JPM Options History — May 2013

In May 2013, JPM traded between $47.57 and $55.62. ATM implied volatility averaged 19.7%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 0.5% (HV 20d: 20.2%). Max pain ranged from $47.00 to $48.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.93.

Notable Days

2013-05-22: Highest Volume — 298,702 contracts
2013-05-02: Largest IV drop — 23.2% change
2013-05-01: Highest IV Rank — 19.7%
2013-05-22: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.29	$47.57	$55.62	$48.01	$54.59
Max Pain	$47.45	$47.00	$48.00	$48.00	$48.00
ATM IV	19.7%	16.6%	25.0%	25.0%	24.0%
Expected Move	5.6%	5.1%	6.1%	5.4%	6.1%
HV 20d	20.2%	17.2%	23.2%	21.8%	19.5%
HV 60d	20.8%	19.8%	21.6%	20.9%	20.7%
IV Rank	8.4%	1.5%	19.7%	19.7%	17.7%
IV Percentile	19.2%	1.2%	56.7%	56.7%	53.2%
Term Structure	1.3%	0.3%	2.0%	0.3%	1.7%
VWIV	20.5%	18.4%	22.1%	19.1%	22.0%
Skew 25d	3.5%	2.6%	4.5%	2.6%	3.8%
Skew 10d	8.2%	3.6%	10.2%	3.6%	9.4%
Call IV 25d	18.5%	17.0%	20.8%	18.4%	20.8%
Put IV 25d	22.0%	20.4%	24.6%	21.0%	24.6%
Bid-Ask Spread %	5.65	4.22	7.71	7.25	6.78
Gamma HHI	0.24	0.14	0.50	0.17	0.23
Net GEX	57.0M	-5.8M	163.9M	9.6M	51.4M
Net DEX	-1.98B	-3.13B	-554.4M	-805.3M	-2.73B
Net VEX	-12.4M	-13.4M	-11.6M	-12.1M	-12.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.51	2.11	0.87	0.76
Total Volume	127,189.909	51,623	298,702	51,623	86,331
Total OI	1,812,540.636	1,679,383	1,951,450	1,710,963	1,900,385

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
2013-05-01	$48.01	$48.00	25.0%	5.4%	21.8%	19.7%	19.1%	2.6%	0.3%	9.6M	-805.3M	-12.1M	0.87	7.25	N/A	N/A	27,661	23,962	835,987	874,976
2013-05-02	$48.08	$48.00	19.2%	5.2%	21.3%	7.2%	18.7%	3.0%	0.5%	5.9M	-766.2M	-12.7M	1.27	7.71	N/A	N/A	27,730	35,332	840,630	879,191
2013-05-03	$47.57	$48.00	19.7%	5.1%	21.4%	8.4%	18.4%	3.0%	1.1%	-5.8M	-554.4M	-12.5M	1.00	6.77	N/A	N/A	80,354	80,235	850,224	886,294
2013-05-06	$48.18	$47.00	21.3%	5.3%	21.3%	11.7%	19.3%	3.9%	1.3%	11.8M	-859.1M	-12.3M	0.74	4.22	N/A	N/A	35,436	26,236	854,502	891,939
2013-05-07	$49.14	$47.00	20.5%	5.3%	22.5%	10.1%	18.6%	3.5%	1.3%	48.2M	-1.39B	-11.6M	0.96	4.94	N/A	N/A	63,018	60,209	863,307	898,853
2013-05-08	$49.76	$47.00	16.7%	5.2%	22.5%	1.9%	19.8%	4.5%	1.3%	62.2M	-1.63B	-12.6M	1.16	4.63	N/A	N/A	68,535	79,504	879,286	909,694
2013-05-09	$49.04	$47.00	17.5%	5.4%	23.2%	3.6%	21.1%	3.8%	1.3%	43.0M	-1.29B	-12.5M	1.18	4.96	N/A	N/A	39,678	46,795	889,121	921,612
2013-05-10	$48.96	$47.00	17.6%	5.4%	23.1%	3.7%	20.2%	4.0%	1.6%	52.8M	-1.27B	-12.6M	2.11	4.85	N/A	N/A	24,687	52,051	906,295	933,382
2013-05-13	$49.67	$47.00	18.4%	5.6%	22.0%	5.5%	21.6%	3.8%	0.8%	73.1M	-1.63B	-12.5M	0.76	6.12	N/A	N/A	91,541	69,342	898,143	909,175
2013-05-14	$50.23	$47.00	16.6%	5.8%	22.0%	1.5%	20.6%	3.7%	0.7%	92.3M	-1.96B	-12.8M	0.51	6.13	N/A	N/A	77,666	39,993	940,355	928,894
2013-05-15	$51.09	$47.00	17.5%	5.8%	17.6%	3.5%	20.7%	3.5%	1.0%	81.9M	-2.28B	-12.5M	0.54	5.29	N/A	N/A	101,788	55,415	948,777	945,273
2013-05-16	$50.97	$47.00	20.2%	5.8%	17.6%	9.4%	20.8%	2.9%	1.2%	73.7M	-2.26B	-12.4M	1.06	6.16	N/A	N/A	58,876	62,387	958,199	970,214
2013-05-17	$52.30	$47.00	19.0%	5.5%	19.0%	6.8%	20.3%	3.2%	1.2%	163.9M	-2.64B	-12.5M	0.52	5.59	N/A	N/A	84,130	43,536	956,245	995,205
2013-05-20	$52.29	$47.00	19.2%	5.5%	19.0%	7.3%	22.0%	3.1%	1.1%	63.0M	-2.30B	-12.6M	0.65	5.68	N/A	N/A	139,405	90,466	849,567	829,816
2013-05-21	$53.02	$47.00	19.3%	5.5%	18.8%	7.4%	20.7%	2.7%	1.9%	74.5M	-2.62B	-11.7M	0.88	6.03	N/A	N/A	112,351	99,419	879,512	857,613
2013-05-22	$53.63	$48.00	21.3%	6.1%	18.8%	11.7%	22.1%	3.9%	1.3%	66.2M	-2.70B	-12.1M	1.08	5.10	N/A	N/A	143,421	155,281	888,416	873,671
2013-05-23	$53.35	$48.00	20.4%	5.9%	19.1%	9.9%	21.6%	3.6%	1.9%	56.0M	-2.43B	-13.4M	1.22	5.25	N/A	N/A	38,209	46,423	901,973	922,003
2013-05-24	$53.66	$48.00	20.4%	5.8%	19.0%	9.8%	20.3%	4.0%	1.9%	54.4M	-2.62B	-12.4M	1.25	6.13	N/A	N/A	46,447	58,053	909,127	936,433
2013-05-28	$54.60	$48.00	19.1%	5.5%	19.4%	7.0%	20.3%	3.0%	1.9%	58.5M	-2.90B	-12.1M	0.63	4.32	N/A	N/A	72,196	45,822	909,451	918,786
2013-05-29	$54.67	$48.00	20.1%	5.8%	19.4%	9.1%	21.1%	3.2%	1.8%	59.1M	-2.82B	-12.6M	0.80	4.88	N/A	N/A	52,539	42,041	921,327	935,227
2013-05-30	$55.62	$48.00	21.0%	6.0%	17.2%	11.1%	21.4%	3.4%	2.0%	58.2M	-3.13B	-12.3M	0.58	5.42	N/A	N/A	71,794	41,883	923,382	953,432
2013-05-31	$54.59	$48.00	24.0%	6.1%	19.5%	17.7%	22.0%	3.8%	1.7%	51.4M	-2.73B	-12.9M	0.76	6.78	N/A	N/A	48,932	37,399	938,765	961,620