $35.02. ATM implied volatility averaged 49.9%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 7.9% (HV 20d: 57.8%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.92.
Notable Days 2011-11-23 : Highest Volume — 302,011 contracts2011-11-03 : Largest IV drop — 20.6% change2011-11-01 : Highest IV Rank — 62.6%2011-11-23 : Largest Expected Move — 15.8%Monthly Statistics Metric Avg Min Max Open Close Price $31.68 $28.38 $35.02 $32.71 $30.97 Max Pain $34.29 $33.00 $35.00 $33.00 $33.00 ATM IV 49.9% 41.7% 69.5% 69.5% 54.9% Expected Move 13.5% 11.2% 15.8% 15.2% 13.6% HV 20d 57.8% 45.4% 65.4% 65.1% 51.8% HV 60d 57.0% 55.8% 60.0% 60.0% 58.0% IV Rank 39.1% 29.3% 62.6% 62.6% 45.1% IV Percentile 85.2% 74.2% 97.6% 97.6% 90.5% Term Structure 0.0% -4.1% 2.0% -4.1% 0.6% VWIV 48.0% 41.3% 56.3% 56.3% 48.8% Skew 25d 11.0% 7.9% 14.0% 13.2% 8.0% Skew 10d 24.2% 15.5% 32.8% 28.2% 20.8% Call IV 25d 42.4% 34.2% 50.2% 47.5% 44.8% Put IV 25d 53.4% 45.8% 60.7% 60.7% 52.8% Bid-Ask Spread % 4.25 3.20 5.74 4.82 3.78 Gamma HHI 0.13 0.08 0.21 0.11 0.12 Net GEX -13.4M -35.0M 9.0M -12.6M -5.1M Net DEX 1.28B 495.3M 1.79B 1.14B 1.24B Net VEX -9.0M -10.7M -7.0M -10.1M -8.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.35 1.68 1.37 0.37 Total Volume 117,084.667 48,027 302,011 241,768 182,914 Total OI 2,567,378.524 2,369,147 2,692,947 2,504,112 2,575,428
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 2011-11-01 $32.71 $33.00 69.5% 15.2% 65.1% 62.6% 56.3% 13.2% -4.1% -12.6M 1.14B -10.1M 1.37 4.82 N/A N/A 102,055 139,713 1,167,705 1,336,407 2011-11-02 $33.64 $33.00 59.8% 13.6% 65.4% 50.9% 50.6% 12.2% -2.4% -7.0M 911.0M -10.6M 1.22 3.85 N/A N/A 28,529 34,700 1,188,787 1,374,892 2011-11-03 $34.38 $33.00 47.5% 12.7% 63.7% 36.2% 45.6% 10.8% -0.5% 136.6K 722.2M -10.7M 0.81 4.42 N/A N/A 57,134 46,030 1,196,029 1,378,673 2011-11-04 $33.97 $35.00 43.6% 12.5% 60.5% 31.5% 45.2% 13.4% -0.5% 9.0M 837.5M -10.6M 1.15 4.24 N/A N/A 30,819 35,493 1,203,113 1,389,718 2011-11-07 $34.24 $35.00 48.0% 12.2% 58.0% 36.8% 42.5% 12.7% -0.4% -4.5M 776.8M -10.4M 0.59 5.74 N/A N/A 32,568 19,162 1,179,739 1,371,960 2011-11-08 $35.02 $35.00 41.7% 11.2% 58.4% 29.3% 41.3% 11.7% 0.1% 6.4M 495.3M -10.3M 1.04 4.04 N/A N/A 38,053 39,398 1,192,735 1,377,508 2011-11-09 $32.54 $35.00 50.2% 13.8% 63.8% 39.5% 52.7% 14.0% -1.2% -13.5M 1.18B -9.7M 1.68 4.82 N/A N/A 59,749 100,537 1,199,839 1,379,934 2011-11-10 $32.74 $35.00 46.7% 13.4% 61.2% 35.3% 46.8% 13.6% -0.6% -11.8M 1.15B -9.7M 1.00 4.84 N/A N/A 50,182 50,109 1,209,639 1,401,883 2011-11-11 $33.28 $35.00 43.9% 12.6% 61.4% 31.8% 44.3% 12.3% 0.5% -10.1M 1.03B -9.8M 0.74 4.15 N/A N/A 53,904 39,769 1,218,035 1,405,488 2011-11-14 $32.55 $35.00 43.4% 12.4% 61.1% 31.3% 46.5% 8.6% 0.4% -14.0M 1.21B -9.2M 1.06 4.56 N/A N/A 57,511 61,198 1,215,160 1,401,919 2011-11-15 $32.70 $35.00 42.7% 12.2% 57.6% 30.5% 44.4% 8.9% 0.8% -13.3M 1.17B -9.3M 0.91 3.68 N/A N/A 44,724 40,791 1,218,543 1,424,609 2011-11-16 $31.47 $35.00 47.5% 13.6% 58.8% 36.3% 47.5% 10.7% 0.1% -24.1M 1.46B -8.8M 1.55 4.71 N/A N/A 43,533 67,378 1,229,636 1,428,987 2011-11-17 $30.49 $35.00 51.2% 14.7% 58.7% 40.6% 51.2% 11.8% -0.5% -35.0M 1.69B -8.4M 1.00 3.98 N/A N/A 62,694 62,906 1,234,798 1,443,819 2011-11-18 $30.62 $35.00 44.7% 12.8% 58.6% 32.8% 45.0% 10.5% 2.0% -22.4M 1.65B -8.2M 0.84 3.20 N/A N/A 55,459 46,422 1,258,114 1,434,833 2011-11-21 $29.91 $35.00 47.0% 13.5% 57.2% 35.6% 47.5% 11.6% 2.0% -22.4M 1.63B -7.7M 0.56 3.45 N/A N/A 77,640 43,273 1,096,681 1,272,466 2011-11-22 $29.41 $34.00 46.8% 13.4% 56.6% 35.3% 45.8% 10.2% 2.0% -22.2M 1.71B -7.4M 1.04 3.41 N/A N/A 36,484 38,052 1,121,608 1,282,138 2011-11-23 $28.38 $34.00 55.0% 15.8% 56.6% 45.1% 52.5% 10.0% -0.7% -22.5M 1.79B -7.2M 0.35 4.77 N/A N/A 224,230 77,781 1,132,622 1,294,179 2011-11-25 $28.48 $34.00 53.9% 15.6% 46.1% 43.9% 52.6% 9.5% -0.1% -18.0M 1.74B -7.3M 0.37 3.98 N/A N/A 35,011 13,016 1,265,674 1,308,005 2011-11-28 $29.16 $33.00 54.3% 14.3% 47.9% 44.3% 50.4% 7.9% 1.6% -18.0M 1.64B -7.4M 1.16 5.22 N/A N/A 71,202 82,340 1,229,284 1,295,211 2011-11-29 $28.56 $33.00 55.9% 14.3% 45.4% 46.3% 50.4% 8.8% 0.7% -19.4M 1.75B -7.0M 0.43 3.50 N/A N/A 53,268 23,047 1,272,362 1,306,789 2011-11-30 $30.97 $33.00 54.9% 13.6% 51.8% 45.1% 48.8% 8.0% 0.6% -5.1M 1.24B -8.3M 0.37 3.78 N/A N/A 133,746 49,168 1,287,029 1,288,399
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