JPM Options History — June 2012

In June 2012, JPM traded between $31.00 and $36.78. ATM implied volatility averaged 36.7%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 4.2% (HV 20d: 40.9%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.77.

Notable Days

2012-06-13: Highest Volume — 296,615 contracts
2012-06-11: Largest IV spike — 23.2% change
2012-06-04: Highest IV Rank — 36.0%
2012-06-04: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.40	$31.00	$36.78	$31.93	$35.73
Max Pain	$35.10	$35.00	$37.00	$37.00	$35.00
ATM IV	36.7%	28.4%	48.8%	42.7%	28.4%
Expected Move	10.7%	9.5%	12.8%	11.9%	10.1%
HV 20d	40.9%	34.7%	51.8%	44.9%	35.2%
HV 60d	36.6%	34.9%	37.9%	36.4%	37.7%
IV Rank	21.0%	10.9%	36.0%	28.4%	10.9%
IV Percentile	49.7%	28.6%	82.1%	63.9%	28.6%
Term Structure	-1.6%	-2.8%	1.2%	1.2%	-2.3%
VWIV	37.7%	34.4%	44.1%	41.0%	35.4%
Skew 25d	8.7%	5.3%	12.2%	8.7%	6.0%
Skew 10d	18.1%	9.1%	28.0%	16.8%	12.7%
Call IV 25d	34.0%	29.5%	40.0%	38.9%	33.4%
Put IV 25d	42.8%	36.7%	52.2%	47.5%	39.4%
Bid-Ask Spread %	5.92	3.44	9.02	5.86	7.39
Gamma HHI	0.11	0.07	0.57	0.12	0.08
Net GEX	-3.9M	-110.4M	35.4M	-32.2M	24.1M
Net DEX	536.0M	-435.5M	1.73B	1.52B	2.1M
Net VEX	-14.1M	-15.5M	-11.7M	-12.6M	-15.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.34	1.13	1.12	0.79
Total Volume	182,992.619	109,052	296,615	229,191	224,046
Total OI	2,610,256.619	2,312,289	2,949,364	2,581,238	2,558,191

Daily Data (21 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
2012-06-01	$31.93	$37.00	42.7%	11.9%	44.9%	28.4%	41.0%	8.7%	1.2%	-32.2M	1.52B	-12.6M	1.12	5.86	N/A	N/A	108,217	120,974	1,255,437	1,325,801
2012-06-04	$31.00	$35.00	48.8%	12.8%	44.9%	36.0%	44.1%	12.2%	-1.7%	-28.0M	1.73B	-11.7M	1.13	6.48	N/A	N/A	93,641	106,127	1,266,676	1,346,078
2012-06-05	$31.99	$35.00	44.9%	12.1%	47.6%	31.1%	40.9%	10.2%	-1.5%	-25.8M	1.52B	-12.4M	1.00	6.10	N/A	N/A	63,701	63,620	1,288,176	1,391,752
2012-06-06	$33.07	$35.00	37.2%	11.4%	50.4%	21.7%	39.0%	10.4%	-1.7%	-21.4M	1.18B	-13.1M	0.66	4.67	N/A	N/A	111,995	74,313	1,300,675	1,392,036
2012-06-07	$32.81	$35.00	36.1%	11.2%	50.3%	20.3%	35.2%	10.1%	-1.7%	-22.5M	1.26B	-12.9M	0.43	5.07	N/A	N/A	129,330	56,150	1,333,974	1,412,600
2012-06-08	$33.68	$35.00	32.5%	10.6%	51.8%	15.9%	38.4%	9.5%	-1.5%	-14.7M	924.6M	-13.6M	0.97	3.74	N/A	N/A	58,333	56,446	1,403,023	1,414,373
2012-06-11	$32.82	$35.00	40.1%	11.4%	40.8%	25.2%	40.9%	10.2%	-1.9%	-20.1M	1.26B	-13.1M	0.89	3.44	N/A	N/A	74,112	66,315	1,395,782	1,407,605
2012-06-12	$33.77	$35.00	34.7%	11.1%	41.3%	18.6%	36.0%	10.7%	-1.9%	-15.5M	914.5M	-13.9M	0.34	5.60	N/A	N/A	175,525	59,448	1,410,305	1,430,788
2012-06-13	$34.30	$35.00	38.0%	11.7%	41.5%	22.7%	40.3%	11.3%	-2.7%	-7.3M	650.4M	-14.6M	0.67	4.07	N/A	N/A	177,366	119,249	1,462,020	1,446,765
2012-06-14	$34.65	$35.00	38.3%	11.0%	41.1%	23.0%	40.6%	11.0%	-1.6%	-8.6M	502.8M	-14.9M	0.88	3.88	N/A	N/A	73,456	64,371	1,477,157	1,468,053
2012-06-15	$35.03	$35.00	36.1%	10.3%	38.0%	20.3%	38.1%	11.0%	-1.3%	-110.4M	287.3M	-14.7M	0.56	7.92	N/A	N/A	146,731	82,094	1,476,187	1,473,177
2012-06-18	$34.62	$35.00	34.5%	9.9%	37.9%	18.4%	36.2%	9.7%	-1.5%	9.8M	315.9M	-14.1M	0.71	5.30	N/A	N/A	63,596	45,456	1,208,188	1,104,101
2012-06-19	$35.38	$35.00	33.8%	9.7%	36.6%	17.5%	35.1%	8.9%	-1.8%	18.6M	80.3M	-14.3M	0.78	5.99	N/A	N/A	75,274	58,801	1,220,085	1,114,370
2012-06-20	$36.45	$35.00	33.9%	9.7%	34.7%	17.6%	35.0%	5.9%	-1.6%	29.8M	-359.9M	-14.9M	0.81	5.78	N/A	N/A	149,514	121,377	1,240,550	1,123,916
2012-06-21	$35.51	$35.00	35.4%	10.2%	36.2%	19.5%	36.4%	7.0%	-1.8%	19.3M	18.4M	-14.8M	0.74	9.02	N/A	N/A	121,820	90,090	1,267,612	1,148,277
2012-06-22	$35.99	$35.00	33.3%	9.5%	36.2%	16.8%	34.7%	5.3%	-1.2%	26.6M	-159.1M	-14.7M	0.51	6.43	N/A	N/A	98,873	50,436	1,278,501	1,165,353
2012-06-25	$35.32	$35.00	36.1%	10.4%	36.6%	20.4%	36.2%	6.6%	-2.1%	15.0M	150.4M	-14.4M	1.11	8.01	N/A	N/A	61,352	68,223	1,253,903	1,135,312
2012-06-26	$35.71	$35.00	34.1%	9.8%	36.7%	17.9%	34.4%	6.6%	-1.1%	21.1M	-12.0M	-14.5M	0.49	6.55	N/A	N/A	92,947	45,260	1,263,987	1,150,337
2012-06-27	$36.78	$35.00	34.4%	9.9%	36.8%	18.3%	35.6%	6.8%	-2.0%	35.4M	-435.5M	-15.5M	0.56	6.56	N/A	N/A	90,755	50,478	1,314,547	1,172,446
2012-06-28	$35.88	$35.00	36.6%	10.5%	38.3%	21.0%	37.7%	5.3%	-2.8%	24.8M	-94.2M	-15.2M	1.08	6.42	N/A	N/A	121,910	131,123	1,333,224	1,184,049
2012-06-29	$35.73	$35.00	28.4%	10.1%	35.2%	10.9%	35.4%	6.0%	-2.3%	24.1M	2.1M	-15.0M	0.79	7.39	N/A	N/A	125,459	98,587	1,343,358	1,214,833