JPM Options History — March 2012

In March 2012, JPM traded between $39.32 and $46.27. ATM implied volatility averaged 26.2%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 1.3% (HV 20d: 27.5%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.67.

Notable Days

2012-03-15: Highest Volume — 299,095 contracts
2012-03-07: Largest IV drop — 25.6% change
2012-03-13: Highest IV Rank — 18.3%
2012-03-06: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.37	$39.32	$46.27	$40.37	$45.98
Max Pain	$38.45	$37.00	$40.00	$37.00	$40.00
ATM IV	26.2%	22.6%	32.6%	24.1%	22.6%
Expected Move	7.5%	7.0%	8.2%	7.0%	7.2%
HV 20d	27.5%	19.3%	31.7%	19.9%	31.1%
HV 60d	28.7%	25.7%	31.9%	31.9%	25.7%
IV Rank	10.6%	6.3%	18.3%	8.1%	6.3%
IV Percentile	27.7%	12.7%	49.6%	18.7%	12.7%
Term Structure	-0.2%	-1.3%	0.8%	0.8%	-0.3%
VWIV	26.9%	24.8%	28.9%	24.8%	26.3%
Skew 25d	3.6%	2.2%	5.0%	3.5%	3.9%
Skew 10d	7.2%	5.3%	9.6%	7.7%	8.3%
Call IV 25d	24.6%	22.7%	26.0%	22.7%	24.1%
Put IV 25d	28.2%	26.2%	31.0%	26.2%	28.0%
Bid-Ask Spread %	5.43	2.74	7.07	7.07	4.47
Gamma HHI	0.14	0.09	0.27	0.18	0.21
Net GEX	47.5M	33.3M	94.4M	53.4M	67.5M
Net DEX	-1.71B	-2.44B	-820.7M	-1.26B	-1.99B
Net VEX	-9.7M	-11.0M	-8.8M	-8.9M	-11.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.45	1.43	0.62	0.63
Total Volume	133,574.273	60,108	299,095	135,470	89,184
Total OI	1,684,327.591	1,471,496	1,929,807	1,644,444	1,731,089

