JPM Options History — July 2013 In July 2013, JPM traded between $52.49 and $56.67. ATM implied volatility averaged 19.3%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.2% (HV 20d: 18.1%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.76.
Notable Days 2013-07-01 : Highest Volume — 415,016 contracts2013-07-03 : Largest IV spike — 20.6% change2013-07-03 : Highest IV Rank — 14.7%2013-07-03 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $55.16 $52.49 $56.67 $52.49 $55.73 Max Pain $54.50 $50.00 $60.00 $52.50 $60.00 ATM IV 19.3% 17.0% 22.6% 19.8% 19.3% Expected Move 5.6% 4.9% 6.5% 6.3% 5.5% HV 20d 18.1% 12.7% 22.5% 22.1% 13.1% HV 60d 20.0% 18.8% 21.6% 21.3% 18.8% IV Rank 9.5% 4.2% 14.7% 8.5% 12.5% IV Percentile 19.6% 2.4% 48.0% 20.6% 21.0% Term Structure -0.0% -1.1% 0.7% -0.1% 0.1% VWIV 19.7% 14.7% 23.9% 19.7% 18.5% Skew 25d 2.7% 1.8% 4.0% 2.4% 3.3% Skew 10d 5.4% 2.4% 8.1% 2.4% 6.8% Call IV 25d 18.7% 16.8% 23.5% 21.6% 17.7% Put IV 25d 21.4% 19.1% 25.3% 24.0% 21.0% Bid-Ask Spread % 6.97 2.99 14.79 7.61 7.86 Gamma HHI 0.23 0.17 0.54 0.20 0.18 Net GEX 65.3M 34.4M 144.7M 40.2M 63.7M Net DEX -2.03B -2.53B -1.28B -1.45B -2.04B Net VEX -11.2M -12.6M -10.4M -12.6M -10.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.07 1.43 0.07 0.75 Total Volume 84,383.091 28,277 415,016 415,016 47,326 Total OI 1,549,946.864 1,419,994 1,639,381 1,608,710 1,502,280
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 2013-07-01 $52.49 $52.50 19.8% 6.3% 22.1% 8.5% 19.7% 2.4% -0.1% 40.2M -1.45B -12.6M 0.07 7.61 N/A N/A 389,592 25,424 831,131 777,579 2013-07-02 $52.80 $52.50 18.8% 6.5% 22.1% 6.3% 22.6% 2.2% -0.4% 37.4M -1.29B -12.5M 0.70 6.92 N/A N/A 39,466 27,819 768,426 789,159 2013-07-03 $52.77 $0.00 22.6% 6.5% 21.1% 14.7% 23.8% 1.8% -0.0% 34.4M -1.28B -12.6M 0.58 7.15 N/A N/A 22,869 13,199 776,624 796,507 2013-07-05 $53.99 $50.00 21.2% 6.1% 22.5% 11.5% 23.9% 3.9% -0.5% 52.8M -1.74B -12.2M 0.71 4.61 N/A N/A 36,837 26,055 789,539 800,076 2013-07-08 $54.70 $50.00 21.7% 6.2% 22.4% 12.7% 21.7% 4.0% -0.7% 61.9M -1.94B -11.6M 0.56 5.87 N/A N/A 55,318 31,194 780,690 785,832 2013-07-09 $54.89 $50.00 21.6% 6.2% 22.4% 12.5% 22.7% 3.9% -0.8% 60.3M -1.99B -11.5M 1.43 2.99 N/A N/A 37,258 53,378 779,255 794,841 2013-07-10 $54.83 $55.00 21.9% 6.3% 21.5% 13.0% 23.6% 3.5% -1.1% 64.0M -1.99B -11.4M 0.74 5.68 N/A N/A 42,838 31,583 781,450 780,861 2013-07-11 $55.14 $0.00 21.1% 6.1% 21.4% 11.4% 22.7% 2.5% -0.6% 70.4M -2.13B -11.3M 0.73 14.79 N/A N/A 76,923 55,962 794,478 789,354 2013-07-12 $54.97 $55.00 19.1% 5.5% 20.5% 7.0% 20.0% 2.5% -0.0% 144.7M -2.08B -11.0M 1.05 3.27 N/A N/A 86,464 90,708 813,515 810,507 2013-07-15 $54.89 $52.50 18.8% 5.4% 19.1% 10.7% 19.0% 2.3% 0.6% 70.4M -2.01B -11.4M 0.37 4.93 N/A N/A 50,798 18,570 795,514 804,690 2013-07-16 $55.01 $52.50 18.4% 5.3% 18.6% 9.4% 18.6% 2.4% 0.7% 85.6M -2.08B -11.1M 0.52 5.70 N/A N/A 40,156 21,059 812,448 797,763 2013-07-17 $55.27 $52.50 18.3% 5.2% 18.6% 8.8% 18.5% 2.1% 0.6% 87.7M -2.19B -10.9M 0.90 7.21 N/A N/A 32,115 28,864 813,457 804,830 2013-07-18 $56.37 $52.50 17.3% 5.0% 19.2% 5.3% 17.9% 2.3% 0.3% 72.9M -2.53B -10.8M 0.43 6.65 N/A N/A 77,938 33,203 803,805 802,035 2013-07-19 $56.16 $52.50 18.2% 5.2% 17.4% 8.4% 17.6% 2.3% 0.6% 66.5M -2.50B -10.5M 0.59 6.65 N/A N/A 37,777 22,232 822,973 816,408 2013-07-22 $56.56 $57.50 17.2% 5.0% 16.8% 4.9% 18.4% 2.4% 0.1% 62.8M -2.31B -10.4M 0.95 13.57 N/A N/A 31,959 30,298 723,847 696,147 2013-07-23 $56.67 $55.00 17.0% 4.9% 14.1% 4.2% 17.5% 2.5% 0.0% 65.8M -2.35B -10.6M 0.74 7.35 N/A N/A 25,919 19,120 740,084 712,319 2013-07-24 $56.63 $55.00 17.6% 5.0% 12.7% 6.2% 17.7% 2.6% 0.1% 67.4M -2.33B -10.7M 1.00 6.55 N/A N/A 18,845 18,906 747,176 716,303 2013-07-25 $56.50 $57.50 17.4% 5.0% 12.8% 5.7% 17.9% 2.6% 0.3% 67.8M -2.28B -10.8M 0.87 6.86 N/A N/A 19,890 17,280 750,707 726,354 2013-07-26 $56.05 $57.50 18.6% 5.3% 13.0% 10.2% 17.9% 2.6% 0.3% 47.6M -2.13B -11.2M 1.35 6.02 N/A N/A 24,911 33,583 755,616 731,229 2013-07-29 $55.69 $60.00 19.2% 5.5% 13.0% 12.2% 19.1% 2.9% 0.0% 58.3M -2.04B -10.7M 0.65 8.15 N/A N/A 17,147 11,130 751,630 734,679 2013-07-30 $55.33 $60.00 19.4% 5.6% 13.0% 12.8% 14.7% 3.0% -0.1% 53.5M -1.90B -11.0M 0.98 6.94 N/A N/A 17,443 17,072 757,055 739,658 2013-07-31 $55.73 $60.00 19.3% 5.5% 13.1% 12.5% 18.5% 3.3% 0.1% 63.7M -2.04B -10.7M 0.75 7.86 N/A N/A 26,979 20,347 761,706 740,574
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