JPM Options History — November 2012

In November 2012, JPM traded between $39.29 and $42.88. ATM implied volatility averaged 24.8%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 2.0% (HV 20d: 26.8%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.85.

Notable Days

2012-11-07: Highest Volume — 168,945 contracts
2012-11-05: Largest IV spike — 19.7% change
2012-11-06: Highest IV Rank — 33.8%
2012-11-07: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.89	$39.29	$42.88	$42.84	$41.08
Max Pain	$39.76	$39.00	$42.00	$41.00	$40.00
ATM IV	24.8%	20.4%	34.2%	24.5%	21.5%
Expected Move	6.8%	5.9%	7.7%	6.3%	6.0%
HV 20d	26.8%	19.4%	29.4%	20.5%	25.9%
HV 60d	22.9%	19.6%	24.0%	19.7%	23.7%
IV Rank	11.5%	1.3%	33.8%	9.3%	3.8%
IV Percentile	24.3%	0.8%	65.9%	20.2%	5.2%
Term Structure	2.0%	-0.7%	3.2%	0.4%	2.6%
VWIV	23.8%	20.8%	26.6%	23.0%	21.3%
Skew 25d	3.8%	3.0%	4.7%	3.7%	3.0%
Skew 10d	7.8%	5.8%	9.9%	8.4%	5.8%
Call IV 25d	22.1%	19.5%	24.7%	20.9%	20.1%
Put IV 25d	25.9%	22.5%	29.1%	24.6%	23.0%
Bid-Ask Spread %	6.91	4.99	9.68	9.44	9.68
Gamma HHI	0.10	0.07	0.12	0.11	0.11
Net GEX	48.2M	21.1M	70.9M	70.9M	58.8M
Net DEX	-827.0M	-1.71B	-151.1M	-1.71B	-900.7M
Net VEX	-12.1M	-12.7M	-11.7M	-12.4M	-11.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.30	1.38	0.83	1.38
Total Volume	83,742.81	44,366	168,945	83,589	57,417
Total OI	2,334,798.857	2,206,686	2,433,468	2,263,547	2,416,102

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
2012-11-01	$42.84	$41.00	24.5%	6.3%	20.5%	9.3%	23.0%	3.7%	0.4%	70.9M	-1.71B	-12.4M	0.83	9.44	N/A	N/A	45,649	37,940	1,225,089	1,038,458
2012-11-02	$42.42	$42.00	27.0%	7.1%	20.9%	14.3%	24.1%	4.0%	-0.7%	61.6M	-1.48B	-12.5M	1.15	9.52	N/A	N/A	39,325	45,261	1,235,860	1,052,599
2012-11-05	$42.27	$40.00	32.3%	7.1%	19.4%	29.4%	25.1%	4.5%	1.6%	57.0M	-1.35B	-12.7M	1.23	4.99	N/A	N/A	24,873	30,592	1,231,064	1,067,785
2012-11-06	$42.88	$40.00	34.2%	6.8%	19.9%	33.8%	24.5%	4.0%	1.9%	66.5M	-1.66B	-12.6M	0.66	5.99	N/A	N/A	41,200	27,084	1,237,256	1,067,771
2012-11-07	$40.48	$40.00	28.2%	7.7%	28.9%	19.8%	26.0%	4.4%	1.1%	32.4M	-537.5M	-12.1M	0.62	5.40	N/A	N/A	104,131	64,814	1,250,133	1,065,139
2012-11-08	$40.40	$40.00	26.1%	7.6%	28.9%	14.6%	25.4%	4.7%	1.4%	36.2M	-536.8M	-12.1M	0.66	5.45	N/A	N/A	45,117	29,609	1,296,535	1,077,502
2012-11-09	$40.62	$40.00	25.6%	7.4%	28.7%	13.5%	26.5%	4.5%	1.5%	38.8M	-606.7M	-12.2M	1.27	5.77	N/A	N/A	42,044	53,534	1,284,571	1,078,809
2012-11-12	$40.58	$40.00	25.9%	7.1%	28.5%	14.3%	25.5%	4.2%	1.7%	41.0M	-631.5M	-11.8M	0.55	5.02	N/A	N/A	51,507	28,142	1,272,726	1,075,078
2012-11-13	$40.04	$39.00	24.9%	7.2%	28.6%	11.9%	24.6%	3.8%	1.9%	34.5M	-396.6M	-11.7M	0.48	5.40	N/A	N/A	63,062	30,224	1,293,851	1,082,727
2012-11-14	$39.29	$39.00	28.2%	7.6%	28.2%	19.7%	26.1%	4.0%	1.8%	21.1M	-151.1M	-11.9M	1.00	5.47	N/A	N/A	43,962	43,937	1,317,636	1,083,537
2012-11-15	$39.39	$39.00	26.6%	7.6%	27.8%	16.0%	26.6%	4.1%	1.7%	24.9M	-214.1M	-11.9M	0.86	7.24	N/A	N/A	50,967	43,920	1,316,749	1,082,171
2012-11-16	$39.53	$39.00	24.7%	7.1%	27.3%	11.4%	25.0%	3.8%	2.3%	27.3M	-247.4M	-11.9M	0.92	6.78	N/A	N/A	56,761	52,265	1,333,721	1,099,747
2012-11-19	$40.59	$39.00	21.9%	6.3%	29.4%	4.8%	21.7%	3.5%	3.0%	41.2M	-725.7M	-12.0M	0.30	8.14	N/A	N/A	106,028	32,232	1,182,255	1,024,431
2012-11-20	$40.70	$39.00	21.2%	6.1%	29.1%	3.1%	21.9%	3.0%	3.1%	58.2M	-855.0M	-12.3M	0.48	6.71	N/A	N/A	61,241	29,701	1,241,932	1,037,780
2012-11-21	$40.73	$39.00	20.4%	5.9%	29.0%	1.3%	20.8%	3.0%	3.2%	63.3M	-829.7M	-12.2M	0.87	6.91	N/A	N/A	23,695	20,671	1,254,608	1,046,179
2012-11-23	$41.09	$39.00	20.8%	6.0%	28.6%	2.2%	21.4%	3.5%	3.1%	61.0M	-1.02B	-12.1M	0.90	6.42	N/A	N/A	28,762	25,769	1,267,819	1,054,648
2012-11-26	$40.88	$40.00	21.9%	6.3%	28.4%	4.8%	23.0%	3.6%	2.8%	50.0M	-861.2M	-11.8M	1.09	8.42	N/A	N/A	31,875	34,783	1,244,252	1,054,017
2012-11-27	$40.75	$40.00	21.7%	6.2%	28.4%	4.2%	22.6%	3.4%	2.2%	50.0M	-792.0M	-11.8M	0.99	8.01	N/A	N/A	26,727	26,393	1,254,346	1,070,462
2012-11-28	$40.83	$40.00	22.3%	6.4%	28.1%	5.6%	23.2%	3.6%	2.2%	51.9M	-821.3M	-12.0M	0.58	6.99	N/A	N/A	50,584	29,449	1,263,228	1,076,851
2012-11-29	$41.22	$40.00	21.5%	6.2%	27.9%	3.9%	21.7%	3.3%	2.5%	65.3M	-1.04B	-12.0M	1.05	7.32	N/A	N/A	37,698	39,654	1,289,489	1,085,863
2012-11-30	$41.08	$40.00	21.5%	6.0%	25.9%	3.8%	21.3%	3.0%	2.6%	58.8M	-900.7M	-11.8M	1.38	9.68	N/A	N/A	24,103	33,314	1,307,251	1,108,851