JPM Options History — April 2014

In April 2014, JPM traded between $54.80 and $60.67. ATM implied volatility averaged 18.6%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 2.0% (HV 20d: 20.6%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.69.

Notable Days

2014-04-01: Highest Volume — 207,106 contracts
2014-04-10: Largest IV spike — 7.1% change
2014-04-10: Highest IV Rank — 33.5%
2014-04-15: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.05	$54.80	$60.67	$60.67	$55.98
Max Pain	$51.31	$50.00	$52.50	$50.00	$52.50
ATM IV	18.6%	16.3%	21.3%	19.1%	16.7%
Expected Move	6.5%	6.3%	6.8%	6.3%	6.4%
HV 20d	20.6%	17.9%	25.0%	18.9%	20.3%
HV 60d	19.7%	19.0%	20.7%	19.1%	19.1%
IV Rank	17.7%	4.2%	33.5%	20.2%	6.5%
IV Percentile	31.9%	1.6%	73.4%	37.7%	3.6%
Term Structure	-0.2%	-1.1%	0.6%	-0.5%	0.2%
VWIV	23.2%	21.5%	25.0%	22.7%	22.7%
Skew 25d	2.4%	1.8%	3.1%	1.8%	2.3%
Skew 10d	5.0%	2.1%	7.0%	3.2%	4.6%
Call IV 25d	17.9%	15.6%	20.3%	18.8%	15.8%
Put IV 25d	20.3%	17.5%	23.3%	20.5%	18.1%
Bid-Ask Spread %	6.72	3.52	10.09	3.61	8.40
Gamma HHI	0.15	0.08	0.29	0.29	0.10
Net GEX	36.3M	-11.8M	118.9M	118.9M	18.4M
Net DEX	-471.1M	-1.71B	307.7M	-1.71B	-275.1M
Net VEX	-11.2M	-11.9M	-10.8M	-11.5M	-11.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.07	1.38	0.07	0.95
Total Volume	70,777.333	25,441	207,106	207,106	25,441
Total OI	1,211,516.524	1,117,210	1,312,806	1,223,784	1,194,238

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
2014-04-01	$60.67	$50.00	19.1%	6.3%	18.9%	20.2%	22.7%	1.8%	-0.5%	118.9M	-1.71B	-11.5M	0.07	3.61	N/A	N/A	194,173	12,933	704,414	519,370
2014-04-02	$60.48	$50.00	19.5%	6.4%	18.3%	22.4%	24.2%	2.3%	-0.6%	95.7M	-1.41B	-11.9M	0.27	3.52	N/A	N/A	39,394	10,478	668,425	524,942
2014-04-03	$60.66	$50.00	19.3%	6.4%	17.9%	21.1%	23.4%	2.1%	-0.4%	108.6M	-1.50B	-11.7M	1.38	4.16	N/A	N/A	16,727	23,043	683,143	528,003
2014-04-04	$59.81	$50.00	19.8%	6.4%	18.5%	24.3%	22.0%	2.1%	-0.6%	82.8M	-1.19B	-11.6M	0.80	5.17	N/A	N/A	29,343	23,540	684,676	538,038
2014-04-07	$59.00	$50.00	21.0%	6.5%	19.2%	31.2%	22.9%	2.8%	-1.0%	70.1M	-915.6M	-11.7M	0.83	4.38	N/A	N/A	21,559	17,810	678,600	518,205
2014-04-08	$58.85	$50.00	20.7%	6.4%	18.1%	29.2%	23.6%	2.5%	-0.9%	66.4M	-883.9M	-11.4M	0.96	4.63	N/A	N/A	32,029	30,688	683,120	523,237
2014-04-09	$59.27	$50.00	19.9%	6.5%	18.1%	25.2%	23.1%	2.4%	-1.1%	81.9M	-970.4M	-11.9M	0.65	5.81	N/A	N/A	26,839	17,399	693,350	529,991
2014-04-10	$57.40	$50.00	21.3%	6.7%	21.4%	33.5%	24.4%	3.0%	-0.4%	25.5M	-371.0M	-11.3M	0.87	6.42	N/A	N/A	67,177	58,506	700,104	535,703
2014-04-11	$55.30	$50.00	20.6%	6.7%	25.0%	28.9%	24.2%	2.8%	0.1%	-11.8M	307.7M	-10.8M	0.80	7.59	N/A	N/A	96,911	77,058	732,795	559,503
2014-04-14	$54.96	$50.00	20.2%	6.8%	24.4%	26.6%	24.1%	3.1%	0.6%	-11.5M	201.1M	-10.8M	0.74	7.07	N/A	N/A	73,912	54,829	718,431	544,334
2014-04-15	$54.80	$52.50	19.4%	6.8%	24.0%	22.1%	24.7%	2.8%	0.4%	-9.3M	210.7M	-11.1M	0.44	7.40	N/A	N/A	75,504	33,310	746,687	566,119
2014-04-16	$55.26	$52.50	18.1%	6.7%	24.2%	14.8%	23.8%	2.7%	0.1%	-5.9M	40.3M	-10.9M	0.95	8.98	N/A	N/A	27,335	26,106	709,168	562,348
2014-04-17	$55.22	$52.50	17.3%	6.7%	20.9%	10.1%	25.0%	2.3%	0.4%	-11.3M	28.8M	-10.9M	0.57	10.09	N/A	N/A	37,289	21,103	720,127	568,860
2014-04-21	$55.03	$52.50	17.5%	6.6%	20.8%	11.1%	22.3%	2.2%	-0.1%	5.5M	-7.6M	-10.8M	0.61	8.68	N/A	N/A	24,469	14,905	594,593	522,617
2014-04-22	$55.81	$52.50	16.6%	6.5%	20.7%	5.7%	22.7%	2.2%	-0.0%	23.7M	-207.4M	-10.8M	0.48	7.28	N/A	N/A	40,997	19,749	609,298	529,534
2014-04-23	$56.05	$52.50	16.5%	6.4%	20.9%	5.2%	21.9%	2.2%	-0.1%	33.6M	-290.0M	-11.1M	0.45	8.58	N/A	N/A	32,060	14,585	622,123	538,416
2014-04-24	$56.19	$52.50	16.3%	6.4%	20.4%	4.2%	21.5%	1.9%	0.0%	38.5M	-326.6M	-10.9M	0.48	8.22	N/A	N/A	24,955	12,100	629,122	542,429
2014-04-25	$55.70	$52.50	17.3%	6.4%	20.5%	9.8%	22.3%	2.1%	-0.6%	13.5M	-166.7M	-10.8M	1.17	7.87	N/A	N/A	21,715	25,396	631,430	547,696
2014-04-28	$55.49	$52.50	17.6%	6.5%	20.4%	11.6%	23.3%	2.6%	0.2%	8.5M	-149.7M	-10.9M	0.77	6.36	N/A	N/A	27,486	21,048	612,603	547,828
2014-04-29	$56.10	$52.50	17.0%	6.4%	20.4%	8.1%	22.7%	2.5%	0.2%	19.8M	-306.9M	-11.1M	0.34	6.95	N/A	N/A	27,153	9,270	622,078	556,149
2014-04-30	$55.98	$52.50	16.7%	6.4%	20.3%	6.5%	22.7%	2.3%	0.2%	18.4M	-275.1M	-11.0M	0.95	8.40	N/A	N/A	13,039	12,402	634,915	559,323