JPM Options History — February 2014 In February 2014, JPM traded between $54.31 and $58.49. ATM implied volatility averaged 19.1%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.0% (HV 20d: 20.1%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.60.
Notable Days 2014-02-24 : Highest Volume — 102,701 contracts2014-02-04 : Largest IV drop — 9.5% change2014-02-03 : Highest IV Rank — 48.2%2014-02-03 : Largest Expected Move — 7.2%Monthly Statistics Metric Avg Min Max Open Close Price $56.93 $54.31 $58.49 $54.31 $56.82 Max Pain $50.00 $50.00 $50.00 $50.00 $50.00 ATM IV 19.1% 17.2% 24.8% 24.8% 18.2% Expected Move 6.8% 6.5% 7.2% 7.2% 6.5% HV 20d 20.1% 16.6% 22.6% 20.5% 17.5% HV 60d 17.9% 17.4% 19.2% 19.1% 17.8% IV Rank 18.9% 8.5% 48.2% 48.2% 15.2% IV Percentile 33.1% 4.4% 91.3% 91.3% 23.0% Term Structure 0.3% -0.6% 1.1% -0.6% 0.6% VWIV 24.1% 22.5% 25.8% 24.3% 24.9% Skew 25d 2.6% 2.1% 3.4% 3.4% 2.7% Skew 10d 5.6% 4.5% 7.1% 6.7% 5.3% Call IV 25d 18.1% 16.2% 23.7% 23.7% 17.0% Put IV 25d 20.8% 18.3% 27.1% 27.1% 19.7% Bid-Ask Spread % 3.83 2.67 6.13 5.51 3.52 Gamma HHI 0.20 0.13 0.40 0.13 0.19 Net GEX 68.8M 21.9M 159.0M 21.9M 50.9M Net DEX -903.9M -1.40B -169.1M -169.1M -735.2M Net VEX -11.2M -11.6M -10.8M -10.9M -10.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.33 1.11 0.48 0.54 Total Volume 58,171.789 28,587 102,701 83,474 72,442 Total OI 1,188,566.632 1,110,715 1,227,657 1,140,897 1,200,893
Daily Data (19 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 2014-02-03 $54.31 $50.00 24.8% 7.2% 20.5% 48.2% 24.3% 3.4% -0.6% 21.9M -169.1M -10.9M 0.48 5.51 N/A N/A 56,258 27,216 664,752 476,145 2014-02-04 $54.95 $50.00 22.4% 7.1% 21.0% 35.8% 25.3% 2.7% -0.0% 29.0M -310.9M -11.0M 0.42 4.82 N/A N/A 36,096 15,016 684,594 483,124 2014-02-05 $55.21 $50.00 22.1% 7.0% 21.0% 34.0% 25.8% 2.8% 0.0% 34.3M -393.7M -11.1M 0.54 4.85 N/A N/A 22,128 11,986 690,635 485,949 2014-02-06 $56.48 $50.00 20.5% 6.9% 22.5% 25.9% 23.8% 2.5% 0.5% 46.9M -806.3M -11.4M 0.73 6.13 N/A N/A 49,208 35,949 694,768 489,876 2014-02-07 $56.62 $50.00 19.4% 6.8% 22.5% 20.0% 23.7% 2.6% 0.2% 27.4M -878.7M -11.4M 0.67 3.27 N/A N/A 40,020 26,779 707,032 504,523 2014-02-10 $56.74 $50.00 19.9% 6.8% 22.6% 22.7% 23.6% 2.6% -0.6% 58.9M -852.8M -11.6M 0.77 4.87 N/A N/A 16,162 12,425 693,460 485,975 2014-02-11 $57.43 $50.00 18.2% 6.8% 22.6% 13.9% 24.0% 2.4% -0.2% 74.4M -1.11B -11.3M 0.48 2.95 N/A N/A 40,992 19,833 699,557 491,265 2014-02-12 $57.52 $50.00 18.0% 6.8% 22.6% 12.9% 25.2% 2.1% 0.0% 74.9M -1.15B -11.4M 0.67 3.90 N/A N/A 22,755 15,306 706,382 492,045 2014-02-13 $58.03 $50.00 17.8% 6.8% 20.0% 11.5% 24.0% 2.2% 0.5% 91.4M -1.34B -11.6M 0.56 2.69 N/A N/A 37,815 21,245 715,950 497,804 2014-02-14 $58.15 $50.00 17.2% 6.7% 19.8% 8.5% 25.4% 2.1% 0.7% 95.7M -1.40B -11.6M 0.38 3.18 N/A N/A 41,616 15,606 724,537 503,120 2014-02-18 $58.49 $50.00 17.9% 6.7% 19.2% 12.0% 23.3% 3.1% -0.3% 91.3M -1.40B -11.3M 0.37 4.45 N/A N/A 36,315 13,575 705,429 492,736 2014-02-19 $57.26 $50.00 18.2% 6.7% 20.6% 13.8% 24.2% 3.0% 0.3% 76.3M -984.0M -11.3M 1.11 3.82 N/A N/A 29,888 33,247 710,326 496,189 2014-02-20 $57.58 $50.00 18.6% 6.7% 20.5% 16.1% 24.6% 2.8% 0.5% 86.8M -1.09B -11.1M 0.34 3.56 N/A N/A 31,484 10,611 712,832 502,117 2014-02-21 $57.61 $50.00 18.1% 6.7% 19.1% 13.4% 23.9% 3.2% 0.3% 159.0M -1.15B -11.0M 0.33 2.67 N/A N/A 49,088 16,058 719,714 505,871 2014-02-24 $58.03 $50.00 17.8% 6.6% 16.6% 11.4% 22.7% 2.1% 0.4% 80.8M -1.17B -10.9M 0.61 2.91 N/A N/A 63,609 39,092 643,396 467,319 2014-02-25 $57.03 $50.00 17.8% 6.6% 18.0% 11.6% 22.5% 2.3% 1.1% 83.0M -861.3M -10.8M 0.77 2.94 N/A N/A 31,292 24,084 676,931 488,335 2014-02-26 $56.75 $50.00 18.2% 6.6% 17.8% 15.0% 23.2% 2.4% 1.0% 66.4M -706.5M -10.9M 0.70 3.05 N/A N/A 31,586 22,235 679,885 500,035 2014-02-27 $56.69 $50.00 18.4% 6.5% 17.7% 16.3% 23.0% 2.5% 0.9% 57.1M -656.5M -10.8M 0.89 3.66 N/A N/A 19,153 17,094 683,170 506,095 2014-02-28 $56.82 $50.00 18.2% 6.5% 17.5% 15.2% 24.9% 2.7% 0.6% 50.9M -735.2M -10.8M 0.54 3.52 N/A N/A 47,039 25,403 688,859 512,034
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