JPM Options History — September 2012

In September 2012, JPM traded between $37.01 and $41.57. ATM implied volatility averaged 24.7%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 3.0% (HV 20d: 21.7%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.75.

Notable Days

  • 2012-09-14: Highest Volume — 253,492 contracts
  • 2012-09-12: Largest IV drop — 27.5% change
  • 2012-09-11: Highest IV Rank — 14.3%
  • 2012-09-05: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.13$37.01$41.57$37.01$40.48
Max Pain$37.00$36.00$38.00$36.00$38.00
ATM IV24.7%20.8%28.7%24.0%22.5%
Expected Move7.1%6.7%7.5%7.4%7.4%
HV 20d21.7%11.5%24.6%13.4%24.2%
HV 60d27.4%24.7%28.9%27.9%24.7%
IV Rank7.8%1.5%14.3%6.8%4.2%
IV Percentile16.3%2.0%39.3%9.9%4.4%
Term Structure-0.1%-1.2%3.0%2.2%-1.0%
VWIV25.9%24.6%28.3%26.0%28.3%
Skew 25d3.5%1.9%5.3%4.1%3.9%
Skew 10d6.3%3.1%10.2%6.6%6.9%
Call IV 25d23.7%22.4%24.7%24.4%24.2%
Put IV 25d27.2%25.6%28.6%28.5%28.1%
Bid-Ask Spread %5.272.467.866.207.86
Gamma HHI0.110.080.150.090.11
Net GEX50.0M27.8M67.9M27.8M28.6M
Net DEX-1.47B-2.43B-267.2M-267.2M-1.16B
Net VEX-12.5M-13.5M-11.9M-12.5M-13.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.181.820.570.72
Total Volume117,825.31633,404253,49258,56675,519
Total OI2,376,553.1581,983,5092,600,8072,357,8512,165,123

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$37.01$36.0024.0%7.4%13.4%6.8%26.0%4.1%2.2%27.8M-267.2M-12.5M0.576.20N/AN/A37,21421,3521,220,3661,137,485
2012-09-05$37.11$36.0025.7%7.5%11.5%9.4%26.1%3.9%1.9%32.3M-328.5M-12.5M1.375.32N/AN/A14,07019,3341,240,2231,143,351
2012-09-06$38.69$36.0024.9%6.7%18.7%8.2%25.2%3.2%3.0%51.9M-1.06B-12.7M0.727.51N/AN/A137,38698,5521,243,3991,145,414
2012-09-07$39.30$36.0022.5%7.3%19.0%4.3%27.5%5.3%-0.1%56.7M-1.33B-13.0M0.895.31N/AN/A94,20383,9161,278,2841,165,705
2012-09-10$38.76$37.0027.4%7.2%20.0%12.2%26.2%5.3%0.0%47.8M-975.7M-12.8M0.405.84N/AN/A74,85830,0411,261,8791,172,603
2012-09-11$39.60$37.0028.7%7.0%21.1%14.3%26.5%4.8%0.0%57.5M-1.37B-12.6M0.584.66N/AN/A62,37036,4131,271,1251,169,548
2012-09-12$39.92$37.0020.8%7.1%21.1%1.5%25.6%4.5%-0.2%61.4M-1.57B-12.7M0.704.78N/AN/A77,75754,4621,284,5751,183,637
2012-09-13$41.40$37.0024.4%7.0%24.0%7.3%25.3%4.2%-0.6%58.6M-2.28B-12.3M0.545.69N/AN/A146,19579,0761,300,2461,196,407
2012-09-14$41.57$37.0025.3%7.2%24.0%8.8%25.8%3.0%-0.8%67.9M-2.43B-12.4M0.466.36N/AN/A173,67479,8181,329,7071,212,060
2012-09-17$41.19$37.0025.4%7.3%24.3%8.9%26.3%3.0%-0.6%59.4M-2.12B-12.4M1.823.93N/AN/A33,66461,1981,329,4531,200,798
2012-09-18$41.26$37.0024.8%7.1%24.3%7.9%25.2%3.0%-0.7%55.8M-2.10B-12.3M1.034.61N/AN/A28,90929,7331,331,1031,221,547
2012-09-19$41.34$37.0025.4%7.3%23.8%9.0%26.0%1.9%-1.2%55.4M-2.19B-12.4M0.825.05N/AN/A64,04052,4441,335,8101,231,371
2012-09-20$41.25$37.0024.6%7.1%23.7%7.7%25.1%2.0%-0.7%59.2M-2.19B-12.1M0.625.68N/AN/A53,57933,1061,356,5691,244,238
2012-09-21$40.88$37.0023.6%6.8%23.0%6.0%25.8%2.7%-0.0%56.8M-1.86B-12.3M0.604.94N/AN/A58,56234,8941,349,7601,248,567
2012-09-24$41.23$37.0023.8%6.8%22.9%6.4%24.6%2.4%-0.6%47.1M-1.38B-12.0M0.663.86N/AN/A47,02930,8231,075,251908,258
2012-09-25$40.55$38.0024.3%7.0%24.2%7.1%24.8%2.8%-0.9%40.7M-1.10B-11.9M0.542.46N/AN/A56,28330,3871,090,676921,401
2012-09-26$40.24$38.0025.8%7.4%24.4%9.7%26.3%3.1%-1.0%37.8M-960.9M-12.2M0.183.69N/AN/A132,77624,1051,109,899932,144
2012-09-27$40.68$38.0025.4%7.3%24.6%9.0%26.2%3.2%-1.1%47.7M-1.25B-13.5M0.996.31N/AN/A35,64535,2941,209,317937,211
2012-09-28$40.48$38.0022.5%7.4%24.2%4.2%28.3%3.9%-1.0%28.6M-1.16B-13.2M0.727.86N/AN/A43,84531,6741,217,256947,867