JPM Options History — August 2012 In August 2012, JPM traded between $35.17 and $38.04. ATM implied volatility averaged 24.2%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 0.2% (HV 20d: 24.4%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.87.
Notable Days 2012-08-07 : Highest Volume — 185,579 contracts2012-08-31 : Largest IV drop — 25.0% change2012-08-01 : Highest IV Rank — 18.4%2012-08-02 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $36.97 $35.17 $38.04 $36.00 $37.14 Max Pain $35.87 $35.00 $36.00 $35.00 $36.00 ATM IV 24.2% 19.9% 35.4% 35.4% 19.9% Expected Move 7.0% 6.3% 8.0% 7.8% 7.1% HV 20d 24.4% 13.4% 34.9% 34.9% 13.4% HV 60d 33.4% 28.4% 40.8% 40.3% 28.4% IV Rank 5.8% 0.0% 18.4% 18.4% 0.0% IV Percentile 10.9% 0.0% 45.2% 45.2% 0.0% Term Structure 2.6% -0.0% 3.9% -0.0% 2.9% VWIV 25.2% 22.9% 28.4% 28.4% 24.7% Skew 25d 4.5% 3.8% 5.3% 4.9% 4.3% Skew 10d 9.2% 7.1% 11.7% 9.7% 8.1% Call IV 25d 22.8% 20.8% 26.2% 26.0% 23.2% Put IV 25d 27.3% 24.9% 31.2% 30.9% 27.5% Bid-Ask Spread % 7.76 3.98 9.89 8.98 8.38 Gamma HHI 0.12 0.07 0.54 0.07 0.09 Net GEX 34.2M 2.1M 136.2M 18.1M 28.2M Net DEX -344.8M -680.8M 336.3M -27.2M -318.5M Net VEX -13.1M -13.9M -12.6M -13.9M -12.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.42 1.39 0.88 0.62 Total Volume 82,838.391 34,547 185,579 82,289 83,719 Total OI 2,434,832.913 2,232,345 2,575,762 2,473,718 2,373,779
Daily Data (23 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 2012-08-01 $36.00 $35.00 35.4% 7.8% 34.9% 18.4% 28.4% 4.9% -0.0% 18.1M -27.2M -13.9M 0.88 8.98 N/A N/A 43,686 38,603 1,230,756 1,242,962 2012-08-02 $35.17 $35.00 28.4% 8.0% 32.3% 9.6% 27.8% 5.0% -0.0% 2.1M 336.3M -13.4M 1.13 8.44 N/A N/A 53,089 59,787 1,244,790 1,247,105 2012-08-03 $36.09 $35.00 24.4% 6.9% 32.9% 4.6% 24.9% 5.2% 1.8% 22.6M -77.9M -13.7M 0.72 8.78 N/A N/A 57,979 41,773 1,253,054 1,249,550 2012-08-06 $36.30 $36.00 28.2% 7.4% 32.9% 9.3% 27.3% 4.9% 2.7% 23.9M -151.5M -13.4M 1.39 5.96 N/A N/A 37,011 51,424 1,238,310 1,239,049 2012-08-07 $37.01 $36.00 29.1% 7.5% 33.4% 10.5% 26.1% 5.3% 2.2% 30.3M -438.0M -13.7M 0.94 6.53 N/A N/A 95,855 89,724 1,247,143 1,265,194 2012-08-08 $37.16 $36.00 23.7% 7.3% 33.3% 5.0% 25.0% 5.2% 2.6% 30.3M -476.4M -13.7M 0.85 6.60 N/A N/A 39,568 33,496 1,249,996 1,279,985 2012-08-09 $36.92 $36.00 22.8% 7.2% 32.7% 3.5% 25.6% 4.6% 