JPM Options History — February 2012

In February 2012, JPM traded between $37.40 and $39.24. ATM implied volatility averaged 27.1%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 6.2% (HV 20d: 20.9%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.86.

Notable Days

2012-02-01: Highest Volume — 114,778 contracts
2012-02-08: Largest IV drop — 17.2% change
2012-02-01: Highest IV Rank — 16.7%
2012-02-15: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.21	$37.40	$39.24	$37.60	$39.24
Max Pain	$35.85	$35.00	$37.00	$35.00	$37.00
ATM IV	27.1%	23.3%	31.3%	31.3%	27.1%
Expected Move	7.7%	7.0%	8.6%	7.8%	7.3%
HV 20d	20.9%	15.7%	26.0%	26.0%	17.8%
HV 60d	39.4%	33.5%	43.5%	43.4%	33.5%
IV Rank	11.8%	7.2%	16.7%	16.7%	11.7%
IV Percentile	32.3%	14.7%	47.6%	47.6%	31.0%
Term Structure	1.1%	-0.2%	2.4%	2.4%	0.4%
VWIV	27.8%	24.1%	32.5%	29.1%	25.7%
Skew 25d	4.9%	3.1%	6.3%	4.4%	3.2%
Skew 10d	10.1%	6.1%	13.7%	8.7%	6.1%
Call IV 25d	24.8%	23.0%	26.7%	26.3%	24.5%
Put IV 25d	29.7%	26.8%	32.8%	30.7%	27.7%
Bid-Ask Spread %	5.09	2.74	7.31	3.23	6.88
Gamma HHI	0.12	0.11	0.16	0.11	0.16
Net GEX	31.2M	17.7M	43.3M	28.7M	43.3M
Net DEX	-701.3M	-889.7M	-487.1M	-650.0M	-873.3M
Net VEX	-8.8M	-9.0M	-8.7M	-8.9M	-8.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.37	1.49	0.59	0.83
Total Volume	84,552.35	44,920	114,778	114,778	105,878
Total OI	1,575,820	1,466,014	1,692,343	1,498,919	1,624,428

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
2012-02-01	$37.60	$35.00	31.3%	7.8%	26.0%	16.7%	29.1%	4.4%	2.4%	28.7M	-650.0M	-8.9M	0.59	3.23	N/A	N/A	72,202	42,576	766,714	732,205
2012-02-02	$37.55	$35.00	26.9%	7.5%	26.0%	11.4%	28.3%	4.0%	2.3%	30.5M	-659.5M	-8.9M	0.88	2.74	N/A	N/A	40,560	35,754	798,801	746,430
2012-02-03	$38.28	$35.00	25.4%	7.8%	25.9%	9.6%	28.2%	5.7%	1.2%	33.3M	-889.7M	-8.8M	0.69	6.12	N/A	N/A	55,794	38,424	799,678	759,666
2012-02-06	$38.14	$35.00	29.4%	7.9%	25.6%	14.5%	26.5%	5.5%	0.8%	33.6M	-787.3M	-8.8M	0.62	3.65	N/A	N/A	37,157	23,117	793,538	757,859
2012-02-07	$37.87	$35.00	29.0%	7.8%	25.8%	14.1%	28.2%	5.7%	0.6%	32.7M	-698.7M	-8.7M	1.07	4.47	N/A	N/A	21,682	23,238	797,432	762,133
2012-02-08	$38.30	$35.00	24.1%	7.7%	25.2%	8.1%	26.5%	5.4%	1.0%	38.8M	-835.9M	-8.7M	0.58	2.86	N/A	N/A	31,435	18,175	806,934	768,804
2012-02-09	$37.86	$35.00	27.3%	7.8%	25.1%	11.9%	28.3%	5.1%	0.9%	34.0M	-705.9M	-8.8M	0.97	5.72	N/A	N/A	40,748	39,631	817,030	775,145
2012-02-10	$37.61	$35.00	28.6%	8.2%	25.2%	13.5%	32.5%	5.5%	1.0%	28.1M	-609.0M	-8.8M	1.49	6.25	N/A	N/A	37,594	56,139	823,433	796,936
2012-02-13	$38.30	$35.00	27.7%	7.9%	23.9%	12.5%	28.0%	5.6%	1.0%	38.1M	-826.4M	-8.7M	0.89	6.20	N/A	N/A	38,854	34,490	806,537	802,423
2012-02-14	$37.92	$36.00	28.7%	8.2%	21.4%	13.6%	29.8%	5.7%	0.8%	31.7M	-656.6M	-8.8M	0.93	3.72	N/A	N/A	45,171	41,795	803,596	812,992
2012-02-15	$37.40	$36.00	29.8%	8.6%	15.7%	15.0%	31.4%	6.3%	1.0%	25.1M	-508.9M	-8.8M	1.02	7.31	N/A	N/A	36,850	37,656	813,000	826,656
2012-02-16	$38.00	$36.00	27.6%	7.9%	16.3%	12.3%	29.8%	6.1%	1.8%	32.7M	-681.8M	-9.0M	1.28	3.20	N/A	N/A	38,820	49,500	820,190	842,220
2012-02-17	$38.47	$36.00	26.5%	7.6%	16.3%	10.9%	26.6%	5.0%	1.7%	35.8M	-842.9M	-8.8M	0.67	7.31	N/A	N/A	50,435	33,646	824,196	868,147
2012-02-21	$38.46	$36.00	27.3%	7.8%	16.1%	12.0%	27.1%	4.6%	0.8%	24.9M	-608.1M	-8.8M	0.97	5.54	N/A	N/A	52,842	51,439	727,998	738,016
2012-02-22	$38.07	$37.00	25.6%	7.3%	16.6%	9.9%	28.2%	4.2%	1.8%	17.7M	-487.1M	-8.7M	0.89	5.70	N/A	N/A	49,922	44,193	736,173	759,044
2012-02-23	$38.49	$37.00	25.6%	7.3%	17.0%	9.9%	26.0%	3.6%	0.6%	18.9M	-567.5M	-8.7M	0.96	3.37	N/A	N/A	43,487	41,708	727,194	782,043
2012-02-24	$38.28	$37.00	23.3%	7.2%	17.1%	7.2%	24.1%	3.1%	0.7%	19.9M	-531.4M	-8.7M	0.37	7.10	N/A	N/A	60,399	22,622	746,818	803,290
2012-02-27	$39.06	$37.00	27.2%	7.3%	18.1%	11.8%	26.4%	4.4%	-0.2%	34.3M	-775.6M	-8.9M	0.78	6.00	N/A	N/A	53,432	41,856	764,367	794,680
2012-02-28	$39.21	$37.00	24.6%	7.0%	17.8%	8.7%	25.7%	3.9%	1.0%	41.4M	-831.4M	-8.9M	0.69	4.35	N/A	N/A	60,288	41,538	783,348	806,306
2012-02-29	$39.24	$37.00	27.1%	7.3%	17.8%	11.7%	25.7%	3.2%	0.4%	43.3M	-873.3M	-8.8M	0.83	6.88	N/A	N/A	57,913	47,965	801,245	823,183