JPM Options History — December 2011

In December 2011, JPM traded between $30.46 and $34.00. ATM implied volatility averaged 44.1%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 10.1% (HV 20d: 54.1%). Max pain ranged from $33.00 to $39.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.99.

Notable Days

2011-12-02: Highest Volume — 307,009 contracts
2011-12-09: Largest IV drop — 18.3% change
2011-12-06: Highest IV Rank — 47.7%
2011-12-02: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.48	$30.46	$34.00	$30.46	$33.25
Max Pain	$37.14	$33.00	$39.00	$33.00	$37.50
ATM IV	44.1%	32.5%	57.1%	50.9%	32.5%
Expected Move	12.0%	9.8%	13.8%	13.6%	10.7%
HV 20d	54.1%	47.0%	56.5%	50.6%	47.0%
HV 60d	57.7%	54.5%	59.6%	57.4%	54.5%
IV Rank	32.1%	18.2%	47.7%	40.3%	18.2%
IV Percentile	71.6%	52.4%	92.5%	86.1%	52.4%
Term Structure	0.4%	-3.0%	2.2%	-0.3%	1.3%
VWIV	42.7%	36.0%	49.0%	47.4%	36.9%
Skew 25d	8.8%	6.7%	12.1%	7.3%	6.7%
Skew 10d	18.5%	13.2%	26.7%	14.9%	14.7%
Call IV 25d	37.9%	31.5%	44.7%	44.2%	34.5%
Put IV 25d	46.7%	40.4%	52.8%	51.6%	41.2%
Bid-Ask Spread %	3.86	2.97	5.11	3.42	3.65
Gamma HHI	0.13	0.10	0.15	0.14	0.10
Net GEX	-1.6M	-16.2M	19.6M	-7.4M	-2.9M
Net DEX	907.2M	318.5M	1.36B	1.36B	780.2M
Net VEX	-7.9M	-9.2M	-6.9M	-7.8M	-7.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.47	2.28	0.70	0.56
Total Volume	116,922.048	44,241	307,009	90,381	52,655
Total OI	2,509,866.81	2,183,651	2,739,575	2,617,058	2,317,949

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
2011-12-01	$30.46	$33.00	50.9%	13.6%	50.6%	40.3%	47.4%	7.3%	-0.3%	-7.4M	1.36B	-7.8M	0.70	3.42	N/A	N/A	53,286	37,095	1,318,077	1,298,981
2011-12-02	$32.33	$33.00	48.4%	13.8%	54.9%	37.3%	47.7%	8.1%	-3.0%	4.1M	804.2M	-8.7M	0.62	4.56	N/A	N/A	189,574	117,435	1,327,639	1,295,709
2011-12-05	$33.51	$39.00	56.3%	12.3%	56.5%	46.7%	44.0%	12.0%	-1.0%	12.9M	535.7M	-9.0M	0.47	4.00	N/A	N/A	101,277	47,768	1,323,328	1,292,404
2011-12-06	$33.23	$37.50	57.1%	12.9%	56.4%	47.7%	46.9%	12.1%	-1.6%	16.2M	591.2M	-8.9M	0.91	3.97	N/A	N/A	43,836	39,701	1,348,933	1,301,956
2011-12-07	$34.00	$37.50	50.9%	13.0%	56.5%	40.2%	49.0%	10.7%	-1.5%	19.6M	318.5M	-9.2M	1.19	3.21	N/A	N/A	68,724	81,998	1,348,412	1,311,950
2011-12-08	$32.22	$37.50	54.9%	13.5%	53.5%	45.1%	48.3%	8.0%	-0.6%	3.1M	909.2M	-8.7M	1.52	3.96	N/A	N/A	69,647	105,930	1,358,339	1,335,877
2011-12-09	$33.18	$37.50	44.9%	12.7%	54.5%	33.0%	43.9%	8.0%	-0.6%	13.1M	671.1M	-8.9M	0.51	4.16	N/A	N/A	68,259	34,690	1,360,811	1,378,764
2011-12-12	$32.04	$37.50	48.4%	13.2%	55.6%	37.2%	45.7%	8.1%	-0.1%	-929.0K	1.06B	-8.2M	2.28	4.33	N/A	N/A	50,804	115,622	1,348,809	1,360,814
2011-12-13	$31.29	$37.50	51.0%	13.5%	55.6%	40.4%	46.4%	9.1%	0.4%	-14.9M	1.30B	-7.8M	0.83	5.11	N/A	N/A	60,837	50,655	1,357,962	1,368,374
2011-12-14	$31.51	$37.50	47.4%	12.8%	55.7%	36.1%	44.6%	8.8%	0.6%	-11.5M	1.23B	-7.7M	1.23	4.35	N/A	N/A	37,403	46,118	1,367,759	1,357,186
2011-12-15	$31.76	$37.50	41.5%	11.9%	54.1%	29.0%	42.1%	8.1%	1.4%	-14.6M	1.21B	-7.6M	0.93	4.62	N/A	N/A	38,160	35,583	1,367,569	1,370,280
2011-12-16	$31.89	$37.50	39.7%	11.4%	52.7%	26.8%	39.3%	7.8%	1.7%	-8.8M	1.18B	-7.4M	0.72	3.77	N/A	N/A	90,162	65,248	1,371,546	1,367,176
2011-12-19	$30.70	$37.50	41.8%	12.0%	54.6%	29.4%	43.1%	8.5%	1.3%	-16.2M	1.28B	-6.9M	1.14	4.00	N/A	N/A	63,397	72,489	1,048,902	1,134,749
2011-12-20	$32.21	$37.50	39.2%	11.2%	56.4%	26.3%	38.9%	10.0%	1.2%	-8.5M	969.8M	-7.5M	0.76	2.97	N/A	N/A	80,019	61,015	1,072,945	1,151,706
2011-12-21	$32.32	$37.50	37.2%	10.7%	55.9%	23.8%	37.8%	8.5%	1.8%	-5.7M	934.8M	-7.4M	1.09	3.41	N/A	N/A	45,412	49,615	1,093,477	1,161,489
2011-12-22	$33.45	$37.50	37.9%	10.9%	54.7%	24.7%	41.9%	10.1%	1.0%	1.7M	703.1M	-7.8M	1.21	3.22	N/A	N/A	66,219	80,015	1,108,714	1,172,271
2011-12-23	$33.57	$37.50	34.3%	9.8%	54.7%	20.3%	37.4%	8.9%	2.2%	-2.4M	685.1M	-7.8M	0.75	3.32	N/A	N/A	31,064	23,437	1,128,101	1,199,621
2011-12-27	$33.03	$37.50	37.0%	10.6%	55.0%	23.6%	37.8%	9.0%	1.0%	-5.0M	857.3M	-7.4M	0.84	4.01	N/A	N/A	24,066	20,175	1,102,371	1,174,086
2011-12-28	$32.65	$37.50	37.2%	10.7%	54.5%	23.9%	41.3%	7.4%	1.1%	-7.1M	935.4M	-7.3M	1.95	3.70	N/A	N/A	25,772	50,362	1,112,048	1,181,334
2011-12-29	$33.42	$37.50	37.0%	10.6%	47.5%	23.5%	36.0%	7.1%	1.3%	552.7K	726.7M	-7.4M	0.51	3.41	N/A	N/A	39,503	20,336	1,120,366	1,188,419
2011-12-30	$33.25	$37.50	32.5%	10.7%	47.0%	18.2%	36.9%	6.7%	1.3%	-2.9M	780.2M	-7.4M	0.56	3.65	N/A	N/A	33,787	18,868	1,126,892	1,191,057