JPM Options History — December 2013

In December 2013, JPM traded between $55.72 and $58.48. ATM implied volatility averaged 20.3%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 3.6% (HV 20d: 16.7%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.51.

Notable Days

2013-12-31: Highest Volume — 1,273,417 contracts
2013-12-18: Largest IV drop — 7.4% change
2013-12-17: Highest IV Rank — 37.3%
2013-12-11: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.06	$55.72	$58.48	$56.98	$58.48
Max Pain	$45.24	$45.00	$50.00	$50.00	$45.00
ATM IV	20.3%	18.9%	22.9%	18.9%	19.4%
Expected Move	7.3%	7.0%	7.4%	7.2%	7.0%
HV 20d	16.7%	14.5%	21.1%	19.0%	16.2%
HV 60d	20.5%	19.6%	21.5%	21.1%	19.6%
IV Rank	23.5%	15.9%	37.3%	15.9%	18.6%
IV Percentile	50.1%	32.5%	77.8%	32.5%	40.5%
Term Structure	0.8%	-1.1%	3.0%	1.8%	-0.4%
VWIV	26.1%	24.7%	30.2%	27.7%	24.9%
Skew 25d	2.4%	1.5%	3.6%	2.2%	1.5%
Skew 10d	5.2%	3.1%	9.4%	4.0%	3.1%
Call IV 25d	19.4%	18.0%	21.9%	18.0%	19.1%
Put IV 25d	21.8%	20.2%	25.5%	20.2%	20.6%
Bid-Ask Spread %	4.80	2.50	8.22	3.60	5.68
Gamma HHI	0.22	0.16	0.37	0.20	0.21
Net GEX	95.1M	68.6M	145.4M	81.0M	125.9M
Net DEX	-2.36B	-2.88B	-1.87B	-2.34B	-2.71B
Net VEX	-11.4M	-12.3M	-10.0M	-12.3M	-10.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.03	1.06	0.41	0.03
Total Volume	111,935.286	15,389	1,273,417	37,962	1,273,417
Total OI	1,788,710.714	1,614,297	1,883,216	1,800,741	1,644,013

Daily Data (21 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
2013-12-02	$56.98	$50.00	18.9%	7.2%	19.0%	15.9%	27.7%	2.2%	1.8%	81.0M	-2.34B	-12.3M	0.41	3.60	N/A	N/A	26,896	11,066	895,011	905,730
2013-12-03	$56.86	$45.00	19.3%	7.3%	18.5%	18.0%	26.5%	2.0%	1.9%	80.8M	-2.37B	-12.0M	0.50	5.35	N/A	N/A	35,211	17,569	903,428	909,376
2013-12-04	$57.19	$45.00	19.8%	7.3%	18.4%	21.0%	25.4%	2.2%	1.5%	87.7M	-2.50B	-12.3M	0.54	7.96	N/A	N/A	24,808	13,508	915,127	914,609
2013-12-05	$55.82	$45.00	20.5%	7.4%	21.1%	24.9%	24.9%	2.5%	3.0%	69.5M	-1.92B	-12.2M	0.81	6.10	N/A	N/A	36,211	29,262	914,931	918,416
2013-12-06	$56.06	$45.00	20.2%	7.4%	20.6%	23.2%	25.3%	2.7%	3.0%	83.0M	-2.05B	-12.1M	0.70	2.70	N/A	N/A	59,002	41,029	924,995	925,783
2013-12-09	$56.51	$45.00	19.5%	7.3%	14.5%	19.5%	25.9%	1.8%	1.7%	74.7M	-2.19B	-12.0M	0.73	2.63	N/A	N/A	20,667	15,175	920,235	931,911
2013-12-10	$56.70	$45.00	19.6%	7.3%	14.5%	20.1%	26.4%	2.1%	2.0%	80.1M	-2.29B	-12.0M	0.79	8.22	N/A	N/A	23,656	18,692	922,737	933,084
2013-12-11	$56.07	$45.00	20.1%	7.4%	15.2%	22.6%	30.2%	2.5%	3.0%	68.6M	-1.97B	-12.1M	0.55	2.90	N/A	N/A	23,941	13,270	929,465	936,496
2013-12-12	$56.31	$45.00	20.7%	7.3%	15.2%	25.7%	26.3%	2.6%	1.6%	78.5M	-2.21B	-11.7M	0.32	2.94	N/A	N/A	27,206	8,696	934,950	937,032
2013-12-13	$56.17	$45.00	21.1%	7.4%	15.2%	28.0%	25.8%	2.9%	2.8%	82.7M	-2.06B	-11.8M	1.06	2.50	N/A	N/A	18,652	19,685	944,561	938,655
2013-12-16	$56.42	$45.00	21.5%	7.4%	15.1%	29.8%	27.6%	3.1%	-0.4%	90.6M	-2.29B	-11.2M	0.22	3.46	N/A	N/A	66,663	14,627	924,006	915,350
2013-12-17	$55.72	$45.00	22.9%	7.4%	14.8%	37.3%	27.5%	3.6%	-1.1%	80.4M	-1.87B	-11.5M	0.45	5.03	N/A	N/A	39,735	17,816	942,330	918,712
2013-12-18	$57.24	$45.00	21.2%	7.4%	17.5%	28.2%	27.1%	3.1%	-0.5%	116.0M	-2.72B	-11.0M	0.37	8.17	N/A	N/A	47,811	17,528	947,474	920,752
2013-12-19	$57.23	$45.00	21.9%	7.2%	17.5%	31.8%	26.0%	2.4%	-0.4%	129.0M	-2.60B	-11.0M	0.55	4.82	N/A	N/A	49,294	26,959	939,362	913,905
2013-12-20	$57.70	$45.00	21.1%	7.2%	16.3%	28.1%	24.9%	2.3%	-0.5%	145.4M	-2.88B	-11.0M	0.21	4.15	N/A	N/A	88,300	18,952	947,876	925,593
2013-12-23	$58.24	$45.00	20.1%	7.2%	16.5%	22.6%	25.6%	2.4%	-0.4%	100.8M	-2.51B	-11.0M	0.46	4.66	N/A	N/A	52,757	24,206	830,004	784,293
2013-12-24	$58.25	$45.00	20.1%	7.1%	16.5%	22.2%	24.7%	2.3%	-0.5%	99.7M	-2.65B	-10.4M	0.45	5.10	N/A	N/A	10,587	4,802	843,483	791,474
2013-12-26	$58.20	$45.00	19.7%	7.1%	16.2%	20.6%	25.3%	2.2%	-0.3%	107.5M	-2.53B	-10.4M	0.43	5.03	N/A	N/A	21,256	9,095	843,176	797,947
2013-12-27	$58.14	$45.00	19.2%	7.0%	16.1%	17.9%	25.9%	2.2%	-0.3%	107.4M	-2.50B	-10.5M	0.78	5.17	N/A	N/A	19,602	15,208	848,101	801,840
2013-12-30	$57.95	$45.00	19.3%	7.1%	16.1%	18.4%	24.9%	2.3%	-0.4%	108.6M	-2.39B	-10.0M	0.30	4.73	N/A	N/A	36,878	10,946	835,739	790,963
2013-12-31	$58.48	$45.00	19.4%	7.0%	16.2%	18.6%	24.9%	1.5%	-0.4%	125.9M	-2.71B	-10.3M	0.03	5.68	N/A	N/A	1,235,856	37,561	847,380	796,633