JPM Options History — February 2013

In February 2013, JPM traded between $47.60 and $49.45. ATM implied volatility averaged 20.5%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.9% (HV 20d: 16.5%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.91.

Notable Days

2013-02-07: Highest Volume — 159,775 contracts
2013-02-25: Largest IV spike — 81.1% change
2013-02-25: Highest IV Rank — 40.7%
2013-02-25: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.58	$47.60	$49.45	$47.85	$48.92
Max Pain	$45.11	$43.00	$46.00	$43.00	$46.00
ATM IV	20.5%	15.9%	34.7%	15.9%	22.2%
Expected Move	5.7%	5.1%	7.4%	5.2%	6.3%
HV 20d	16.5%	13.0%	22.5%	13.8%	22.5%
HV 60d	16.5%	15.0%	20.0%	20.0%	18.1%
IV Rank	10.0%	0.0%	40.7%	0.0%	13.8%
IV Percentile	15.8%	0.0%	85.7%	0.0%	23.0%
Term Structure	0.9%	-1.9%	1.9%	1.3%	0.5%
VWIV	21.2%	18.4%	26.7%	19.3%	23.4%
Skew 25d	3.6%	1.5%	4.8%	4.1%	4.7%
Skew 10d	9.2%	5.1%	13.6%	13.6%	12.1%
Call IV 25d	18.9%	16.9%	24.6%	17.0%	20.7%
Put IV 25d	22.5%	20.0%	29.3%	21.1%	25.3%
Bid-Ask Spread %	4.84	3.35	6.08	4.62	5.51
Gamma HHI	0.18	0.13	0.24	0.21	0.15
Net GEX	65.3M	33.7M	87.1M	84.7M	54.3M
Net DEX	-1.93B	-2.37B	-1.28B	-1.84B	-1.81B
Net VEX	-12.4M	-13.0M	-12.0M	-12.3M	-12.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.52	1.25	0.92	1.03
Total Volume	102,306.211	66,345	159,775	131,516	66,345
Total OI	1,739,386.737	1,636,472	1,837,361	1,661,816	1,805,459

Daily Data (19 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
2013-02-01	$47.85	$43.00	15.9%	5.2%	13.8%	0.0%	19.3%	4.1%	1.3%	84.7M	-1.84B	-12.3M	0.92	4.62	N/A	N/A	68,322	63,194	904,040	757,776
2013-02-04	$47.68	$43.00	19.6%	5.4%	13.0%	8.0%	19.9%	3.9%	1.3%	74.6M	-1.86B	-12.1M	0.88	3.35	N/A	N/A	41,092	36,344	909,605	753,849
2013-02-05	$48.79	$43.00	18.6%	5.2%	14.9%	5.9%	20.5%	3.7%	1.4%	87.1M	-2.23B	-12.3M	0.77	4.03	N/A	N/A	68,600	52,515	920,284	763,674
2013-02-06	$48.61	$43.00	16.9%	5.5%	15.1%	2.3%	20.2%	3.4%	1.3%	75.6M	-2.09B	-12.4M	0.84	3.59	N/A	N/A	43,930	37,105	911,403	773,190
2013-02-07	$48.23	$44.00	19.5%	5.6%	15.6%	7.8%	20.6%	3.7%	1.1%	76.1M	-2.00B	-12.3M	1.19	4.82	N/A	N/A	72,897	86,878	920,243	779,778
2013-02-08	$48.63	$45.00	18.3%	5.2%	15.1%	5.2%	19.3%	3.1%	1.5%	74.8M	-2.13B	-12.7M	0.52	3.35	N/A	N/A	51,430	26,662	946,105	831,071
2013-02-11	$48.66	$45.00	18.0%	5.2%	15.0%	4.7%	21.2%	3.9%	1.9%	73.3M	-2.14B	-12.3M	0.80	3.80	N/A	N/A	47,839	38,446	947,379	827,890
2013-02-12	$49.14	$45.00	18.3%	5.2%	14.9%	5.3%	19.7%	1.5%	1.6%	82.6M	-2.37B	-12.2M	0.86	3.79	N/A	N/A	76,012	65,353	955,462	839,471
2013-02-13	$48.68	$46.00	17.8%	5.1%	15.3%	4.3%	18.4%	2.5%	1.4%	70.4M	-2.16B	-12.1M	0.78	5.54	N/A	N/A	74,067	58,130	972,732	855,354
2013-02-14	$49.22	$46.00	18.1%	5.2%	15.4%	4.9%	19.9%	3.0%	1.5%	83.9M	-2.33B	-12.0M	1.25	5.59	N/A	N/A	39,364	49,171	963,769	862,300
2013-02-15	$48.88	$46.00	18.1%	5.2%	15.3%	4.8%	19.1%	3.2%	1.6%	86.9M	-2.13B	-12.2M	0.65	5.39	N/A	N/A	50,489	32,847	960,535	876,826
2013-02-19	$49.45	$46.00	18.4%	5.3%	15.6%	5.4%	21.0%	2.6%	1.2%	51.1M	-2.02B	-12.0M	1.04	5.00	N/A	N/A	56,054	58,277	862,949	773,523
2013-02-20	$48.61	$46.00	20.5%	5.9%	17.2%	10.0%	21.7%	3.5%	0.3%	46.4M	-1.67B	-12.2M	1.16	6.08	N/A	N/A	48,852	56,557	872,137	787,503
2013-02-21	$48.25	$46.00	21.8%	6.3%	17.2%	12.9%	21.9%	3.7%	-0.0%	43.7M	-1.54B	-12.6M	0.81	5.46	N/A	N/A	61,181	49,858	895,093	812,243
2013-02-22	$48.91	$46.00	19.1%	5.7%	17.7%	7.1%	20.9%	4.0%	0.9%	51.0M	-1.80B	-12.8M	0.87	5.61	N/A	N/A	41,285	36,109	910,162	829,691
2013-02-25	$47.70	$46.00	34.7%	7.4%	19.4%	40.7%	26.7%	4.8%	-1.9%	33.7M	-1.33B	-13.0M	1.24	5.97	N/A	N/A	36,406	45,067	898,444	828,337
2013-02-26	$47.60	$46.00	28.1%	6.8%	19.0%	26.5%	24.9%	4.5%	-0.7%	35.7M	-1.28B	-12.9M	0.97	5.55	N/A	N/A	51,225	49,549	913,073	842,371
2013-02-27	$49.28	$46.00	24.9%	6.4%	22.2%	19.5%	23.9%	4.4%	0.1%	54.9M	-2.01B	-12.8M	0.77	4.89	N/A	N/A	60,071	46,295	925,401	859,226
2013-02-28	$48.92	$46.00	22.2%	6.3%	22.5%	13.8%	23.4%	4.7%	0.5%	54.3M	-1.81B	-12.9M	1.03	5.51	N/A	N/A	32,716	33,629	937,474	867,985