JPM Options History — December 2012

In December 2012, JPM traded between $40.57 and $44.53. ATM implied volatility averaged 25.0%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 7.3% (HV 20d: 17.7%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.88.

Notable Days

2012-12-31: Highest Volume — 870,212 contracts
2012-12-13: Largest IV spike — 19.8% change
2012-12-28: Highest IV Rank — 24.1%
2012-12-28: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.90	$40.57	$44.53	$40.81	$43.97
Max Pain	$39.85	$39.00	$40.00	$40.00	$40.00
ATM IV	25.0%	20.2%	30.1%	25.8%	27.4%
Expected Move	7.2%	6.4%	9.2%	6.4%	9.0%
HV 20d	17.7%	13.5%	25.9%	25.8%	17.7%
HV 60d	21.7%	21.0%	23.8%	23.8%	21.6%
IV Rank	12.1%	0.7%	24.1%	14.0%	17.8%
IV Percentile	32.7%	0.8%	70.6%	36.9%	56.3%
Term Structure	-0.6%	-3.9%	2.2%	2.0%	-3.9%
VWIV	26.3%	22.3%	34.0%	23.4%	31.7%
Skew 25d	3.8%	2.8%	4.8%	3.6%	4.4%
Skew 10d	7.5%	5.7%	9.8%	6.9%	9.4%
Call IV 25d	24.1%	20.4%	30.6%	21.4%	30.2%
Put IV 25d	27.9%	24.1%	35.3%	25.0%	34.6%
Bid-Ask Spread %	6.59	3.82	10.89	8.21	4.98
Gamma HHI	0.14	0.11	0.30	0.11	0.13
Net GEX	81.6M	47.0M	136.0M	53.8M	68.4M
Net DEX	-1.61B	-2.59B	-657.1M	-787.3M	-1.76B
Net VEX	-11.8M	-12.3M	-11.5M	-11.7M	-12.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.04	2.06	0.74	0.04
Total Volume	132,173.1	35,073	870,212	66,332	870,212
Total OI	2,439,655.5	2,180,354	2,641,605	2,414,483	2,256,021

Daily Data (20 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
2012-12-03	$40.81	$40.00	25.8%	6.4%	25.8%	14.0%	23.4%	3.6%	2.0%	53.8M	-787.3M	-11.7M	0.74	8.21	N/A	N/A	38,065	28,267	1,303,196	1,111,287
2012-12-04	$40.57	$40.00	26.3%	6.6%	25.8%	15.2%	24.5%	3.8%	1.8%	47.0M	-657.1M	-11.8M	2.06	8.37	N/A	N/A	22,667	46,611	1,321,787	1,123,067
2012-12-05	$41.20	$40.00	26.1%	6.6%	25.9%	14.8%	23.1%	3.2%	2.0%	60.4M	-960.4M	-12.0M	1.10	10.89	N/A	N/A	59,358	65,476	1,325,402	1,143,622
2012-12-06	$41.47	$40.00	22.2%	6.4%	15.7%	5.5%	22.3%	3.7%	2.2%	65.8M	-1.06B	-11.8M	1.01	9.59	N/A	N/A	19,783	20,062	1,317,920	1,146,305
2012-12-07	$42.56	$39.00	21.0%	6.7%	17.9%	2.7%	23.8%	3.5%	-0.0%	133.8M	-1.63B	-11.9M	0.64	5.19	N/A	N/A	75,445	48,517	1,320,028	1,149,201
2012-12-10	$42.31	$39.00	22.6%	7.0%	18.1%	6.4%	25.0%	3.4%	-0.5%	79.3M	-1.44B	-11.7M	1.18	8.63	N/A	N/A	39,124	45,983	1,314,146	1,146,099
2012-12-11	$42.64	$39.00	24.4%	6.8%	18.2%	10.7%	25.0%	3.4%	-0.1%	79.3M	-1.57B	-11.7M	1.40	5.43	N/A	N/A	41,535	58,110	1,314,522	1,160,921
2012-12-12	$42.77	$40.00	20.2%	6.8%	17.2%	0.7%	25.3%	3.4%	-0.4%	82.1M	-1.61B	-11.7M	1.19	6.30	N/A	N/A	47,449	56,453	1,317,115	1,174,706
2012-12-13	$42.78	$40.00	24.2%	6.9%	15.1%	10.2%	24.1%	3.6%	-0.5%	82.2M	-1.65B	-11.6M	0.75	6.52	N/A	N/A	37,530	28,225	1,319,084	1,197,561
2012-12-14	$42.81	$40.00	24.0%	6.9%	15.1%	9.8%	24.9%	4.0%	-0.4%	85.7M	-1.65B	-11.7M	0.57	5.35	N/A	N/A	32,032	18,287	1,333,951	1,204,874
2012-12-17	$43.48	$40.00	24.6%	7.1%	15.7%	11.2%	25.7%	3.8%	-1.0%	95.7M	-2.04B	-11.5M	1.01	6.01	N/A	N/A	49,150	49,699	1,336,586	1,197,996
2012-12-18	$43.87	$40.00	24.1%	6.9%	13.5%	10.1%	25.2%	3.1%	-1.1%	96.0M	-2.20B	-11.5M	0.52	5.49	N/A	N/A	111,914	58,114	1,335,384	1,214,847
2012-12-19	$43.53	$40.00	25.2%	7.2%	14.2%	12.6%	27.1%	3.1%	-1.5%	95.4M	-2.03B	-11.9M	0.79	5.94	N/A	N/A	69,111	54,364	1,371,228	1,231,635
2012-12-20	$44.53	$40.00	24.6%	7.1%	15.7%	11.2%	26.7%	2.8%	-1.2%	110.0M	-2.59B	-11.8M	0.72	6.59	N/A	N/A	69,724	50,257	1,374,793	1,239,799
2012-12-21	$44.00	$40.00	25.8%	7.4%	16.6%	14.1%	27.6%	4.3%	-1.1%	136.0M	-2.26B	-12.0M	0.97	6.53	N/A	N/A	74,282	72,204	1,382,760	1,258,845
2012-12-24	$43.92	$40.00	25.9%	7.4%	16.4%	14.2%	27.7%	4.7%	-1.3%	67.9M	-1.66B	-11.8M	0.64	3.82	N/A	N/A	21,395	13,678	1,165,271	1,015,083
2012-12-26	$43.96	$40.00	26.8%	7.7%	16.3%	16.3%	28.1%	4.8%	-1.8%	69.9M	-1.70B	-11.8M	0.64	5.80	N/A	N/A	34,760	22,252	1,176,322	1,018,932
2012-12-27	$43.63	$40.00	28.6%	8.2%	16.8%	20.6%	31.0%	4.7%	-2.3%	64.6M	-1.55B	-12.0M	0.80	6.10	N/A	N/A	64,320	51,632	1,186,507	1,029,855
2012-12-28	$43.24	$40.00	30.1%	9.2%	17.1%	24.1%	34.0%	4.6%	-3.6%	59.2M	-1.40B	-12.3M	0.81	5.96	N/A	N/A	42,758	34,657	1,207,056	1,049,396
2012-12-31	$43.97	$40.00	27.4%	9.0%	17.7%	17.8%	31.7%	4.4%	-3.9%	68.4M	-1.76B	-12.3M	0.04	4.98	N/A	N/A	839,707	30,505	1,204,227	1,051,794