JPM Options History — May 2012 In May 2012, JPM traded between $32.51 and $43.79. ATM implied volatility averaged 34.2%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 1.8% (HV 20d: 36.0%). Max pain ranged from $37.00 to $43.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.94.
Notable Days 2012-05-11 : Highest Volume — 725,537 contracts2012-05-07 : Largest IV spike — 20.4% change2012-05-18 : Highest IV Rank — 33.3%2012-05-18 : Largest Expected Move — 12.9%Monthly Statistics Metric Avg Min Max Open Close Price $37.10 $32.51 $43.79 $43.79 $33.15 Max Pain $39.27 $37.00 $43.00 $43.00 $37.00 ATM IV 34.2% 22.4% 45.1% 23.0% 37.1% Expected Move 9.7% 6.1% 12.9% 6.1% 10.6% HV 20d 36.0% 22.4% 45.8% 25.4% 44.3% HV 60d 32.1% 25.9% 36.6% 25.9% 36.0% IV Rank 20.0% 6.0% 33.3% 6.7% 21.5% IV Percentile 46.1% 7.1% 71.4% 9.5% 53.6% Term Structure 1.0% -1.4% 2.5% 2.3% 2.5% VWIV 34.3% 22.0% 46.5% 22.0% 37.0% Skew 25d 7.6% 4.4% 12.3% 4.6% 6.9% Skew 10d 16.3% 8.8% 27.4% 12.1% 11.6% Call IV 25d 30.9% 20.0% 39.9% 20.0% 34.8% Put IV 25d 38.5% 24.6% 51.3% 24.6% 41.7% Bid-Ask Spread % 4.82 3.54 7.67 3.55 5.79 Gamma HHI 0.09 0.06 0.12 0.10 0.09 Net GEX -12.7M -35.7M 24.3M 24.3M -22.9M Net DEX 657.8M -792.2M 1.61B -792.2M 1.22B Net VEX -11.2M -12.8M -9.1M -11.0M -12.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.48 1.80 0.66 0.80 Total Volume 203,816.364 41,562 725,537 73,418 219,855 Total OI 1,997,609.136 1,596,149 2,491,949 1,596,149 2,491,949
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 2012-05-01 $43.79 $43.00 23.0% 6.1% 25.4% 6.7% 22.0% 4.6% 2.3% 24.3M -792.2M -11.0M 0.66 3.55 N/A N/A 44,270 29,148 744,409 851,740 2012-05-02 $43.20 $43.00 25.5% 6.5% 25.3% 9.7% 22.8% 4.4% 1.7% 18.5M -605.4M -11.1M 0.48 7.67 N/A N/A 28,024 13,538 754,969 858,511 2012-05-03 $43.01 $43.00 22.4% 6.3% 24.1% 6.0% 22.7% 4.4% 2.2% 19.4M -553.9M -10.9M 1.17 6.69 N/A N/A 36,476 42,742 761,673 852,496 2012-05-04 $41.75 $40.00 23.6% 7.4% 26.1% 7.4% 26.5% 6.3% 1.5% 4.9M -163.7M -10.8M 0.70 3.91 N/A N/A 50,502 35,426 768,216 861,837 2012-05-07 $41.78 $40.00 28.4% 7.5% 26.0% 13.2% 25.3% 6.6% 1.6% 4.9M -217.7M -10.7M 0.54 3.54 N/A N/A 46,096 24,782 760,776 857,952 2012-05-08 $41.38 $40.00 30.6% 7.9% 25.2% 15.8% 27.6% 7.2% 1.1% 1.8M -106.0M -10.5M 0.71 4.44 N/A N/A 45,605 32,546 778,242 866,421 2012-05-09 $40.64 $40.00 27.7% 8.2% 23.8% 12.3% 29.1% 7.1% 1.3% -4.3M 86.7M -10.5M 0.64 5.30 N/A N/A 68,087 43,735 792,349 869,061 2012-05-10 $40.74 $40.00 28.1% 8.1% 22.4% 12.8% 27.1% 7.2% 1.2% -2.4M 51.4M -10.4M 1.13 4.16 N/A N/A 34,730 39,092 803,646 879,705 2012-05-11 $36.96 $40.00 33.7% 9.7% 38.5% 19.5% 34.5% 7.2% 0.7% -20.4M 931.9M -9.1M 1.37 5.27 N/A N/A 306,645 418,892 810,648 888,891 2012-05-14 $35.79 $40.00 35.3% 10.1% 39.2% 21.4% 36.4% 7.0% 0.4% -29.3M 1.16B -10.2M 1.02 3.84 N/A N/A 147,974 151,014 894,441 1,047,220 2012-05-15 $36.24 $40.00 35.7% 10.2% 39.1% 21.9% 38.2% 5.6% 0.2% -23.1M 970.3M -10.9M 1.57 5.02 N/A N/A 127,662 200,687 940,497 1,075,587 2012-05-16 $35.46 $39.00 36.7% 10.5% 39.3% 23.2% 35.5% 7.3% 1.2% -34.1M 1.20B -11.3M 1.06 4.16 N/A N/A 91,762 96,863 986,240 1,159,454 2012-05-17 $33.93 $39.00 41.6% 11.9% 41.0% 29.0% 41.1% 10.6% -0.4% -35.7M 1.56B -10.7M 0.92 4.48 N/A N/A 169,496 155,986 1,015,907 1,179,372 2012-05-18 $33.49 $39.00 45.1% 12.9% 41.0% 33.3% 46.5% 12.3% -0.6% -27.3M 1.61B -10.9M 1.80 5.67 N/A N/A 135,911 245,235 1,073,106 1,200,089 2012-05-21 $32.51 $38.00 43.2% 12.4% 41.0% 31.0% 44.7% 11.2% -1.4% -30.6M 1.48B -10.3M 1.06 4.57 N/A N/A 173,908 184,077 953,867 1,138,274 2012-05-22 $34.01 $38.00 41.1% 11.8% 45.4% 28.4% 41.7% 9.9% 0.4% -19.3M 1.05B -12.0M 0.74 5.07 N/A N/A 180,231 133,540 1,014,402 1,179,718 2012-05-23 $34.26 $37.00 40.2% 11.5% 45.8% 27.3% 41.9% 9.7% 0.1% -16.1M 955.7M -12.8M 0.85 4.67 N/A N/A 97,537 83,348 1,074,830 1,217,644 2012-05-24 $33.97 $37.00 39.1% 11.2% 44.8% 26.0% 39.1% 8.8% 1.2% -18.0M 1.02B -12.8M 0.94 4.12 N/A N/A 84,042 78,594 1,100,216 1,245,297 2012-05-25 $33.50 $37.00 36.4% 11.4% 44.8% 22.8% 39.1% 8.6% 1.7% -22.8M 1.17B -12.8M 1.03 5.01 N/A N/A 52,125 53,524 1,137,308 1,263,914 2012-05-29 $33.63 $37.00 36.0% 10.4% 45.1% 22.3% 36.9% 7.3% 2.0% -23.2M 1.16B -12.5M 0.77 4.91 N/A N/A 81,889 63,160 1,127,750 1,239,253 2012-05-30 $32.96 $37.00 42.4% 11.0% 43.7% 28.2% 38.0% 7.2% 2.0% -24.1M 1.29B -12.4M 0.67 4.26 N/A N/A 80,922 54,282 1,170,076 1,259,448 2012-05-31 $33.15 $37.00 37.1% 10.6% 44.3% 21.5% 37.0% 6.9% 2.5% -22.9M 1.22B -12.8M 0.80 5.79 N/A N/A 122,396 97,459 1,204,991 1,286,958
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