JPM Options History — January 2012

In January 2012, JPM traded between $34.91 and $37.66. ATM implied volatility averaged 33.5%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 3.2% (HV 20d: 36.7%). Max pain ranged from $33.00 to $37.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.88.

Notable Days

2012-01-03: Highest Volume — 658,033 contracts
2012-01-11: Largest IV drop — 28.8% change
2012-01-10: Highest IV Rank — 38.4%
2012-01-03: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.47	$34.91	$37.66	$34.98	$37.30
Max Pain	$34.58	$33.00	$37.50	$37.50	$35.00
ATM IV	33.5%	25.5%	49.4%	39.9%	30.8%
Expected Move	8.8%	7.3%	10.0%	10.0%	8.3%
HV 20d	36.7%	30.9%	45.7%	45.7%	30.9%
HV 60d	50.0%	43.6%	54.5%	54.5%	43.6%
IV Rank	19.4%	9.8%	38.4%	27.1%	16.2%
IV Percentile	50.2%	30.2%	82.9%	62.3%	46.8%
Term Structure	0.8%	-1.4%	1.8%	1.1%	1.3%
VWIV	31.8%	27.1%	36.5%	33.1%	29.4%
Skew 25d	6.1%	4.6%	7.5%	6.9%	5.1%
Skew 10d	12.2%	8.7%	15.5%	12.4%	9.2%
Call IV 25d	28.3%	23.5%	32.6%	32.6%	26.7%
Put IV 25d	34.4%	28.9%	39.4%	39.4%	31.8%
Bid-Ask Spread %	4.00	2.62	6.24	4.52	2.81
Gamma HHI	0.10	0.07	0.13	0.10	0.11
Net GEX	21.9M	8.7M	32.1M	8.7M	27.0M
Net DEX	-249.2M	-694.4M	359.5M	293.9M	-592.2M
Net VEX	-8.0M	-8.5M	-7.2M	-7.2M	-8.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.14	1.96	0.14	1.96
Total Volume	150,576.4	58,710	658,033	658,033	116,655
Total OI	2,076,786.1	1,263,307	2,615,142	2,304,784	1,424,736

Daily Data (20 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
2012-01-03	$34.98	$37.50	39.9%	10.0%	45.7%	27.1%	33.1%	6.9%	1.1%	8.7M	293.9M	-7.2M	0.14	4.52	N/A	N/A	579,149	78,884	1,120,435	1,184,349
2012-01-04	$34.95	$37.50	37.0%	9.9%	44.1%	23.6%	35.5%	6.3%	0.8%	18.6M	332.5M	-7.7M	0.86	3.89	N/A	N/A	65,803	56,652	1,144,959	1,214,198
2012-01-05	$35.68	$37.50	40.0%	9.7%	44.4%	27.2%	35.8%	5.8%	1.3%	20.6M	78.6M	-7.8M	0.89	4.31	N/A	N/A	72,048	63,945	1,147,828	1,206,774
2012-01-06	$35.36	$33.00	38.8%	10.0%	44.0%	25.7%	36.5%	7.4%	0.6%	16.3M	153.0M	-7.8M	0.74	3.96	N/A	N/A	60,336	44,597	1,172,573	1,221,606
2012-01-09	$35.30	$33.00	47.1%	9.9%	38.8%	35.7%	35.5%	6.8%	0.4%	11.8M	299.6M	-7.7M	0.78	3.58	N/A	N/A	45,385	35,431	1,162,086	1,222,866
2012-01-10	$36.05	$33.00	49.4%	9.6%	38.2%	38.4%	34.2%	7.4%	-0.3%	20.0M	-90.5M	-7.8M	0.73	2.62	N/A	N/A	94,890	69,190	1,177,337	1,217,826
2012-01-11	$36.66	$33.00	35.1%	9.3%	35.5%	21.4%	33.9%	7.0%	-0.1%	20.4M	-271.6M	-8.1M	0.56	3.59	N/A	N/A	83,475	46,939	1,209,657	1,247,500
2012-01-12	$36.85	$33.00	33.6%	9.6%	33.7%	19.6%	34.8%	6.6%	-1.4%	26.2M	-414.4M	-8.2M	0.74	5.88	N/A	N/A	138,814	103,136	1,249,884	1,261,742
2012-01-13	$35.92	$34.00	32.8%	9.4%	35.7%	18.6%	33.8%	7.5%	1.2%	13.4M	-14.8M	-8.3M	1.12	6.24	N/A	N/A	105,613	117,875	1,280,061	1,293,994
2012-01-17	$34.91	$34.00	33.4%	9.6%	37.8%	19.3%	33.0%	6.9%	0.6%	17.1M	359.5M	-7.7M	0.66	4.06	N/A	N/A	71,937	47,320	1,258,322	1,273,973
2012-01-18	$36.54	$34.00	30.3%	8.7%	40.5%	15.6%	31.7%	6.9%	0.7%	24.5M	-336.8M	-8.0M	0.83	4.40	N/A	N/A	77,475	64,566	1,265,322	1,277,461
2012-01-19	$36.93	$34.00	28.9%	8.3%	36.9%	13.9%	30.2%	6.5%	1.4%	26.0M	-461.5M	-8.0M	0.82	5.26	N/A	N/A	79,249	65,021	1,273,861	1,299,951
2012-01-20	$37.36	$34.00	26.6%	7.6%	34.0%	11.1%	27.3%	6.1%	1.8%	32.1M	-535.4M	-8.0M	0.85	3.78	N/A	N/A	63,107	53,557	1,286,335	1,328,807
2012-01-23	$37.66	$34.00	25.5%	7.3%	33.9%	9.8%	27.1%	4.6%	1.1%	25.0M	-677.6M	-7.8M	0.77	5.80	N/A	N/A	70,498	54,366	666,010	597,297
2012-01-24	$37.66	$35.00	26.0%	7.4%	32.5%	10.3%	27.1%	5.0%	1.1%	28.0M	-694.4M	-8.0M	0.88	2.96	N/A	N/A	47,687	41,973	702,261	615,820
2012-01-25	$37.60	$35.00	25.9%	7.4%	32.6%	10.3%	28.2%	4.6%	1.2%	28.5M	-678.4M	-8.3M	1.27	3.09	N/A	N/A	26,586	33,806	718,555	631,016
2012-01-26	$37.49	$35.00	27.6%	7.9%	31.8%	12.3%	29.3%	4.8%	0.9%	28.1M	-648.1M	-8.3M	1.03	2.83	N/A	N/A	48,751	50,120	726,925	642,144
2012-01-27	$37.21	$35.00	28.2%	8.2%	31.5%	13.1%	28.8%	4.6%	1.0%	23.1M	-570.0M	-8.5M	0.77	2.89	N/A	N/A	43,975	34,007	743,976	666,951
2012-01-30	$37.01	$35.00	32.9%	8.4%	31.1%	18.7%	31.1%	4.6%	0.5%	23.4M	-514.9M	-8.4M	1.12	3.52	N/A	N/A	27,750	30,960	737,755	662,569
2012-01-31	$37.30	$35.00	30.8%	8.3%	30.9%	16.2%	29.4%	5.1%	1.3%	27.0M	-592.2M	-8.4M	1.96	2.81	N/A	N/A	39,390	77,265	748,043	676,693