JPM Options History — October 2013 In October 2013, JPM traded between $50.75 and $54.30. ATM implied volatility averaged 21.8%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 1.0% (HV 20d: 22.9%). Max pain ranged from $52.00 to $54.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.60.
Notable Days 2013-10-01 : Highest Volume — 443,174 contracts2013-10-10 : Largest IV drop — 17.7% change2013-10-09 : Highest IV Rank — 52.9%2013-10-09 : Largest Expected Move — 8.7%Monthly Statistics Metric Avg Min Max Open Close Price $52.61 $50.75 $54.30 $51.96 $51.54 Max Pain $52.95 $52.00 $54.50 $52.50 $53.50 ATM IV 21.8% 18.1% 30.3% 22.4% 18.9% Expected Move 6.3% 5.2% 8.7% 6.4% 5.4% HV 20d 22.9% 20.7% 26.6% 21.3% 23.0% HV 60d 19.0% 17.0% 20.3% 17.0% 20.3% IV Rank 25.3% 12.0% 52.9% 23.8% 15.9% IV Percentile 48.2% 13.5% 96.4% 62.3% 24.2% Term Structure -0.7% -2.9% 0.9% -1.3% 0.2% VWIV 22.1% 17.9% 31.3% 22.2% 18.5% Skew 25d 3.0% 2.2% 4.3% 2.4% 2.5% Skew 10d 5.8% -4.1% 9.2% 5.0% 4.6% Call IV 25d 20.9% 17.2% 28.9% 21.8% 17.9% Put IV 25d 23.8% 19.5% 32.6% 24.2% 20.3% Bid-Ask Spread % 10.23 4.73 29.43 4.85 10.99 Gamma HHI 0.23 0.14 0.42 0.18 0.16 Net GEX 70.2M 14.9M 189.4M 45.5M 14.9M Net DEX -1.13B -1.99B -396.9M -915.2M -481.5M Net VEX -12.1M -12.8M -11.3M -11.8M -11.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.06 1.30 0.06 0.56 Total Volume 117,359.783 49,889 443,174 443,174 78,404 Total OI 1,763,668.261 1,640,418 1,903,460 1,706,246 1,729,458
Daily Data (23 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 2013-10-01 $51.96 $52.50 22.4% 6.4% 21.3% 23.8% 22.2% 2.4% -1.3% 45.5M -915.2M -11.8M 0.06 4.85 N/A N/A 416,299 26,875 890,509 815,737 2013-10-02 $52.09 $52.50 24.9% 7.1% 20.7% 33.0% 24.5% 2.5% -1.9% 56.4M -820.9M -11.9M 0.33 12.62 N/A N/A 158,098 51,654 846,443 824,091 2013-10-03 $51.94 $52.00 25.9% 7.4% 20.7% 36.8% 26.1% 2.9% -2.2% 51.6M -806.8M -12.2M 0.55 29.43 N/A N/A 65,237 35,631 871,379 828,354 2013-10-04 $52.67 $52.50 25.0% 7.2% 21.1% 33.6% 25.4% 2.6% -2.1% 76.2M -1.28B -12.7M 0.55 11.58 N/A N/A 57,867 31,594 930,192 843,777 2013-10-07 $51.83 $52.50 27.5% 7.9% 21.7% 42.5% 31.3% 3.5% -2.8% 52.5M -859.4M -12.7M 0.68 8.09 N/A N/A 32,620 22,149 916,781 829,593 2013-10-08 $50.87 $52.50 29.8% 8.5% 21.7% 50.9% 29.9% 3.4% -2.3% 36.7M -459.3M -12.6M 0.55 8.19 N/A N/A 63,590 34,809 931,216 