JPM Options History — November 2013 In November 2013, JPM traded between $51.65 and $57.65. ATM implied volatility averaged 17.9%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 3.7% (HV 20d: 21.6%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.66.
Notable Days 2013-11-15 : Highest Volume — 161,077 contracts2013-11-08 : Largest IV drop — 8.7% change2013-11-07 : Highest IV Rank — 15.8%2013-11-29 : Largest Expected Move — 7.2%Monthly Statistics Metric Avg Min Max Open Close Price $54.89 $51.65 $57.65 $52.51 $57.22 Max Pain $52.89 $50.00 $55.00 $53.00 $50.00 ATM IV 17.9% 17.1% 18.8% 18.0% 18.3% Expected Move 6.4% 4.9% 7.2% 5.1% 7.2% HV 20d 21.6% 18.2% 24.1% 23.4% 19.4% HV 60d 21.3% 20.6% 22.3% 20.6% 21.1% IV Rank 11.0% 6.6% 15.8% 11.3% 12.8% IV Percentile 13.8% 4.0% 25.8% 12.3% 21.0% Term Structure 0.8% -0.4% 2.8% 0.2% 1.4% VWIV 22.6% 17.3% 28.7% 17.5% 24.5% Skew 25d 2.1% 1.5% 2.4% 2.2% 2.4% Skew 10d 4.4% 3.5% 5.5% 4.4% 3.8% Call IV 25d 17.1% 16.5% 17.8% 17.1% 16.9% Put IV 25d 19.2% 18.3% 20.2% 19.3% 19.3% Bid-Ask Spread % 6.93 2.48 15.58 14.33 8.26 Gamma HHI 0.25 0.14 0.64 0.24 0.20 Net GEX 86.0M 13.9M 272.3M 93.1M 80.9M Net DEX -1.87B -2.86B -551.7M -1.02B -2.51B Net VEX -11.8M -12.4M -11.2M -11.4M -12.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.36 1.51 0.54 0.51 Total Volume 80,692.1 26,324 161,077 77,977 26,324 Total OI 1,775,053.3 1,682,982 1,844,929 1,756,974 1,844,929
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 2013-11-01 $52.51 $53.00 18.0% 5.1% 23.4% 11.3% 17.5% 2.2% 0.2% 93.1M -1.02B -11.4M 0.54 14.33 N/A N/A 50,591 27,386 893,311 863,663 2013-11-04 $52.04 $51.00 18.6% 5.3% 22.9% 14.4% 18.0% 2.4% 0.0% 34.4M -754.0M -11.4M 1.09 10.59 N/A N/A 30,255 33,093 849,499 833,483 2013-11-05 $51.95 $51.50 18.6% 5.3% 21.8% 14.5% 17.9% 2.4% 0.1% 20.2M -691.3M -11.3M 0.63 9.05 N/A N/A 24,210 15,259 855,233 855,579 2013-11-06 $52.10 $51.50 18.1% 5.2% 21.8% 11.9% 17.9% 1.9% 0.1% 21.4M -760.6M -11.2M 0.74 10.18 N/A N/A 35,352 26,042 865,613 862,131 2013-11-07 $51.65 $51.50 18.8% 5.4% 18.2% 15.8% 18.6% 2.2% -0.4% 13.9M -551.7M -11.3M 0.45 13.93 N/A N/A 47,582 21,294 879,600 874,140 2013-11-08 $53.96 $51.50 17.2% 4.9% 24.1% 7.2% 17.3% 1.9% -0.1% 84.7M -1.78B -11.3M 0.43 15.58 N/A N/A 86,223 37,150 906,172 879,867 2013-11-11 $54.10 $0.00 17.8% 6.3% 24.1% 10.1% 22.6% 2.1% -0.2% 87.4M -1.72B -11.3M 0.88 3.17 N/A N/A 43,033 37,658 888,640 874,575 2013-11-12 $53.97 $55.00 17.7% 6.4% 23.9% 9.6% 22.2% 2.2% -0.2% 87.3M -1.64B -11.5M 0.72 7.05 N/A N/A 24,659 17,665 900,804 877,112 2013-11-13 $54.14 $55.00 17.8% 6.5% 21.1% 10.3% 23.8% 2.2% -0.2% 71.7M -1.68B -11.4M 0.78 3.59 N/A N/A 42,710 33,407 905,336 884,841 2013-11-14 $54.40 $55.00 17.9% 6.6% 21.1% 11.1% 24.0% 2.1% 0.2% 104.6M -1.77B -11.8M 0.46 7.02 N/A N/A 51,608 23,983 910,281 895,452 2013-11-15 $54.87 $55.00 18.4% 6.7% 21.4% 13.3% 23.9% 1.8% -0.2% 272.3M -2.04B -11.9M 0.50 4.06 N/A N/A 107,338 53,739 923,723 906,171 2013-11-18 $55.74 $55.00 17.8% 6.9% 22.0% 10.4% 23.6% 2.0% 2.4% 88.0M -2.14B -11.9M 0.40 6.03 N/A N/A 77,473 30,813 853,972 850,891 2013-11-19 $56.15 $55.00 18.2% 7.0% 21.5% 12.4% 24.0% 2.1% 2.6% 91.4M -2.38B -11.7M 0.48 3.40 N/A N/A 107,503 52,069 871,575 861,235 2013-11-20 $56.10 $55.00 18.5% 7.0% 20.4% 14.1% 24.4% 2.1% 2.3% 95.0M -2.30B -12.2M 0.36 4.37 N/A N/A 61,430 22,072 896,742 887,788 2013-11-21 $57.22 $55.00 17.3% 6.9% 21.0% 7.6% 24.8% 1.5% 0.3% 104.1M -2.82B -12.4M 0.42 2.48 N/A N/A 60,417 25,582 930,319 893,572 2013-11-22 $57.46 $55.00 17.1% 7.0% 21.0% 6.6% 26.7% 1.7% 0.2% 102.9M -2.86B -12.4M 0.99 4.44 N/A N/A 39,202 38,636 922,102 905,515 2013-11-25 $57.65 $50.00 17.5% 7.0% 20.9% 9.0% 24.1% 1.8% 2.5% 91.1M -2.78B -11.8M 0.55 3.50 N/A N/A 43,227 23,808 887,324 890,616 2013-11-26 $57.17 $50.00 17.8% 7.1% 21.3% 10.2% 28.7% 2.0% 2.8% 89.3M -2.53B -12.4M 0.75 3.55 N/A N/A 47,071 35,208 901,480 902,095 2013-11-27 $57.48 $50.00 17.4% 7.1% 21.2% 8.0% 26.7% 1.9% 1.3% 86.7M -2.62B -12.4M 1.51 4.08 N/A N/A 21,037 31,733 902,840 912,845 2013-11-29 $57.22 $50.00 18.3% 7.2% 19.4% 12.8% 24.5% 2.4% 1.4% 80.9M -2.51B -12.4M 0.51 8.26 N/A N/A 17,397 8,927 910,738 934,191
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