2.3% 27.8M -370.7M -13.5M 0.93 7.61 N/A N/A 39,015 36,155 1,259,364 1,276,389 2012-08-10 $36.97 $36.00 20.8% 6.9% 25.8% 0.1% 25.1% 4.3% 2.8% 26.7M -410.2M -13.2M 0.89 6.58 N/A N/A 44,792 39,800 1,265,483 1,285,010 2012-08-13 $36.99 $36.00 20.6% 6.7% 23.5% 0.0% 23.6% 4.3% 3.3% 37.8M -451.8M -13.0M 0.61 3.98 N/A N/A 30,392 18,402 1,261,179 1,274,654 2012-08-14 $37.10 $36.00 20.0% 6.9% 23.4% 0.0% 24.7% 4.6% 3.0% 42.6M -528.4M -13.0M 1.02 7.68 N/A N/A 39,408 40,187 1,271,039 1,278,921 2012-08-15 $37.07 $36.00 20.4% 6.8% 23.4% 0.7% 25.3% 4.4% 3.6% 43.6M -523.0M -13.0M 1.34 9.89 N/A N/A 39,390 52,629 1,277,587 1,276,352 2012-08-16 $37.10 $36.00 24.2% 6.9% 22.5% 6.8% 25.8% 4.8% 3.2% 47.6M -525.3M -12.9M 0.93 8.54 N/A N/A 47,757 44,298 1,273,494 1,271,269 2012-08-17 $36.98 $36.00 22.0% 6.3% 21.4% 3.3% 23.5% 4.3% 3.9% 136.2M -421.1M -12.8M 0.60 7.90 N/A N/A 56,561 34,215 1,284,077 1,291,685 2012-08-20 $37.37 $36.00 22.6% 6.5% 21.1% 4.2% 22.9% 4.1% 3.4% 26.0M -380.4M -12.6M 0.42 7.78 N/A N/A 55,560 23,089 1,141,177 1,091,168 2012-08-21 $38.04 $36.00 23.1% 6.6% 21.6% 5.1% 23.6% 4.2% 3.0% 34.5M -680.8M -13.0M 0.69 7.47 N/A N/A 89,798 62,345 1,167,634 1,098,721 2012-08-22 $37.83 $36.00 23.2% 6.7% 21.7% 5.3% 23.6% 3.8% 3.0% 35.3M -604.5M -13.0M 0.83 7.56 N/A N/A 27,792 23,114 1,188,343 1,106,715 2012-08-23 $37.23 $36.00 23.9% 6.9% 22.0% 6.4% 24.3% 4.3% 3.5% 29.5M -342.5M -13.0M 1.11 9.68 N/A N/A 36,247 40,354 1,199,492 1,111,408 2012-08-24 $37.17 $36.00 23.9% 6.9% 19.4% 6.5% 24.6% 4.4% 3.2% 25.8M -330.7M -13.0M 0.93 8.34 N/A N/A 33,438 31,054 1,202,880 1,129,931 2012-08-27 $37.23 $36.00 24.4% 7.0% 17.8% 7.2% 24.7% 4.3% 2.9% 27.0M -337.3M -12.8M 0.52 9.35 N/A N/A 37,406 19,609 1,192,226 1,119,839 2012-08-28 $37.13 $36.00 24.5% 7.0% 17.8% 7.3% 25.6% 4.3% 2.8% 28.4M -276.9M -12.8M 0.63 7.24 N/A N/A 23,486 14,807 1,208,480 1,128,807 2012-08-29 $37.30 $36.00 25.0% 7.2% 17.8% 8.2% 25.1% 4.5% 2.5% 33.7M -380.2M -12.8M 0.73 6.87 N/A N/A 19,959 14,588 1,214,699 1,132,581 2012-08-30 $36.90 $36.00 26.5% 7.6% 15.9% 10.6% 27.3% 4.1% 2.1% 27.7M -212.4M -12.8M 1.24 8.41 N/A N/A 28,586 35,336 1,222,557 1,136,323 2012-08-31 $37.14 $36.00 19.9% 7.1% 13.4% 0.0% 24.7% 4.3% 2.9% 28.2M -318.5M -12.8M 0.62 8.38 N/A N/A 51,723 31,996 1,228,059 1,145,720
« Jul 2012 | All History | Sep 2012 » Home JPM History August 2012