JPM Options History — April 2013

In April 2013, JPM traded between $46.64 and $49.31. ATM implied volatility averaged 21.6%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.3% (HV 20d: 21.3%). Max pain ranged from $48.00 to $49.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.05.

Notable Days

2013-04-02: Highest Volume — 379,778 contracts
2013-04-03: Largest IV spike — 29.0% change
2013-04-09: Highest IV Rank — 37.2%
2013-04-03: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.20	$46.64	$49.31	$47.83	$49.01
Max Pain	$48.41	$48.00	$49.00	$48.00	$48.00
ATM IV	21.6%	17.2%	33.1%	20.9%	19.7%
Expected Move	5.7%	4.9%	6.8%	6.2%	4.9%
HV 20d	21.3%	16.4%	24.6%	16.4%	23.2%
HV 60d	19.6%	17.6%	20.8%	17.6%	20.5%
IV Rank	12.4%	2.9%	37.2%	11.0%	8.2%
IV Percentile	26.1%	2.4%	80.6%	19.4%	13.5%
Term Structure	-0.4%	-1.9%	0.9%	-1.0%	0.8%
VWIV	20.8%	18.0%	24.5%	21.9%	18.6%
Skew 25d	3.1%	2.1%	4.7%	2.4%	2.1%
Skew 10d	6.3%	3.2%	9.0%	3.2%	4.5%
Call IV 25d	19.2%	16.4%	22.6%	21.2%	17.3%
Put IV 25d	22.3%	19.4%	26.0%	23.6%	19.4%
Bid-Ask Spread %	5.28	3.37	7.94	6.94	7.94
Gamma HHI	0.18	0.11	0.24	0.17	0.19
Net GEX	23.4M	-28.6M	69.9M	15.0M	31.9M
Net DEX	-841.9M	-1.39B	-57.1M	-807.3M	-1.14B
Net VEX	-12.5M	-13.0M	-11.8M	-13.0M	-12.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.07	2.32	0.51	1.21
Total Volume	123,244.318	42,167	379,778	47,339	42,167
Total OI	1,717,168.591	1,606,036	1,908,693	1,660,686	1,697,913

