JPM Options History — August 2013

In August 2013, JPM traded between $50.53 and $56.54. ATM implied volatility averaged 19.7%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 6.1% (HV 20d: 13.5%). Max pain ranged from $50.00 to $57.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.70.

Notable Days

2013-08-20: Highest Volume — 191,632 contracts
2013-08-27: Largest IV spike — 16.2% change
2013-08-30: Highest IV Rank — 28.3%
2013-08-30: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.30	$50.53	$56.54	$56.54	$50.53
Max Pain	$53.33	$50.00	$57.50	$57.50	$50.00
ATM IV	19.7%	16.9%	23.6%	18.0%	23.6%
Expected Move	5.6%	4.8%	6.7%	5.2%	6.7%
HV 20d	13.5%	11.2%	16.9%	13.7%	15.0%
HV 60d	18.0%	17.4%	18.6%	18.6%	17.5%
IV Rank	14.0%	3.6%	28.3%	7.8%	28.3%
IV Percentile	28.6%	2.0%	67.1%	9.5%	67.1%
Term Structure	0.6%	-0.0%	1.3%	0.0%	0.8%
VWIV	19.9%	17.1%	23.0%	19.5%	21.9%
Skew 25d	3.3%	2.3%	5.0%	3.1%	5.0%
Skew 10d	6.9%	4.8%	10.1%	6.2%	7.7%
Call IV 25d	18.9%	16.5%	22.1%	17.6%	21.7%
Put IV 25d	22.1%	19.4%	26.7%	20.7%	26.7%
Bid-Ask Spread %	5.62	1.70	15.20	6.98	5.00
Gamma HHI	0.18	0.12	0.27	0.21	0.14
Net GEX	44.2M	24.0M	117.7M	78.9M	29.4M
Net DEX	-1.21B	-2.32B	-421.2M	-2.32B	-448.7M
Net VEX	-11.3M	-12.1M	-10.2M	-10.5M	-12.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.23	1.31	0.71	1.10
Total Volume	75,040.5	35,896	191,632	58,682	45,440
Total OI	1,593,554.682	1,491,951	1,737,366	1,508,860	1,737,366

