JPM Options History — March 2014

In March 2014, JPM traded between $56.21 and $61.07. ATM implied volatility averaged 19.9%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.7% (HV 20d: 18.3%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.68.

Notable Days

2014-03-20: Highest Volume — 195,473 contracts
2014-03-04: Largest IV drop — 9.5% change
2014-03-14: Highest IV Rank — 39.8%
2014-03-03: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.87	$56.21	$61.07	$56.21	$60.71
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	19.9%	18.1%	22.6%	20.4%	19.1%
Expected Move	6.5%	6.3%	6.8%	6.8%	6.3%
HV 20d	18.3%	16.1%	20.2%	17.4%	19.6%
HV 60d	18.4%	17.7%	19.2%	17.9%	19.2%
IV Rank	24.9%	14.3%	39.8%	27.7%	20.3%
IV Percentile	49.9%	19.8%	81.0%	56.7%	37.7%
Term Structure	-0.0%	-1.7%	1.7%	0.8%	-0.2%
VWIV	22.9%	21.0%	24.6%	23.6%	22.5%
Skew 25d	2.7%	1.6%	3.5%	3.0%	2.3%
Skew 10d	5.2%	3.3%	7.4%	6.9%	4.4%
Call IV 25d	18.9%	16.4%	21.5%	19.0%	18.3%
Put IV 25d	21.6%	19.4%	24.9%	21.9%	20.6%
Bid-Ask Spread %	3.24	2.25	4.38	3.71	4.32
Gamma HHI	0.24	0.15	0.48	0.15	0.29
Net GEX	85.0M	37.5M	166.8M	37.5M	101.4M
Net DEX	-1.34B	-2.05B	-546.1M	-546.1M	-1.62B
Net VEX	-11.5M	-12.2M	-10.9M	-10.9M	-11.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.27	1.69	1.00	0.27
Total Volume	78,283.952	33,702	195,473	67,270	59,905
Total OI	1,244,686.429	1,165,179	1,369,416	1,165,179	1,189,469

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
2014-03-03	$56.21	$50.00	20.4%	6.8%	17.4%	27.7%	23.6%	3.0%	0.8%	37.5M	-546.1M	-10.9M	1.00	3.71	N/A	N/A	33,562	33,708	664,981	500,198
2014-03-04	$57.26	$50.00	18.5%	6.6%	16.8%	16.6%	24.6%	3.2%	1.2%	65.6M	-907.9M	-11.2M	0.46	2.66	N/A	N/A	44,174	20,524	677,427	515,787
2014-03-05	$58.16	$50.00	18.5%	6.6%	17.2%	16.5%	22.9%	2.1%	1.1%	89.9M	-1.28B	-11.3M	0.34	2.25	N/A	N/A	42,560	14,326	688,683	523,408
2014-03-06	$58.90	$50.00	18.1%	6.5%	17.5%	14.3%	23.3%	3.0%	1.7%	103.8M	-1.60B	-11.3M	0.44	3.05	N/A	N/A	75,540	33,115	697,993	526,121
2014-03-07	$59.40	$50.00	18.8%	6.5%	16.1%	18.4%	22.7%	2.4%	1.4%	106.7M	-1.74B	-11.5M	0.44	3.13	N/A	N/A	68,212	29,735	707,552	539,154
2014-03-10	$59.20	$50.00	20.2%	6.4%	16.2%	26.2%	21.3%	3.1%	-1.7%	97.1M	-1.59B	-11.4M	0.98	3.15	N/A	N/A	25,337	24,896	696,327	528,668
2014-03-11	$58.19	$50.00	20.8%	6.6%	17.6%	29.7%	23.5%	3.2%	-0.8%	78.7M	-1.18B	-11.4M	1.22	3.02	N/A	N/A	27,856	34,032	701,895	534,811
2014-03-12	$57.92	$50.00	20.6%	6.6%	17.3%	28.9%	23.5%	3.3%	-0.6%	74.7M	-1.07B	-11.1M	0.37	3.20	N/A	N/A	28,772	10,566	704,890	543,805
2014-03-13	$57.42	$50.00	21.3%	6.6%	17.6%	32.9%	23.3%	3.4%	-0.7%	64.6M	-879.5M	-11.5M	1.69	3.10	N/A	N/A	29,097	49,260	709,065	546,560
2014-03-14	$56.80	$50.00	22.6%	6.6%	17.6%	39.8%	23.4%	3.5%	-1.3%	41.1M	-599.2M	-11.7M	0.60	3.18	N/A	N/A	46,398	27,669	717,465	580,507
2014-03-17	$57.58	$50.00	20.7%	6.6%	18.4%	29.2%	22.2%	3.0%	0.1%	61.8M	-939.0M	-11.4M	0.84	2.87	N/A	N/A	21,523	18,083	708,621	577,653
2014-03-18	$58.06	$50.00	19.8%	6.5%	18.5%	24.3%	23.4%	2.8%	0.0%	77.0M	-1.13B	-11.5M	0.73	2.93	N/A	N/A	19,427	14,275	713,330	582,893
2014-03-19	$58.30	$50.00	20.2%	6.5%	16.8%	26.3%	24.3%	2.6%	-0.7%	77.2M	-1.24B	-11.3M	0.51	3.19	N/A	N/A	41,099	21,122	716,253	588,447
2014-03-20	$60.11	$50.00	20.0%	6.4%	19.8%	25.4%	21.0%	1.6%	0.1%	121.5M	-1.98B	-11.6M	0.28	3.77	N/A	N/A	153,157	42,316	721,492	589,015
2014-03-21	$60.17	$50.00	19.3%	6.4%	19.8%	21.2%	22.2%	2.0%	0.1%	166.8M	-2.05B	-11.8M	0.35	4.38	N/A	N/A	117,536	41,506	761,995	607,421
2014-03-24	$61.07	$50.00	19.8%	6.4%	20.2%	23.8%	22.1%	2.3%	-0.2%	96.6M	-1.88B	-11.0M	0.92	3.21	N/A	N/A	74,485	68,328	664,474	511,112
2014-03-25	$60.93	$50.00	19.4%	6.4%	18.9%	21.9%	21.5%	2.5%	-0.1%	99.9M	-1.77B	-12.0M	0.87	2.58	N/A	N/A	31,580	27,449	684,105	523,231
2014-03-26	$59.90	$50.00	20.5%	6.4%	20.1%	28.0%	22.8%	2.5%	-0.3%	84.7M	-1.39B	-12.2M	0.86	3.52	N/A	N/A	36,568	31,428	685,584	529,503
2014-03-27	$59.92	$50.00	20.2%	6.4%	20.1%	26.4%	23.0%	2.3%	-0.3%	81.8M	-1.39B	-12.2M	0.59	3.11	N/A	N/A	39,033	23,014	694,599	537,434
2014-03-28	$60.04	$50.00	19.9%	6.4%	20.1%	24.6%	24.0%	2.2%	-0.2%	56.5M	-1.44B	-12.2M	0.48	3.75	N/A	N/A	42,378	20,412	704,165	542,322
2014-03-31	$60.71	$50.00	19.1%	6.3%	19.6%	20.3%	22.5%	2.3%	-0.2%	101.4M	-1.62B	-11.5M	0.27	4.32	N/A	N/A	47,274	12,631	679,835	509,634