JPM Options History — October 2012

In October 2012, JPM traded between $40.86 and $43.32. ATM implied volatility averaged 26.2%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 7.4% (HV 20d: 18.8%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.71.

Notable Days

2012-10-02: Highest Volume — 543,914 contracts
2012-10-10: Largest IV drop — 32.8% change
2012-10-09: Highest IV Rank — 41.8%
2012-10-01: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.82	$40.86	$43.32	$40.97	$41.68
Max Pain	$40.33	$38.00	$41.00	$38.00	$41.00
ATM IV	26.2%	20.9%	43.2%	26.4%	27.3%
Expected Move	6.8%	6.0%	7.6%	7.6%	6.6%
HV 20d	18.8%	14.7%	24.3%	24.3%	18.2%
HV 60d	21.5%	19.0%	24.9%	24.5%	19.0%
IV Rank	11.7%	2.1%	41.8%	10.6%	14.9%
IV Percentile	25.4%	2.8%	79.4%	29.4%	40.9%
Term Structure	-0.0%	-1.7%	1.1%	-1.6%	0.7%
VWIV	24.3%	21.4%	27.0%	26.9%	24.1%
Skew 25d	3.3%	1.6%	4.5%	3.3%	4.3%
Skew 10d	6.6%	3.1%	9.5%	6.8%	9.1%
Call IV 25d	22.8%	19.8%	25.5%	25.5%	21.8%
Put IV 25d	26.0%	22.9%	28.8%	28.8%	26.1%
Bid-Ask Spread %	5.78	3.33	13.17	7.57	13.17
Gamma HHI	0.11	0.08	0.20	0.09	0.10
Net GEX	74.9M	44.6M	119.7M	54.4M	53.9M
Net DEX	-1.50B	-2.42B	-911.6M	-1.39B	-1.13B
Net VEX	-13.4M	-14.0M	-12.5M	-13.4M	-12.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.19	1.33	0.25	0.72
Total Volume	131,539.19	63,009	543,914	133,661	64,453
Total OI	2,334,972.667	2,155,987	2,512,786	2,155,987	2,241,732

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
2012-10-01	$40.97	$38.00	26.4%	7.6%	24.3%	10.6%	26.9%	3.3%	-1.6%	54.4M	-1.39B	-13.4M	0.25	7.57	N/A	N/A	106,582	27,079	1,215,537	940,450
2012-10-02	$40.92	$38.00	28.1%	7.4%	24.2%	13.4%	26.0%	3.0%	-1.7%	61.7M	-1.41B	-13.6M	0.19	4.68	N/A	N/A	458,853	85,061	1,274,373	949,408
2012-10-03	$40.86	$40.00	25.6%	7.3%	24.3%	10.2%	27.0%	4.1%	-1.6%	60.1M	-1.09B	-14.0M	1.03	3.37	N/A	N/A	46,284	47,491	1,246,512	1,011,144
2012-10-04	$41.82	$40.00	31.0%	7.4%	21.3%	19.9%	26.9%	3.8%	-1.5%	83.6M	-1.56B	-13.9M	0.82	5.12	N/A	N/A	81,849	66,884	1,266,031	1,034,637
2012-10-05	$41.71	$40.00	29.3%	6.8%	20.9%	16.9%	24.1%	2.7%	0.1%	71.2M	-1.52B	-13.9M	0.65	4.03	N/A	N/A	61,624	40,236	1,282,710	1,054,567
2012-10-08	$41.66	$40.00	37.4%	6.9%	20.0%	31.4%	24.5%	3.0%	-0.3%	71.0M	-1.43B	-13.7M	0.31	3.70	N/A	N/A	104,746	32,673	1,272,091	1,043,722
2012-10-09	$41.38	$40.00	43.2%	7.4%	19.2%	41.8%	25.7%	3.0%	-1.1%	70.5M	-1.35B	-13.9M	0.80	3.33	N/A	N/A	35,063	27,946	1,318,429	1,053,547
2012-10-10	$41.77	$40.00	29.0%	7.3%	19.3%	16.3%	25.6%	2.9%	-1.1%	78.6M	-1.55B	-14.0M	0.49	4.47	N/A	N/A	83,615	41,385	1,324,529	1,060,111
2012-10-11	$42.10	$40.00	24.9%	7.1%	14.7%	10.2%	25.3%	2.6%	-0.8%	87.3M	-1.72B	-14.0M	0.60	8.61	N/A	N/A	122,872	73,205	1,345,298	1,079,731
2012-10-12	$41.62	$40.00	23.6%	6.8%	15.2%	7.5%	23.7%	1.6%	0.1%	81.4M	-1.45B	-13.7M	0.53	4.98	N/A	N/A	150,523	79,786	1,374,603	1,108,633
2012-10-15	$42.38	$41.00	22.8%	6.5%	16.1%	5.8%	23.7%	2.5%	0.5%	106.5M	-1.85B	-13.2M	0.98	5.21	N/A	N/A	46,284	45,391	1,349,744	1,093,866
2012-10-16	$42.83	$41.00	21.5%	6.2%	16.4%	3.3%	22.2%	2.6%	1.1%	113.3M	-2.10B	-13.2M	0.58	5.03	N/A	N/A	108,868	63,513	1,353,017	1,106,959
2012-10-17	$43.32	$41.00	21.2%	6.1%	16.8%	2.7%	21.7%	3.1%	1.0%	119.7M	-2.42B	-13.2M	0.83	4.97	N/A	N/A	70,963	58,675	1,372,726	1,126,796
2012-10-18	$43.01	$41.00	20.9%	6.0%	17.0%	2.1%	21.4%	3.0%	1.0%	119.4M	-2.15B	-13.2M	0.53	6.02	N/A	N/A	43,359	22,919	1,367,347	1,131,837
2012-10-19	$42.32	$41.00	21.9%	6.3%	17.8%	4.0%	22.4%	3.5%	1.1%	92.6M	-1.70B	-13.0M	0.70	5.90	N/A	N/A	61,935	43,478	1,376,698	1,136,088
2012-10-22	$42.09	$41.00	22.5%	6.5%	17.8%	5.3%	23.6%	3.6%	0.5%	54.1M	-1.35B	-12.6M	0.80	6.75	N/A	N/A	42,781	34,239	1,179,595	993,707
2012-10-23	$41.33	$41.00	24.6%	7.1%	18.0%	9.5%	24.6%	4.0%	0.2%	44.6M	-1.03B	-13.0M	1.33	6.60	N/A	N/A	29,377	38,929	1,196,942	1,008,567
2012-10-24	$41.71	$41.00	23.1%	6.6%	17.9%	6.6%	22.4%	4.0%	0.7%	50.7M	-1.21B	-13.1M	0.83	6.06	N/A	N/A	43,656	36,244	1,204,897	1,023,352
2012-10-25	$41.67	$41.00	23.2%	6.6%	17.6%	6.6%	23.8%	4.0%	1.0%	52.6M	-1.14B	-13.3M	1.10	5.99	N/A	N/A	32,462	35,792	1,221,924	1,028,876
2012-10-26	$41.16	$41.00	22.8%	6.8%	18.2%	5.9%	24.0%	4.5%	0.7%	44.7M	-911.6M	-12.8M	0.94	5.78	N/A	N/A	33,577	31,671	1,224,617	1,039,076
2012-10-31	$41.68	$41.00	27.3%	6.6%	18.2%	14.9%	24.1%	4.3%	0.7%	53.9M	-1.13B	-12.5M	0.72	13.17	N/A	N/A	37,502	26,951	1,213,858	1,027,874