JPM Options History — January 2014

In January 2014, JPM traded between $55.09 and $59.49. ATM implied volatility averaged 18.7%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.9% (HV 20d: 16.8%). 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 11 of 21 days. Put/call ratio averaged 0.59.

Notable Days

2014-01-15: Highest Volume — 145,040 contracts
2014-01-14: Largest IV drop — 20.1% change
2014-01-29: Highest IV Rank — 30.7%
2014-01-02: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.49	$55.09	$59.49	$58.21	$55.36
Max Pain	$46.43	$45.00	$50.00	$45.00	$50.00
ATM IV	18.7%	15.6%	21.4%	20.9%	21.3%
Expected Move	6.8%	6.5%	7.1%	7.1%	6.9%
HV 20d	16.8%	13.4%	20.1%	16.3%	20.1%
HV 60d	18.4%	17.0%	19.3%	19.3%	18.6%
IV Rank	15.6%	0.0%	30.7%	26.7%	30.1%
IV Percentile	32.0%	0.0%	67.9%	59.9%	67.1%
Term Structure	-0.0%	-1.5%	1.7%	-0.2%	0.2%
VWIV	25.4%	23.0%	29.5%	26.0%	25.1%
Skew 25d	1.8%	0.9%	2.8%	2.8%	2.7%
Skew 10d	3.7%	1.9%	5.5%	5.5%	5.0%
Call IV 25d	18.2%	14.9%	21.1%	19.8%	20.6%
Put IV 25d	20.0%	16.5%	23.3%	22.6%	23.3%
Bid-Ask Spread %	4.61	2.53	8.76	3.87	4.07
Gamma HHI	0.21	0.11	0.46	0.22	0.14
Net GEX	58.3M	11.4M	168.4M	87.7M	32.2M
Net DEX	-966.1M	-1.68B	-206.5M	-1.23B	-382.8M
Net VEX	-10.1M	-11.1M	-9.4M	-10.2M	-11.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.17	1.13	0.94	0.64
Total Volume	82,261	47,872	145,040	93,489	58,846
Total OI	1,294,031.81	954,721	1,563,457	1,404,843	1,162,904

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
2014-01-02	$58.21	$45.00	20.9%	7.1%	16.3%	26.7%	26.0%	2.8%	-0.2%	87.7M	-1.23B	-10.2M	0.94	3.87	N/A	N/A	48,210	45,279	593,916	810,927
2014-01-03	$58.66	$45.00	19.7%	7.0%	16.4%	20.4%	24.3%	2.3%	-0.2%	87.7M	-1.44B	-9.9M	0.51	4.62	N/A	N/A	35,450	17,966	609,360	821,163
2014-01-06	$59.00	$45.00	19.9%	6.8%	13.4%	21.5%	29.2%	2.3%	-1.5%	89.2M	-1.49B	-9.8M	0.38	4.20	N/A	N/A	53,921	20,295	600,478	807,081
2014-01-07	$58.32	$45.00	19.3%	7.0%	14.3%	18.1%	28.0%	2.3%	-0.2%	81.4M	-1.21B	-10.0M	0.53	2.53	N/A	N/A	50,637	27,041	596,443	813,515
2014-01-08	$58.87	$45.00	18.5%	6.8%	14.4%	13.9%	24.6%	1.9%	-0.9%	93.0M	-1.40B	-9.8M	1.13	5.70	N/A	N/A	28,961	32,665	600,050	821,755
2014-01-09	$58.76	$45.00	19.1%	6.8%	14.5%	17.1%	29.5%	1.8%	-1.3%	82.8M	-1.40B	-9.7M	0.66	2.64	N/A	N/A	31,586	20,818	602,196	839,300
2014-01-10	$58.49	$45.00	18.0%	6.9%	13.8%	11.4%	26.2%	1.5%	0.0%	66.6M	-1.31B	-9.8M	0.95	3.97	N/A	N/A	29,126	27,759	612,650	848,628
2014-01-13	$57.70	$45.00	19.5%	6.8%	14.9%	19.4%	28.3%	1.6%	-1.3%	57.5M	-1.01B	-9.8M	0.87	3.46	N/A	N/A	69,738	60,932	605,294	844,901
2014-01-14	$57.74	$45.00	15.6%	6.8%	14.8%	0.0%	24.4%	1.3%	0.2%	67.6M	-1.02B	-9.5M	0.62	5.83	N/A	N/A	78,744	48,936	630,004	875,591
2014-01-15	$59.49	$45.00	16.3%	6.6%	17.9%	3.6%	23.9%	0.9%	-0.2%	168.4M	-1.68B	-9.6M	0.38	6.84	N/A	N/A	105,289	39,751	642,651	871,907
2014-01-16	$58.99	$45.00	16.8%	6.6%	17.5%	6.4%	24.9%	1.3%	-0.5%	78.6M	-1.45B	-9.8M	0.64	5.31	N/A	N/A	53,612	34,418	656,400	883,376
2014-01-17	$58.11	$45.00	16.4%	6.8%	16.2%	4.1%	24.9%	1.6%	0.0%	15.1M	-1.17B	-9.8M	0.60	3.23	N/A	N/A	43,050	25,956	667,031	896,426
2014-01-21	$58.17	$45.00	15.7%	6.7%	16.2%	0.4%	24.1%	2.0%	1.7%	41.7M	-917.4M	-9.4M	0.45	5.37	N/A	N/A	57,351	26,019	521,028	433,693
2014-01-22	$57.59	$45.00	15.7%	6.6%	16.4%	0.4%	23.0%	1.4%	1.7%	28.1M	-789.7M	-10.0M	0.42	3.51	N/A	N/A	36,013	15,270	558,418	446,530
2014-01-23	$56.47	$45.00	17.3%	6.5%	17.4%	9.0%	24.7%	1.1%	1.0%	17.7M	-502.4M	-10.0M	0.67	5.11	N/A	N/A	54,550	36,466	572,638	450,139
2014-01-24	$55.09	$50.00	20.3%	6.8%	19.2%	24.5%	24.6%	1.7%	-0.3%	11.7M	-207.9M	-10.3M	0.73	4.99	N/A	N/A	61,341	44,698	596,194	460,415
2014-01-27	$55.09	$50.00	20.2%	6.8%	19.2%	24.2%	24.6%	2.1%	0.3%	11.4M	-206.5M	-10.2M	0.17	8.76	N/A	N/A	93,973	15,848	575,087	463,562
2014-01-28	$55.74	$50.00	19.8%	6.7%	19.9%	22.1%	24.5%	1.7%	0.6%	30.2M	-444.1M	-10.9M	0.39	5.41	N/A	N/A	34,484	13,388	638,315	468,918
2014-01-29	$55.53	$50.00	21.4%	6.9%	19.9%	30.7%	24.5%	1.8%	0.4%	30.6M	-415.4M	-11.0M	0.37	3.51	N/A	N/A	61,350	22,830	651,585	471,788
2014-01-30	$56.00	$50.00	20.2%	6.8%	19.8%	24.4%	23.8%	2.2%	0.2%	44.4M	-609.8M	-10.8M	0.32	3.92	N/A	N/A	49,038	15,876	672,456	479,955
2014-01-31	$55.36	$50.00	21.3%	6.9%	20.1%	30.1%	25.1%	2.7%	0.2%	32.2M	-382.8M	-11.1M	0.64	4.07	N/A	N/A	35,891	22,955	676,030	486,874