JPM Options History — July 2012

In July 2012, JPM traded between $33.90 and $36.89. ATM implied volatility averaged 33.5%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 1.4% (HV 20d: 34.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.87.

Notable Days

2012-07-13: Highest Volume — 460,531 contracts
2012-07-05: Largest IV spike — 52.3% change
2012-07-10: Highest IV Rank — 51.7%
2012-07-05: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.04	$33.90	$36.89	$36.28	$36.00
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	33.5%	24.5%	62.1%	25.6%	33.9%
Expected Move	8.7%	7.0%	11.1%	9.9%	8.0%
HV 20d	34.9%	31.2%	38.6%	32.8%	35.1%
HV 60d	39.2%	37.4%	40.6%	37.9%	40.3%
IV Rank	16.0%	4.7%	51.7%	7.4%	16.5%
IV Percentile	37.2%	6.7%	95.6%	13.5%	40.9%
Term Structure	-0.2%	-3.9%	2.5%	-3.7%	-0.8%
VWIV	30.8%	25.8%	37.9%	31.7%	33.0%
Skew 25d	4.9%	4.0%	6.3%	5.5%	5.5%
Skew 10d	9.8%	7.0%	13.1%	11.3%	13.1%
Call IV 25d	28.6%	23.3%	36.8%	32.4%	26.5%
Put IV 25d	33.5%	28.6%	41.3%	37.9%	32.0%
Bid-Ask Spread %	7.06	3.55	10.63	7.62	9.67
Gamma HHI	0.10	0.06	0.30	0.09	0.07
Net GEX	21.3M	-32.3M	139.3M	34.6M	14.9M
Net DEX	270.0M	-570.8M	992.6M	-204.5M	-16.0M
Net VEX	-13.8M	-15.0M	-12.4M	-15.0M	-13.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.15	1.77	0.15	1.77
Total Volume	163,099.286	64,143	460,531	254,815	64,143
Total OI	2,642,235.571	2,280,106	2,978,126	2,587,437	2,403,787

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
2012-07-02	$36.28	$35.00	25.6%	9.9%	32.8%	7.4%	31.7%	5.5%	-3.7%	34.6M	-204.5M	-15.0M	0.15	7.62	N/A	N/A	220,778	34,037	1,365,812	1,221,625
2012-07-03	$35.88	$35.00	29.2%	10.1%	32.2%	10.6%	36.5%	6.3%	-3.9%	30.7M	-41.8M	-14.7M	0.86	8.25	N/A	N/A	38,995	33,650	1,351,001	1,230,169
2012-07-05	$34.38	$35.00	44.5%	11.1%	34.8%	29.7%	37.9%	4.5%	-3.8%	7.1M	537.8M	-13.9M	0.58	7.17	N/A	N/A	132,147	76,037	1,362,738	1,235,760
2012-07-06	$33.90	$35.00	42.9%	9.9%	35.1%	27.8%	34.5%	5.7%	-0.9%	-15.3M	729.1M	-13.6M	0.68	5.32	N/A	N/A	108,794	74,103	1,397,816	1,248,358
2012-07-09	$33.96	$35.00	55.2%	10.1%	33.9%	43.1%	34.7%	4.0%	-1.2%	12.5M	608.9M	-13.6M	0.59	6.70	N/A	N/A	94,510	55,975	1,431,480	1,244,140
2012-07-10	$34.25	$35.00	62.1%	10.0%	32.5%	51.7%	35.3%	4.3%	-0.9%	22.3M	457.7M	-13.9M	0.72	4.61	N/A	N/A	63,830	45,689	1,472,654	1,262,835
2012-07-11	$34.59	$35.00	40.9%	9.5%	31.2%	25.3%	33.3%	4.3%	-0.7%	29.6M	351.0M	-14.0M	0.83	6.11	N/A	N/A	84,487	70,389	1,493,181	1,282,847
2012-07-12	$34.04	$35.00	35.4%	10.1%	31.3%	18.3%	35.4%	5.6%	-2.2%	18.9M	611.5M	-13.6M	0.63	6.33	N/A	N/A	206,375	130,454	1,510,664	1,317,722
2012-07-13	$36.07	$35.00	27.9%	8.0%	37.4%	9.0%	28.6%	4.2%	1.1%	139.3M	-570.8M	-14.3M	0.53	7.41	N/A	N/A	301,551	158,980	1,611,218	1,366,908
2012-07-16	$35.09	$35.00	28.9%	8.3%	38.6%	10.3%	29.0%	4.1%	0.8%	40.5M	237.5M	-13.7M	0.78	6.79	N/A	N/A	79,553	62,278	1,542,802	1,330,136
2012-07-17	$34.99	$35.00	27.8%	8.0%	38.4%	8.9%	28.3%	4.5%	1.2%	33.1M	337.8M	-13.6M	0.89	6.98	N/A	N/A	57,415	51,150	1,545,712	1,344,760
2012-07-18	$34.96	$35.00	27.3%	7.8%	37.6%	8.2%	27.6%	4.3%	0.8%	35.9M	343.9M	-13.4M	0.57	6.86	N/A	N/A	56,790	32,102	1,555,020	1,351,750
2012-07-19	$34.46	$35.00	27.2%	7.8%	36.1%	8.1%	27.5%	4.4%	1.4%	5.7M	653.8M	-12.7M	1.50	5.71	N/A	N/A	52,264	78,596	1,558,123	1,333,987
2012-07-20	$33.90	$35.00	25.7%	7.4%	35.4%	6.2%	25.8%	4.5%	1.9%	-32.3M	992.6M	-12.4M	1.54	6.87	N/A	N/A	57,776	89,099	1,557,897	1,350,845
2012-07-23	$34.44	$35.00	28.2%	8.1%	35.6%	9.3%	27.7%	5.1%	0.6%	-731.8K	526.5M	-12.9M	0.65	6.34	N/A	N/A	72,207	46,930	1,132,410	1,147,696
2012-07-24	$34.73	$35.00	27.9%	8.0%	35.2%	9.0%	29.1%	5.8%	0.9%	4.6M	389.0M	-13.5M	1.12	7.63	N/A	N/A	53,365	59,864	1,158,416	1,164,016
2012-07-25	$35.17	$35.00	26.2%	7.5%	35.3%	6.8%	26.5%	5.8%	2.2%	10.7M	234.7M	-13.6M	1.05	8.98	N/A	N/A	51,248	54,037	1,174,758	1,187,456
2012-07-26	$35.81	$35.00	24.5%	7.0%	34.2%	4.7%	26.7%	5.3%	2.5%	16.0M	1.7M	-13.8M	0.73	10.63	N/A	N/A	84,270	61,478	1,182,911	1,205,944
2012-07-27	$36.89	$35.00	28.2%	7.5%	34.7%	9.3%	28.5%	4.3%	0.8%	22.6M	-455.5M	-14.5M	0.91	8.79	N/A	N/A	114,834	104,570	1,209,013	1,220,498
2012-07-30	$36.14	$35.00	33.5%	8.1%	35.5%	15.9%	30.0%	4.8%	-0.5%	15.9M	-54.1M	-14.2M	1.25	3.55	N/A	N/A	49,037	61,298	1,206,285	1,215,797
2012-07-31	$36.00	$35.00	33.9%	8.0%	35.1%	16.5%	33.0%	5.5%	-0.8%	14.9M	-16.0M	-13.9M	1.77	9.67	N/A	N/A	23,183	40,960	1,193,616	1,210,171