JPM Options History — January 2013

In January 2013, JPM traded between $44.57 and $47.16. ATM implied volatility averaged 19.7%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.0% (HV 20d: 15.7%). Max pain ranged from $41.00 to $46.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.76.

Notable Days

2013-01-15: Highest Volume — 227,997 contracts
2013-01-09: Largest IV spike — 19.4% change
2013-01-09: Highest IV Rank — 16.6%
2013-01-02: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.16	$44.57	$47.16	$44.66	$47.05
Max Pain	$43.29	$41.00	$46.00	$41.00	$46.00
ATM IV	19.7%	16.3%	25.9%	22.9%	17.0%
Expected Move	5.6%	4.7%	7.2%	7.2%	4.7%
HV 20d	15.7%	13.0%	17.8%	17.8%	13.0%
HV 60d	21.0%	19.7%	21.8%	21.8%	19.7%
IV Rank	4.2%	0.0%	16.6%	7.1%	1.6%
IV Percentile	5.4%	0.0%	46.0%	14.7%	0.8%
Term Structure	1.1%	-2.5%	2.5%	-2.1%	2.5%
VWIV	20.2%	17.0%	27.2%	27.2%	17.3%
Skew 25d	2.9%	0.5%	5.1%	5.1%	3.3%
Skew 10d	6.6%	0.6%	9.9%	9.3%	9.9%
Call IV 25d	18.6%	15.9%	23.7%	23.7%	15.9%
Put IV 25d	21.4%	17.9%	28.8%	28.8%	19.3%
Bid-Ask Spread %	6.11	4.33	10.65	6.20	6.35
Gamma HHI	0.15	0.12	0.21	0.16	0.15
Net GEX	89.1M	55.4M	137.0M	92.5M	64.1M
Net DEX	-1.94B	-2.98B	-1.27B	-1.70B	-1.60B
Net VEX	-11.6M	-12.4M	-11.0M	-11.6M	-12.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.22	1.28	0.61	1.19
Total Volume	121,048.333	63,691	227,997	164,495	68,195
Total OI	1,993,930.286	1,407,935	2,427,517	2,174,563	1,643,791

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
2013-01-02	$44.66	$41.00	22.9%	7.2%	17.8%	7.1%	27.2%	5.1%	-2.1%	92.5M	-1.70B	-11.6M	0.61	6.20	N/A	N/A	102,166	62,329	1,116,496	1,058,067
2013-01-03	$44.57	$41.00	19.8%	7.0%	17.6%	0.0%	26.4%	4.6%	-2.5%	92.9M	-1.71B	-11.6M	0.76	5.28	N/A	N/A	57,182	43,535	1,129,701	1,066,671
2013-01-04	$45.36	$42.00	18.7%	6.1%	17.8%	0.0%	22.5%	4.0%	1.1%	105.2M	-2.07B	-11.6M	0.58	10.65	N/A	N/A	103,996	60,020	1,142,630	1,074,882
2013-01-07	$45.41	$42.00	20.3%	6.2%	17.8%	3.7%	21.1%	3.3%	0.8%	105.0M	-2.08B	-11.6M	0.74	5.80	N/A	N/A	47,586	35,033	1,145,715	1,084,510
2013-01-08	$45.50	$42.00	21.7%	6.2%	15.9%	6.9%	21.9%	2.8%	0.9%	100.9M	-1.97B	-11.9M	0.87	5.36	N/A	N/A	34,037	29,654	1,145,624	1,096,464
2013-01-09	$45.47	$42.00	25.9%	6.2%	15.6%	16.6%	21.9%	3.5%	0.7%	109.2M	-2.01B	-11.9M	0.80	5.17	N/A	N/A	63,231	50,777	1,157,964	1,110,492
2013-01-10	$46.15	$42.00	21.2%	6.1%	16.0%	5.7%	21.4%	3.2%	0.5%	113.2M	-2.39B	-11.7M	0.68	5.62	N/A	N/A	62,222	42,467	1,168,934	1,120,211
2013-01-11	$46.14	$42.00	20.5%	5.9%	16.1%	4.1%	20.8%	3.1%	0.8%	119.6M	-2.37B	-11.7M	0.69	5.64	N/A	N/A	54,133	37,587	1,177,556	1,128,827
2013-01-14	$45.88	$42.00	21.1%	6.0%	16.4%	5.4%	21.3%	3.3%	0.6%	106.9M	-2.17B	-11.8M	0.58	5.85	N/A	N/A	66,943	38,650	1,163,689	1,124,514
2013-01-15	$46.35	$42.00	21.4%	6.1%	16.5%	6.1%	22.7%	3.1%	0.4%	116.4M	-2.48B	-11.7M	0.41	5.75	N/A	N/A	161,437	66,560	1,193,973	1,134,906
2013-01-16	$46.82	$42.00	18.3%	5.3%	16.1%	0.0%	19.1%	2.8%	1.5%	137.0M	-2.98B	-11.8M	0.55	5.59	N/A	N/A	136,629	75,696	1,263,957	1,154,621
2013-01-17	$46.44	$44.00	18.8%	5.4%	16.5%	1.0%	18.9%	2.3%	1.8%	125.0M	-2.60B	-11.7M	0.75	5.61	N/A	N/A	74,805	56,303	1,216,955	1,170,366
2013-01-18	$46.46	$44.00	18.4%	5.3%	16.1%	0.3%	19.7%	0.5%	1.6%	65.1M	-2.64B	-11.6M	0.22	5.31	N/A	N/A	153,188	33,453	1,236,024	1,191,493
2013-01-22	$46.54	$45.00	16.3%	4.7%	14.4%	0.0%	17.2%	1.5%	1.8%	56.2M	-1.37B	-11.0M	0.59	4.33	N/A	N/A	76,391	44,919	782,118	625,817
2013-01-23	$46.23	$45.00	16.3%	4.7%	13.8%	0.1%	17.0%	1.9%	2.0%	55.7M	-1.27B	-11.2M	1.26	5.03	N/A	N/A	32,466	41,048	809,710	643,280
2013-01-24	$46.37	$45.00	17.1%	4.9%	13.7%	1.8%	17.8%	2.4%	1.7%	59.6M	-1.32B	-11.3M	0.91	6.76	N/A	N/A	55,181	50,403	808,616	661,223
2013-01-25	$47.16	$45.00	17.6%	4.7%	14.6%	2.9%	17.3%	2.0%	2.2%	61.5M	-1.59B	-11.4M	0.60	7.01	N/A	N/A	53,910	32,123	819,111	680,262
2013-01-28	$46.64	$45.00	19.7%	4.8%	15.0%	7.5%	18.1%	2.3%	1.9%	55.4M	-1.38B	-11.5M	1.15	7.50	N/A	N/A	56,074	64,401	821,766	680,423
2013-01-29	$47.12	$45.00	20.0%	4.8%	14.4%	8.0%	17.9%	2.5%	2.2%	64.2M	-1.54B	-11.6M	1.28	7.19	N/A	N/A	38,545	49,248	844,515	706,210
2013-01-30	$47.13	$45.00	20.5%	4.8%	13.7%	9.2%	17.5%	2.3%	2.1%	66.3M	-1.59B	-11.6M	0.69	6.30	N/A	N/A	76,405	53,087	859,120	711,332
2013-01-31	$47.05	$46.00	17.0%	4.7%	13.0%	1.6%	17.3%	3.3%	2.5%	64.1M	-1.60B	-12.4M	1.19	6.35	N/A	N/A	31,083	37,112	905,240	738,551