JPM Options History — September 2013 In September 2013, JPM traded between $50.32 and $53.67. ATM implied volatility averaged 22.3%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.5% (HV 20d: 18.9%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.68.
Notable Days 2013-09-25 : Highest Volume — 177,451 contracts2013-09-24 : Largest IV spike — 7.7% change2013-09-03 : Highest IV Rank — 31.3%2013-09-03 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $52.34 $50.32 $53.67 $51.13 $51.69 Max Pain $51.34 $50.00 $52.50 $50.00 $52.00 ATM IV 22.3% 20.7% 24.4% 24.4% 24.0% Expected Move 6.4% 6.0% 7.0% 7.0% 6.8% HV 20d 18.9% 16.2% 21.6% 16.2% 21.6% HV 60d 17.0% 15.6% 17.8% 17.4% 17.2% IV Rank 23.7% 17.7% 31.3% 31.3% 29.7% IV Percentile 58.8% 40.9% 74.6% 74.2% 74.6% Term Structure -0.7% -1.6% 0.3% -0.3% -1.5% VWIV 22.3% 19.2% 24.1% 22.8% 24.1% Skew 25d 3.4% 2.4% 4.6% 4.6% 3.0% Skew 10d 7.6% 5.2% 12.5% 7.7% 7.4% Call IV 25d 21.0% 19.3% 23.0% 22.1% 22.7% Put IV 25d 24.3% 22.5% 26.7% 26.7% 25.7% Bid-Ask Spread % 4.66 1.65 15.84 2.92 11.55 Gamma HHI 0.19 0.15 0.46 0.15 0.18 Net GEX 48.9M 6.2M 144.4M 35.6M 35.7M Net DEX -1.04B -1.51B -268.8M -668.0M -852.8M Net VEX -11.6M -12.1M -10.7M -11.9M -11.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.25 1.21 0.25 0.73 Total Volume 82,302.4 28,016 177,451 75,841 65,496 Total OI 1,741,517.3 1,549,783 1,863,158 1,713,685 1,674,905
Daily Data (20 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 2013-09-03 $51.13 $50.00 24.4% 7.0% 16.2% 31.3% 22.8% 4.6% -0.3% 35.6M -668.0M -11.9M 0.25 2.92 N/A N/A 60,888 14,953 900,831 812,854 2013-09-04 $51.87 $50.00 22.8% 6.5% 17.3% 25.3% 22.7% 4.1% 0.0% 53.9M -917.5M -12.1M 0.41 5.32 N/A N/A 45,198 18,533 922,123 815,618 2013-09-05 $52.11 $50.00 22.1% 6.3% 17.6% 22.7% 22.1% 4.0% 0.3% 67.1M -1.01B -12.0M 0.50 3.73 N/A N/A 35,196 17,577 929,486 820,981 2013-09-06 $52.56 $50.00 21.6% 6.2% 17.9% 20.9% 22.0% 3.4% 0.3% 144.4M -1.21B -12.1M 0.51 5.16 N/A N/A 64,896 33,155 930,824 824,131 2013-09-09 $52.86 $50.00 21.8% 6.2% 18.0% 21.7% 23.9% 3.9% 0.0% 58.8M -1.23B -11.9M 0.82 2.01 N/A N/A 24,852 20,303 910,568 820,631 2013-09-10 $53.67 $50.00 21.7% 6.2% 18.8% 21.5% 21.0% 3.4% -0.2% 63.2M -1.51B -11.7M 0.36 2.54 N/A N/A 38,349 13,933 913,734 831,911 2013-09-11 $53.26 $50.00 21.2% 6.1% 18.9% 19.4% 19.2% 3.2% 0.1% 57.3M -1.33B -11.6M 0.50 2.69 N/A N/A 45,736 23,008 906,987 835,706 2013-09-12 $52.24 $0.00 22.6% 6.5% 20.0% 24.7% 22.9% 3.6% -1.0% 45.0M -960.1M -11.7M 1.21 4.18 N/A N/A 43,914 53,040 920,040 845,703 2013-09-13 $52.59 $52.00 22.0% 6.4% 19.5% 22.6% 22.0% 3.7% -0.5% 49.3M -1.10B -11.7M 0.50 6.97 N/A N/A 31,377 15,703 942,942 882,821 2013-09-16 $53.14 $52.50 22.2% 6.4% 19.9% 23.2% 22.2% 3.9% -1.3% 50.9M -1.35B -11.3M 0.82 1.91 N/A N/A 25,692 21,180 935,417 875,127 2013-09-17 $53.09 $52.50 21.9% 6.3% 17.0% 22.2% 21.1% 4.1% -1.3% 49.9M -1.25B -11.7M 0.53 1.91 N/A N/A 18,367 9,649 941,883 884,101 2013-09-18 $53.41 $52.50 21.5% 6.2% 17.0% 20.7% 21.1% 3.1% -1.3% 57.4M -1.42B -11.5M 0.68 2.32 N/A N/A 34,444 23,534 948,375 885,812 2013-09-19 $52.75 $52.50 21.9% 6.3% 17.3% 22.1% 22.0% 2.4% -0.3% 53.1M -1.18B -11.1M 1.12 2.37 N/A N/A 37,908 42,343 947,068 883,131 2013-09-20 $52.80 $52.50 20.7% 6.0% 16.9% 17.7% 20.8% 2.9% -0.7% 44.1M -1.13B -11.3M 0.75 1.65 N/A N/A 60,811 45,467 960,094 903,064 2013-09-23 $51.46 $52.50 21.6% 6.2% 19.3% 20.9% 21.9% 3.1% -1.6% 15.1M -648.3M -10.7M 1.07 4.20 N/A N/A 50,301 53,954 797,377 752,406 2013-09-24 $50.32 $52.50 23.2% 6.6% 20.5% 27.0% 23.6% 3.1% -1.1% 6.2M -268.8M -10.8M 1.07 4.76 N/A N/A 76,778 82,092 811,990 770,675 2013-09-25 $51.70 $52.00 22.7% 6.5% 21.1% 25.0% 23.1% 2.7% -1.5% 18.1M -779.2M -11.2M 0.77 3.53 N/A N/A 100,485 76,966 840,116 811,926 2013-09-26 $51.89 $51.00 23.1% 6.6% 21.2% 26.4% 23.8% 2.6% -0.6% 27.7M -877.2M -11.9M 0.52 15.84 N/A N/A 74,664 38,665 872,506 831,512 2013-09-27 $52.24 $51.00 23.6% 6.8% 21.2% 28.3% 23.9% 2.9% -0.7% 45.1M -1.08B -12.0M 0.58 7.72 N/A N/A 67,673 38,968 895,797 839,173 2013-09-30 $51.69 $52.00 24.0% 6.8% 21.6% 29.7% 24.1% 3.0% -1.5% 35.7M -852.8M -11.3M 0.73 11.55 N/A N/A 37,766 27,730 873,171 801,734
« Aug 2013 | All History | Oct 2013 » Home JPM History September 2013