839,834 2013-10-09 $50.75 $52.50 30.3% 8.7% 21.6% 52.9% 30.7% 3.7% -2.9% 35.4M -396.9M -12.8M 0.37 14.35 N/A N/A 79,087 29,104 959,563 851,492 2013-10-10 $52.52 $0.00 24.9% 7.2% 24.3% 33.2% 25.3% 4.3% -1.0% 85.5M -1.23B -12.8M 0.60 16.11 N/A N/A 104,594 63,256 998,149 858,958 2013-10-11 $52.51 $52.00 21.3% 6.2% 24.1% 20.0% 21.6% 3.2% -0.8% 189.4M -1.21B -12.8M 0.55 7.86 N/A N/A 116,815 64,300 1,017,648 885,812 2013-10-14 $52.71 $52.50 21.8% 6.2% 23.9% 31.4% 21.6% 3.4% -0.6% 65.0M -1.19B -12.4M 1.30 4.73 N/A N/A 73,066 95,023 943,634 859,001 2013-10-15 $52.31 $52.50 22.5% 6.4% 24.0% 35.2% 22.5% 4.0% -0.9% 68.9M -1.02B -12.8M 0.71 6.29 N/A N/A 36,069 25,768 972,342 877,632 2013-10-16 $54.00 $52.50 19.3% 5.5% 26.6% 18.1% 20.0% 3.5% -0.3% 115.6M -1.87B -12.3M 0.52 4.98 N/A N/A 97,470 50,199 966,267 884,623 2013-10-17 $54.21 $52.50 18.6% 5.3% 26.1% 14.6% 19.6% 3.3% 0.9% 130.3M -1.98B -12.2M 0.38 4.83 N/A N/A 59,015 22,202 976,322 889,431 2013-10-18 $54.30 $52.50 18.7% 5.3% 26.1% 15.1% 19.2% 2.8% 0.3% 94.4M -1.99B -12.2M 0.33 7.29 N/A N/A 108,021 35,390 976,973 890,636 2013-10-21 $54.27 $54.50 19.0% 5.5% 24.1% 16.7% 19.6% 2.8% -0.4% 79.8M -1.70B -11.8M 0.50 12.27 N/A N/A 49,062 24,704 833,516 806,902 2013-10-22 $53.62 $54.00 19.3% 5.5% 23.0% 18.3% 18.9% 3.0% 0.7% 85.1M -1.58B -11.8M 0.68 10.74 N/A N/A 40,230 27,225 871,563 815,690 2013-10-23 $52.75 $54.50 19.6% 5.6% 22.1% 19.6% 18.8% 2.6% -0.3% 59.7M -1.07B -11.8M 0.75 10.71 N/A N/A 30,619 23,025 881,821 827,485 2013-10-24 $52.48 $54.00 19.0% 5.5% 22.2% 16.5% 19.0% 2.6% -0.5% 49.6M -932.5M -11.7M 1.16 7.71 N/A N/A 31,251 36,280 883,185 831,460 2013-10-25 $52.77 $53.50 18.5% 5.3% 22.2% 13.8% 19.5% 2.2% -0.4% 59.9M -1.08B -11.7M 0.52 8.48 N/A N/A 32,779 17,110 891,060 844,224 2013-10-28 $52.68 $53.00 18.5% 5.3% 21.8% 14.2% 18.1% 2.2% 0.1% 57.8M -1.04B -11.3M 0.78 12.86 N/A N/A 37,471 29,317 878,786 824,795 2013-10-29 $52.73 $53.00 18.3% 5.2% 21.7% 12.8% 17.9% 2.4% 0.5% 56.2M -1.04B -11.4M 0.75 5.08 N/A N/A 60,088 45,145 892,148 838,123 2013-10-30 $52.60 $53.50 18.1% 5.2% 21.8% 12.0% 18.2% 2.4% 0.5% 49.0M -993.5M -11.4M 0.67 15.21 N/A N/A 48,370 32,393 889,085 848,680 2013-10-31 $51.54 $53.50 18.9% 5.4% 23.0% 15.9% 18.5% 2.5% 0.2% 14.9M -481.5M -11.3M 0.56 10.99 N/A N/A 50,170 28,234 878,475 850,983
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