JPM Options History — March 2013

In March 2013, JPM traded between $47.46 and $51.00. ATM implied volatility averaged 20.9%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 0.2% (HV 20d: 20.7%). Max pain ranged from $46.00 to $48.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.95.

Notable Days

2013-03-15: Highest Volume — 258,243 contracts
2013-03-04: Largest IV spike — 16.5% change
2013-03-04: Highest IV Rank — 16.0%
2013-03-21: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.38	$47.46	$51.00	$48.91	$47.46
Max Pain	$47.75	$46.00	$48.00	$46.00	$48.00
ATM IV	20.9%	17.9%	23.3%	20.0%	21.8%
Expected Move	6.1%	5.6%	6.5%	6.1%	6.3%
HV 20d	20.7%	16.1%	22.5%	22.5%	16.1%
HV 60d	17.7%	17.2%	18.1%	18.0%	17.8%
IV Rank	10.9%	4.4%	16.0%	8.9%	12.9%
IV Percentile	18.5%	3.2%	32.1%	10.3%	25.8%
Term Structure	-0.4%	-1.4%	1.0%	1.0%	-0.0%
VWIV	21.8%	20.3%	23.4%	22.9%	22.1%
Skew 25d	3.7%	2.5%	5.4%	5.4%	3.7%
Skew 10d	7.2%	4.9%	12.4%	12.4%	6.8%
Call IV 25d	19.8%	18.3%	21.0%	20.2%	20.0%
Put IV 25d	23.4%	21.4%	25.6%	25.6%	23.7%
Bid-Ask Spread %	3.01	1.55	6.71	2.58	6.71
Gamma HHI	0.20	0.14	0.27	0.17	0.19
Net GEX	38.5M	-27.8M	64.8M	61.4M	-27.8M
Net DEX	-1.67B	-2.59B	-582.6M	-1.75B	-582.6M
Net VEX	-12.7M	-13.2M	-12.1M	-13.2M	-12.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.50	1.62	0.72	1.13
Total Volume	95,822.6	33,299	258,243	103,516	88,752
Total OI	1,763,038.25	1,559,822	1,956,454	1,823,760	1,667,861

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
2013-03-01	$48.91	$46.00	20.0%	6.1%	22.5%	8.9%	22.9%	5.4%	1.0%	61.4M	-1.75B	-13.2M	0.72	2.58	N/A	N/A	60,008	43,508	944,421	879,339
2013-03-04	$49.10	$47.00	23.3%	6.4%	21.8%	16.0%	23.4%	5.0%	-0.9%	50.6M	-1.85B	-12.7M	0.50	2.72	N/A	N/A	37,331	18,733	924,195	871,253
2013-03-05	$49.49	$47.00	23.1%	6.3%	21.8%	15.7%	23.0%	4.1%	-0.8%	56.9M	-2.05B	-12.3M	1.38	2.42	N/A	N/A	46,959	64,724	927,170	877,135
2013-03-06	$50.03	$47.00	20.8%	6.3%	20.7%	10.7%	21.9%	3.3%	-1.4%	53.6M	-2.22B	-12.3M	0.92	2.23	N/A	N/A	45,499	41,644	934,774	906,281
2013-03-07	$50.63	$48.00	21.2%	6.1%	20.9%	11.5%	22.1%	3.3%	-0.9%	55.6M	-2.51B	-12.1M	1.55	2.38	N/A	N/A	74,986	116,149	943,156	928,445
2013-03-08	$50.20	$48.00	18.0%	5.9%	21.0%	4.5%	20.7%	3.4%	-0.3%	47.9M	-2.33B	-12.3M	0.74	1.75	N/A	N/A	61,401	45,332	956,907	935,873
2013-03-11	$50.48	$48.00	17.9%	5.7%	20.9%	4.4%	20.8%	2.9%	-0.3%	59.5M	-2.46B	-12.1M	0.61	2.86	N/A	N/A	50,855	31,068	952,358	928,092
2013-03-12	$50.28	$48.00	19.4%	5.7%	21.0%	7.7%	20.3%	3.1%	-0.1%	64.8M	-2.37B	-12.2M	0.80	1.66	N/A	N/A	48,323	38,820	967,916	939,842
2013-03-13	$50.16	$48.00	19.8%	5.7%	20.8%	8.6%	20.4%	2.5%	-0.3%	64.4M	-2.27B	-12.5M	1.00	2.29	N/A	N/A	27,441	27,458	975,228	957,710
2013-03-14	$51.00	$48.00	20.5%	5.9%	21.1%	10.1%	22.4%	3.7%	-1.0%	56.3M	-2.59B	-12.6M	1.62	3.35	N/A	N/A	40,621	65,985	978,735	961,558
2013-03-15	$50.02	$48.00	19.4%	5.6%	22.2%	7.7%	21.1%	3.1%	-0.2%	38.1M	-2.14B	-12.5M	0.90	4.21	N/A	N/A	135,993	122,250	985,738	970,716
2013-03-18	$49.51	$48.00	20.3%	5.8%	22.4%	9.5%	21.4%	3.6%	-0.5%	30.2M	-1.29B	-12.8M	0.75	1.63	N/A	N/A	51,072	38,451	793,620	766,202
2013-03-19	$49.20	$48.00	21.9%	6.3%	22.1%	13.1%	22.4%	3.6%	-0.3%	27.7M	-1.20B	-12.9M	0.93	2.95	N/A	N/A	51,675	48,180	807,054	777,610
2013-03-20	$49.12	$48.00	21.5%	6.2%	21.2%	12.1%	21.7%	3.7%	-0.1%	26.6M	-1.17B	-13.2M	0.94	1.79	N/A	N/A	37,208	34,901	825,325	795,927
2013-03-21	$48.35	$48.00	22.8%	6.5%	21.8%	15.0%	22.3%	3.9%	-0.4%	13.3M	-867.7M	-13.2M	0.86	1.55	N/A	N/A	32,744	28,151	833,228	812,081
2013-03-22	$48.78	$48.00	21.4%	6.1%	21.5%	11.9%	21.3%	4.1%	-0.2%	27.4M	-999.8M	-13.1M	1.16	3.62	N/A	N/A	35,051	40,769	834,244	815,700
2013-03-25	$48.52	$48.00	21.9%	6.3%	19.5%	13.1%	22.4%	3.7%	-0.5%	25.4M	-997.4M	-13.1M	0.82	5.04	N/A	N/A	30,498	25,005	814,858	802,205
2013-03-26	$48.64	$48.00	20.7%	5.9%	19.5%	10.5%	21.5%	3.3%	-0.1%	28.6M	-1.04B	-13.0M	1.00	1.76	N/A	N/A	16,653	16,646	822,846	805,849
2013-03-27	$47.77	$48.00	21.9%	6.3%	16.1%	13.2%	22.1%	3.8%	-0.4%	9.7M	-715.9M	-12.9M	0.59	6.63	N/A	N/A	60,128	35,480	828,690	810,623
2013-03-28	$47.46	$48.00	21.8%	6.3%	16.1%	12.9%	22.1%	3.7%	-0.0%	-27.8M	-582.6M	-12.8M	1.13	6.71	N/A	N/A	41,619	47,133	846,007	821,854