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
2013-08-01	$56.54	$57.50	18.0%	5.2%	13.7%	7.8%	19.5%	3.1%	0.0%	78.9M	-2.32B	-10.5M	0.71	6.98	N/A	N/A	34,402	24,280	762,900	745,960
2013-08-02	$56.49	$57.50	16.9%	4.8%	11.6%	3.6%	18.5%	3.0%	-0.0%	117.7M	-2.24B	-10.9M	0.70	7.88	N/A	N/A	28,324	19,730	763,621	756,324
2013-08-05	$56.10	$55.00	18.5%	5.3%	11.3%	9.5%	17.8%	3.0%	0.4%	62.9M	-2.16B	-10.2M	0.68	15.20	N/A	N/A	21,346	14,550	752,699	739,252
2013-08-06	$55.49	$55.00	18.3%	5.2%	12.1%	9.0%	18.1%	3.0%	0.2%	52.7M	-1.88B	-11.0M	0.41	12.92	N/A	N/A	36,009	14,885	760,848	744,150
2013-08-07	$55.30	$55.00	18.2%	5.2%	12.2%	8.5%	17.1%	3.2%	0.5%	55.1M	-1.89B	-10.8M	0.89	9.84	N/A	N/A	31,704	28,108	773,231	744,561
2013-08-08	$54.83	$55.00	17.9%	5.1%	12.4%	7.5%	18.9%	3.2%	0.7%	48.0M	-1.66B	-11.3M	1.31	4.69	N/A	N/A	37,350	49,028	789,194	756,962
2013-08-09	$54.52	$55.00	17.6%	5.1%	12.5%	6.6%	17.7%	3.0%	0.8%	44.6M	-1.55B	-11.3M	0.80	5.40	N/A	N/A	27,670	22,256	796,105	764,640
2013-08-12	$54.09	$55.00	17.9%	5.1%	12.8%	7.6%	18.2%	3.5%	0.5%	43.4M	-1.45B	-11.1M	0.75	6.05	N/A	N/A	42,584	31,898	783,144	754,604
2013-08-13	$54.29	$55.00	17.5%	5.0%	12.8%	6.0%	17.8%	2.6%	0.6%	46.5M	-1.46B	-11.1M	0.42	5.35	N/A	N/A	60,836	25,795	804,235	770,652
2013-08-14	$54.15	$55.00	17.8%	5.1%	12.7%	7.0%	18.1%	2.8%	0.4%	45.3M	-1.40B	-11.1M	1.09	5.57	N/A	N/A	42,301	45,936	805,091	779,075
2013-08-15	$53.29	$0.00	20.4%	5.9%	11.2%	16.7%	19.5%	3.5%	-0.0%	30.6M	-1.03B	-11.2M	0.97	3.63	N/A	N/A	41,760	40,521	817,708	805,512
2013-08-16	$53.29	$52.50	19.8%	5.7%	11.3%	14.5%	19.3%	3.1%	0.2%	41.7M	-1.08B	-11.2M	0.23	5.19	N/A	N/A	99,328	22,831	827,930	804,798
2013-08-19	$51.83	$52.50	20.5%	5.9%	13.8%	17.1%	21.3%	2.8%	1.1%	32.4M	-850.2M	-11.4M	0.53	2.43	N/A	N/A	72,690	38,390	808,890	751,838
2013-08-20	$52.12	$52.50	20.4%	5.8%	14.1%	16.5%	21.5%	2.5%	1.3%	31.4M	-798.8M	-11.1M	1.01	1.70	N/A	N/A	95,236	96,396	789,639	762,012
2013-08-21	$51.63	$52.50	20.6%	5.9%	14.1%	17.6%	21.4%	2.4%	1.1%	25.4M	-652.5M	-11.4M	0.75	2.53	N/A	N/A	44,272	33,360	816,255	792,691
2013-08-22	$52.21	$52.50	20.3%	5.8%	15.2%	16.2%	21.2%	2.5%	0.6%	35.6M	-835.9M	-11.5M	0.41	3.06	N/A	N/A	30,739	12,720	834,787	801,566
2013-08-23	$52.32	$52.50	19.7%	5.6%	15.2%	14.1%	20.4%	2.3%	0.6%	36.7M	-875.3M	-11.4M	0.35	4.09	N/A	N/A	53,117	18,661	836,443	800,800
2013-08-26	$51.80	$50.00	20.0%	5.8%	15.4%	15.0%	21.2%	3.5%	0.8%	33.6M	-776.4M	-11.8M	0.70	3.07	N/A	N/A	23,207	16,143	852,562	789,653
2013-08-27	$50.60	$50.00	23.2%	6.7%	16.9%	26.9%	23.0%	4.3%	0.7%	24.0M	-432.0M	-11.6M	0.82	4.72	N/A	N/A	48,386	39,646	862,812	793,591
2013-08-28	$50.58	$50.00	22.8%	6.5%	16.4%	25.2%	22.3%	4.7%	1.0%	24.1M	-421.2M	-11.8M	0.49	3.43	N/A	N/A	62,369	30,589	884,720	807,546
2013-08-29	$50.70	$50.00	23.1%	6.6%	15.0%	26.4%	22.9%	4.7%	1.2%	31.6M	-505.0M	-11.9M	0.37	4.89	N/A	N/A	33,589	12,509	916,336	815,500
2013-08-30	$50.53	$50.00	23.6%	6.7%	15.0%	28.3%	21.9%	5.0%	0.8%	29.4M	-448.7M	-12.1M	1.10	5.00	N/A	N/A	21,683	23,757	920,166	817,200