Daily Data (22 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
2012-03-01	$40.37	$37.00	24.1%	7.0%	19.9%	8.1%	24.8%	3.5%	0.8%	53.4M	-1.26B	-8.9M	0.62	7.07	N/A	N/A	83,719	51,751	809,524	834,920
2012-03-02	$40.63	$37.00	24.4%	7.0%	19.9%	8.5%	25.6%	2.8%	0.6%	46.4M	-1.37B	-8.8M	0.89	6.43	N/A	N/A	66,251	58,703	827,327	853,500
2012-03-05	$40.40	$37.00	26.5%	7.6%	19.3%	11.0%	26.3%	4.3%	0.1%	49.4M	-1.20B	-9.0M	0.65	2.74	N/A	N/A	47,354	30,938	822,281	846,357
2012-03-06	$39.32	$37.00	32.5%	8.2%	21.9%	18.2%	28.6%	5.0%	-0.4%	36.3M	-820.7M	-9.4M	1.43	3.62	N/A	N/A	41,485	59,452	837,478	850,744
2012-03-07	$39.95	$37.00	24.2%	7.5%	22.2%	8.2%	26.9%	4.7%	0.3%	44.5M	-1.01B	-9.3M	0.63	3.74	N/A	N/A	36,835	23,273	838,293	869,224
2012-03-08	$40.44	$37.00	25.2%	7.9%	22.3%	9.5%	27.9%	4.4%	-0.5%	53.9M	-1.21B	-9.3M	0.70	5.86	N/A	N/A	66,428	46,826	846,592	876,133
2012-03-09	$41.03	$37.00	23.8%	7.6%	22.0%	7.7%	27.4%	4.1%	-0.3%	94.4M	-1.44B	-9.3M	0.68	5.80	N/A	N/A	81,496	55,308	859,949	882,486
2012-03-12	$40.54	$37.00	27.5%	7.3%	22.4%	12.2%	26.3%	4.0%	-0.3%	53.9M	-1.23B	-9.2M	0.61	5.46	N/A	N/A	55,607	33,999	852,415	886,051
2012-03-13	$43.39	$37.00	32.6%	7.8%	31.7%	18.3%	28.9%	3.1%	-1.0%	48.5M	-2.16B	-8.8M	0.45	3.68	N/A	N/A	204,788	92,682	862,603	899,702
2012-03-14	$43.58	$38.00	28.4%	7.6%	31.1%	13.3%	27.3%	3.4%	-1.0%	47.4M	-2.19B	-8.9M	0.51	4.90	N/A	N/A	166,865	85,707	881,438	939,980
2012-03-15	$44.70	$38.00	26.8%	7.7%	30.8%	11.3%	28.1%	3.3%	-1.3%	57.3M	-2.44B	-9.3M	0.45	6.82	N/A	N/A	206,682	92,413	895,185	965,761
2012-03-16	$44.57	$39.00	25.2%	7.2%	30.9%	9.5%	26.2%	3.3%	0.0%	39.6M	-2.39B	-9.7M	0.65	5.86	N/A	N/A	79,085	51,090	928,913	1,000,894
2012-03-19	$45.00	$39.00	24.9%	7.1%	30.9%	9.1%	25.9%	2.8%	0.1%	34.3M	-1.76B	-9.6M	0.68	5.94	N/A	N/A	84,318	57,571	736,318	735,178
2012-03-20	$45.38	$39.00	26.6%	7.6%	30.7%	11.1%	27.5%	2.2%	-0.2%	38.4M	-1.84B	-10.0M	0.50	5.65	N/A	N/A	71,492	35,436	766,545	763,957
2012-03-21	$45.12	$40.00	25.6%	7.3%	30.4%	9.9%	26.5%	2.8%	0.0%	36.2M	-1.77B	-9.9M	0.70	6.28	N/A	N/A	49,523	34,766	768,345	772,988
2012-03-22	$44.65	$40.00	26.7%	7.7%	31.1%	11.2%	27.1%	2.9%	-0.2%	33.3M	-1.66B	-10.3M	0.63	5.69	N/A	N/A	71,887	45,467	793,631	785,654
2012-03-23	$45.16	$40.00	26.5%	7.6%	30.8%	10.9%	26.9%	3.8%	-0.5%	38.3M	-1.82B	-10.5M	0.73	4.77	N/A	N/A	51,749	37,521	815,135	801,713
2012-03-26	$46.17	$40.00	25.3%	7.2%	30.9%	9.5%	26.7%	3.5%	-0.5%	41.1M	-2.10B	-10.0M	0.54	6.10	N/A	N/A	87,576	46,957	809,862	798,555
2012-03-27	$45.89	$40.00	25.4%	7.3%	31.3%	9.7%	26.2%	3.5%	0.3%	40.3M	-2.02B	-10.2M	0.67	7.01	N/A	N/A	65,887	44,282	825,477	810,620
2012-03-28	$46.27	$40.00	25.8%	7.4%	31.2%	10.2%	26.8%	3.4%	0.2%	45.4M	-2.13B	-10.3M	0.70	5.30	N/A	N/A	85,352	59,335	849,458	819,189
2012-03-29	$45.67	$40.00	25.9%	7.4%	31.1%	10.2%	26.9%	4.5%	0.3%	44.2M	-1.91B	-10.9M	0.75	6.24	N/A	N/A	58,062	43,532	869,518	834,225
2012-03-30	$45.98	$40.00	22.6%	7.2%	31.1%	6.3%	26.3%	3.9%	-0.3%	67.5M	-1.99B	-11.0M	0.63	4.47	N/A	N/A	54,699	34,485	876,182	854,907