Daily Data (22 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
2013-04-01	$47.83	$48.00	20.9%	6.2%	16.4%	11.0%	21.9%	2.4%	-1.0%	15.0M	-807.3M	-13.0M	0.51	6.94	N/A	N/A	31,265	16,074	839,310	821,376
2013-04-02	$48.28	$48.00	18.7%	6.1%	16.7%	6.2%	19.3%	2.1%	-0.7%	27.6M	-968.4M	-13.0M	0.07	4.30	N/A	N/A	355,584	24,194	849,013	823,929
2013-04-03	$46.85	$49.00	24.1%	6.8%	19.3%	17.9%	23.2%	3.0%	-1.9%	-592.4K	-272.5M	-12.8M	0.76	6.39	N/A	N/A	64,273	48,693	800,812	827,482
2013-04-04	$47.49	$48.00	25.6%	6.7%	19.6%	21.2%	24.5%	3.5%	-1.7%	11.9M	-513.1M	-12.8M	1.42	5.50	N/A	N/A	30,401	43,178	808,756	841,634
2013-04-05	$47.91	$49.00	25.1%	6.2%	19.3%	20.0%	21.6%	3.2%	-0.6%	39.5M	-679.2M	-12.7M	0.75	4.54	N/A	N/A	60,809	45,313	811,686	865,829
2013-04-08	$48.58	$49.00	31.5%	6.1%	20.1%	33.8%	21.7%	2.9%	-0.8%	33.3M	-978.6M	-12.7M	0.61	4.31	N/A	N/A	42,044	25,514	814,824	857,974
2013-04-09	$48.68	$48.00	33.1%	5.9%	19.9%	37.2%	22.0%	2.8%	-0.7%	42.8M	-1.09B	-11.9M	2.32	3.65	N/A	N/A	34,910	81,018	833,115	861,625
2013-04-10	$49.25	$49.00	24.1%	5.9%	20.5%	17.9%	20.4%	2.8%	-0.8%	56.8M	-1.30B	-12.6M	0.58	4.36	N/A	N/A	83,203	48,363	838,191	877,609
2013-04-11	$49.31	$49.00	21.2%	6.1%	20.5%	11.6%	21.4%	2.5%	-1.3%	62.2M	-1.39B	-12.7M	0.64	6.04	N/A	N/A	100,823	64,772	861,546	888,731
2013-04-12	$49.01	$49.00	18.1%	5.2%	19.5%	4.8%	19.0%	2.2%	0.9%	69.9M	-1.22B	-12.4M	1.34	6.76	N/A	N/A	106,498	142,620	893,510	910,578
2013-04-15	$47.93	$49.00	21.5%	6.2%	19.8%	12.2%	21.3%	4.0%	0.1%	19.5M	-627.1M	-12.8M	1.33	5.22	N/A	N/A	59,935	79,641	867,220	907,737
2013-04-16	$48.49	$49.00	19.4%	5.5%	20.2%	7.6%	19.1%	3.8%	0.5%	42.2M	-892.0M	-12.4M	0.71	4.84	N/A	N/A	46,306	33,078	883,501	926,507
2013-04-17	$46.79	$49.00	22.4%	6.4%	23.6%	14.1%	24.5%	4.3%	-1.4%	-26.7M	-90.3M	-12.6M	0.98	5.04	N/A	N/A	100,599	98,212	888,389	932,761
2013-04-18	$46.64	$48.00	22.3%	6.4%	23.6%	14.0%	23.2%	4.5%	-1.3%	-28.6M	-57.1M	-12.7M	1.03	4.28	N/A	N/A	53,496	55,033	927,031	959,046
2013-04-19	$47.23	$48.00	19.8%	5.7%	23.6%	8.4%	22.9%	4.7%	-1.1%	-18.3M	-357.9M	-12.6M	1.35	4.80	N/A	N/A	73,904	100,135	944,707	963,986
2013-04-22	$47.35	$48.00	18.5%	5.3%	23.4%	5.6%	18.4%	4.5%	-0.3%	1.4M	-518.9M	-12.3M	1.20	4.67	N/A	N/A	48,323	58,059	782,419	823,617
2013-04-23	$48.17	$48.00	17.2%	4.9%	24.2%	2.9%	19.6%	3.5%	0.3%	16.0M	-880.0M	-12.5M	1.23	6.46	N/A	N/A	43,811	53,754	805,730	830,162
2013-04-24	$48.72	$48.00	17.3%	5.0%	24.6%	3.2%	19.0%	2.6%	0.4%	24.8M	-1.14B	-12.2M	0.93	4.58	N/A	N/A	40,346	37,715	812,002	847,742
2013-04-25	$49.00	$48.00	17.6%	5.1%	23.7%	3.8%	19.5%	2.8%	0.2%	32.8M	-1.24B	-12.0M	1.33	3.37	N/A	N/A	41,452	54,934	818,947	854,391
2013-04-26	$48.88	$48.00	17.3%	4.9%	23.6%	3.2%	18.0%	2.5%	0.6%	29.4M	-1.14B	-12.7M	1.56	5.43	N/A	N/A	28,954	45,247	828,714	870,116
2013-04-29	$48.92	$48.00	19.7%	4.9%	23.4%	8.3%	18.5%	2.2%	0.5%	31.0M	-1.23B	-11.8M	1.32	6.63	N/A	N/A	28,703	38,022	818,931	858,610
2013-04-30	$49.01	$48.00	19.7%	4.9%	23.2%	8.2%	18.6%	2.1%	0.8%	31.9M	-1.14B	-12.7M	1.21	7.94	N/A	N/A	19,107	23,060	830,453	867,460