JPM Options History — April 2012

In April 2012, JPM traded between $42.72 and $46.13. ATM implied volatility averaged 28.6%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.0% (HV 20d: 26.5%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2012-04-02: Highest Volume — 2,366,212 contracts
  • 2012-04-09: Largest IV spike — 42.9% change
  • 2012-04-10: Highest IV Rank — 43.5%
  • 2012-04-10: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.75$42.72$46.13$46.13$42.98
Max Pain$43.00$40.00$44.00$40.00$43.00
ATM IV28.6%20.7%53.6%22.3%23.7%
Expected Move7.5%5.9%9.0%7.1%6.3%
HV 20d26.5%22.5%31.9%30.8%24.2%
HV 60d25.7%25.3%26.4%25.5%25.9%
IV Rank13.5%4.1%43.5%6.0%7.7%
IV Percentile31.3%3.2%86.9%11.5%11.1%
Term Structure0.5%-1.9%2.6%-0.5%2.0%
VWIV26.4%21.7%31.7%22.2%22.3%
Skew 25d4.9%2.7%6.0%3.9%4.3%
Skew 10d10.7%7.5%14.6%7.5%8.6%
Call IV 25d24.2%19.4%28.9%23.6%20.8%
Put IV 25d29.1%23.9%34.5%27.4%25.0%
Bid-Ask Spread %3.982.495.613.785.60
Gamma HHI0.090.070.120.120.08
Net GEX18.9M-2.8M47.2M47.2M15.7M
Net DEX-746.6M-2.08B-373.7M-2.08B-515.0M
Net VEX-11.2M-11.7M-10.5M-10.5M-10.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.011.750.010.47
Total Volume206,134.8538,6052,366,2122,366,21266,573
Total OI1,646,661.451,507,2101,752,0461,720,7751,550,038

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$46.13$40.0022.3%7.1%30.8%6.0%22.2%3.9%-0.5%47.2M-2.08B-10.5M0.013.78N/AN/A2,332,80833,404871,824848,951
2012-04-03$45.42$44.0027.3%7.9%29.4%12.0%27.7%3.9%-1.4%31.7M-1.13B-10.9M0.434.35N/AN/A61,13326,409721,510863,211
2012-04-04$44.41$44.0030.1%8.3%31.0%15.3%29.2%3.9%-1.9%19.1M-833.1M-11.2M0.594.57N/AN/A71,91042,695740,760871,633
2012-04-05$44.34$44.0031.2%8.1%30.9%16.6%29.0%2.7%-0.8%23.7M-816.3M-11.2M0.905.61N/AN/A50,74745,623752,264877,104
2012-04-09$43.89$43.0044.5%8.1%31.1%32.6%28.9%4.6%-0.9%23.0M-786.6M-11.1M0.965.07N/AN/A55,08952,971745,228871,742
2012-04-10$42.96$43.0053.6%9.0%31.9%43.5%31.7%5.6%-1.3%12.1M-499.5M-11.4M0.884.28N/AN/A60,29853,061756,410888,279
2012-04-11$44.01$43.0034.2%8.2%22.5%20.3%28.7%5.8%-0.6%24.8M-808.5M-11.5M1.263.73N/AN/A48,99661,624766,831896,815
2012-04-12$44.84$43.0027.6%7.9%23.4%12.3%28.4%5.0%-1.0%36.1M-1.08B-11.7M0.855.09N/AN/A87,63474,881779,480933,543
2012-04-13$43.21$43.0029.6%8.5%25.3%14.8%29.1%5.8%-0.1%9.7M-486.6M-11.6M0.834.78N/AN/A88,67473,355794,604957,442
2012-04-16$43.33$43.0029.8%8.5%25.3%15.0%28.9%5.8%-0.1%10.8M-570.8M-11.5M0.643.81N/AN/A53,82634,686782,976940,763
2012-04-17$43.90$43.0025.8%7.4%25.6%10.2%25.7%5.8%1.2%23.1M-769.2M-11.5M0.733.22N/AN/A40,39929,506787,403943,797
2012-04-18$43.29$43.0026.6%7.6%25.7%11.1%27.0%5.7%1.1%8.5M-550.2M-11.5M1.752.49N/AN/A24,38242,706788,989947,605
2012-04-19$43.22$43.0026.7%7.7%25.6%11.2%26.9%6.0%1.4%6.0M-507.9M-11.4M1.053.65N/AN/A39,31341,220789,955944,596
2012-04-20$42.72$43.0023.9%6.8%25.7%7.8%24.3%5.8%2.5%-2.8M-373.7M-11.2M1.442.99N/AN/A40,82658,709794,523953,235
2012-04-23$42.85$43.0025.4%7.3%25.3%9.7%26.5%5.4%1.5%10.2M-480.1M-11.3M0.743.42N/AN/A54,52940,428685,946821,264
2012-04-24$43.28$43.0024.1%6.9%24.0%8.1%23.8%5.5%1.7%16.5M-614.0M-11.2M0.643.18N/AN/A23,49615,109705,567833,131
2012-04-25$43.16$43.0022.8%6.5%24.0%6.6%23.3%4.8%2.3%16.3M-583.2M-11.3M0.683.83N/AN/A45,24430,654715,084839,458
2012-04-26$43.80$43.0020.7%5.9%24.5%4.1%21.8%4.6%2.4%25.4M-782.1M-11.3M0.833.39N/AN/A36,84530,649734,750851,047
2012-04-27$43.34$43.0021.3%6.2%24.4%4.8%21.7%4.3%2.6%20.1M-661.5M-10.8M1.112.86N/AN/A24,77927,506734,024851,447
2012-04-30$42.98$43.0023.7%6.3%24.2%7.7%22.3%4.3%2.0%15.7M-515.0M-10.8M0.475.60N/AN/A45,23321,340715,883834,155