JPM Options History — June 2013

In June 2013, JPM traded between $50.92 and $54.49. ATM implied volatility averaged 24.7%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.8% (HV 20d: 20.9%). Max pain ranged from $49.00 to $52.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2013-06-21: Highest Volume — 237,124 contracts
  • 2013-06-06: Largest IV drop — 22.9% change
  • 2013-06-05: Highest IV Rank — 36.6%
  • 2013-06-24: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.25$50.92$54.49$54.49$52.79
Max Pain$50.42$49.00$52.50$49.00$52.50
ATM IV24.7%19.1%32.8%26.9%19.1%
Expected Move6.8%6.3%7.6%6.3%6.4%
HV 20d20.9%18.7%23.3%18.7%22.0%
HV 60d21.2%20.5%22.3%20.6%21.3%
IV Rank19.1%7.0%36.6%23.8%7.0%
IV Percentile57.6%13.9%86.9%74.2%13.9%
Term Structure-0.2%-1.1%1.1%1.1%-0.1%
VWIV24.9%23.2%27.0%23.3%23.2%
Skew 25d3.7%2.6%5.2%3.1%2.6%
Skew 10d6.8%3.0%9.8%8.9%3.0%
Call IV 25d22.8%21.5%25.6%21.8%21.6%
Put IV 25d26.4%24.2%29.5%24.8%24.2%
Bid-Ask Spread %7.304.999.178.258.66
Gamma HHI0.210.140.280.230.21
Net GEX44.0M18.3M60.2M51.8M40.1M
Net DEX-2.09B-2.68B-845.4M-2.66B-1.54B
Net VEX-13.0M-13.7M-12.2M-12.8M-12.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.551.390.750.63
Total Volume93,14342,505237,124141,21573,421
Total OI1,852,328.451,553,6671,992,0421,891,1881,619,924

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$54.49$49.0026.9%6.3%18.7%23.8%23.3%3.1%1.1%51.8M-2.66B-12.8M0.758.25N/AN/A80,77660,439934,057957,131
2013-06-04$54.04$49.0030.9%6.6%19.3%32.5%25.1%3.1%0.7%47.5M-2.47B-13.3M0.886.10N/AN/A43,35738,327939,739961,915
2013-06-05$53.03$49.0032.8%7.2%20.4%36.6%25.8%2.9%0.3%39.5M-2.08B-13.7M0.825.93N/AN/A50,00641,158952,315967,578
2013-06-06$53.50$49.0025.3%6.9%20.2%20.4%25.2%3.3%0.7%46.1M-2.29B-13.7M0.626.28N/AN/A71,57944,054959,489967,063
2013-06-07$54.27$50.0020.5%6.5%19.4%10.0%23.8%3.9%-0.3%56.9M-2.67B-12.6M1.106.38N/AN/A36,71940,372967,998975,980
2013-06-10$54.36$50.0024.2%6.6%19.2%17.9%24.4%3.7%-0.3%56.5M-2.68B-12.4M0.556.07N/AN/A39,50421,716953,807954,607
2013-06-11$53.49$50.0027.7%7.1%20.3%25.6%25.4%3.6%-0.7%50.3M-2.36B-13.4M0.835.83N/AN/A36,97230,565969,796962,177
2013-06-12$53.18$50.0023.8%7.3%20.4%17.1%26.4%3.9%-0.9%46.0M-2.18B-13.0M0.966.70N/AN/A33,81232,460958,119966,602
2013-06-13$54.17$50.0023.2%6.6%20.5%15.8%27.0%4.3%-0.6%60.2M-2.64B-12.2M0.857.52N/AN/A46,93840,002962,904978,619
2013-06-14$53.13$50.0024.5%7.0%22.0%18.7%25.0%4.3%-0.5%44.0M-2.21B-12.8M1.036.98N/AN/A30,22831,071970,684990,736
2013-06-17$53.85$50.0023.1%6.6%20.6%15.6%24.8%4.7%-0.1%45.4M-2.47B-12.9M0.717.77N/AN/A38,74827,409958,683985,535
2013-06-18$54.11$50.0022.3%6.4%20.6%14.0%23.8%5.0%0.1%48.7M-2.57B-12.7M0.914.99N/AN/A22,30320,202964,142991,039
2013-06-19$53.55$50.0023.9%6.8%20.5%17.4%23.8%3.6%-0.9%43.5M-2.38B-12.7M0.978.41N/AN/A40,59539,350970,061996,157
2013-06-20$52.48$50.0025.6%7.3%21.3%21.1%26.2%5.2%-0.9%29.5M-1.86B-13.0M0.917.65N/AN/A75,72369,179961,277997,902
2013-06-21$51.96$50.0023.3%6.7%21.5%16.0%24.3%4.5%-0.3%28.4M-1.63B-12.8M1.218.48N/AN/A107,433129,691981,9521,010,090
2013-06-24$50.92$52.5026.6%7.6%22.3%23.3%27.0%2.8%-1.1%18.3M-845.4M-13.1M0.888.07N/AN/A65,10757,356784,198769,469
2013-06-25$52.08$52.5024.1%6.9%23.0%17.8%25.1%3.0%-0.2%34.2M-1.25B-13.1M0.569.17N/AN/A55,81331,397810,703773,231
2013-06-26$52.50$52.5023.7%6.8%23.3%17.0%24.6%2.6%-0.1%43.1M-1.43B-13.1M0.908.36N/AN/A51,54846,610836,045777,758
2013-06-27$53.15$52.5022.9%6.6%22.8%15.3%23.3%2.9%0.1%49.1M-1.64B-13.1M1.398.41N/AN/A25,45035,470832,736774,351
2013-06-28$52.79$52.5019.1%6.4%22.0%7.0%23.2%2.6%-0.1%40.1M-1.54B-12.7M0.638.66N/AN/A45,09228,329835,224784,700