JPM Options History — May 2014 In May 2014, JPM traded between $53.31 and $55.72. ATM implied volatility averaged 15.9%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 1.8% (HV 20d: 17.7%). Max pain ranged from $52.50 to $60.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.81.
Notable Days 2014-05-05 : Highest Volume — 86,161 contracts2014-05-19 : Largest IV drop — 10.9% change2014-05-05 : Highest IV Rank — 13.0%2014-05-06 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $54.49 $53.31 $55.72 $55.72 $55.57 Max Pain $55.25 $52.50 $60.00 $52.50 $57.50 ATM IV 15.9% 14.4% 17.8% 16.6% 14.9% Expected Move 5.8% 5.3% 6.4% 6.3% 5.4% HV 20d 17.7% 15.6% 22.3% 20.3% 16.1% HV 60d 19.2% 18.5% 19.5% 19.0% 18.5% IV Rank 4.6% 0.0% 13.0% 5.8% 3.1% IV Percentile 4.1% 0.0% 18.3% 3.6% 2.4% Term Structure 0.4% -0.3% 1.3% 0.3% 0.7% VWIV 20.9% 18.3% 23.1% 22.1% 18.7% Skew 25d 2.3% 2.0% 2.8% 2.2% 2.2% Skew 10d 4.9% 4.0% 6.6% 5.3% 4.7% Call IV 25d 15.1% 13.9% 17.1% 15.5% 13.9% Put IV 25d 17.4% 16.1% 19.6% 17.7% 16.1% Bid-Ask Spread % 7.73 5.54 19.63 7.89 7.38 Gamma HHI 0.12 0.10 0.19 0.10 0.19 Net GEX 4.3M -22.1M 57.0M 11.3M 57.0M Net DEX 60.3M -348.3M 447.3M -187.0M -293.3M Net VEX -10.0M -10.8M -9.4M -10.8M -10.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.81 0.18 1.73 0.36 0.87 Total Volume 44,254.381 23,529 86,161 37,959 35,116 Total OI 1,213,301 1,153,002 1,253,858 1,203,908 1,244,823
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 2014-05-01 $55.72 $52.50 16.6% 6.3% 20.3% 5.8% 22.1% 2.2% 0.3% 11.3M -187.0M -10.8M 0.36 7.89 N/A N/A 27,873 10,086 639,822 564,086 2014-05-02 $55.58 $52.50 16.1% 6.2% 20.2% 3.2% 23.0% 2.4% 0.3% -1.6M -138.8M -10.7M 0.95 10.21 N/A N/A 26,577 25,262 637,388 565,830 2014-05-05 $54.22 $52.50 17.8% 6.2% 21.2% 13.0% 22.5% 2.8% 0.0% -17.7M 262.9M -10.2M 0.60 6.81 N/A N/A 53,953 32,208 626,387 567,609 2014-05-06 $53.34 $52.50 17.8% 6.4% 21.4% 13.0% 23.0% 2.3% -0.0% -22.1M 447.3M -10.1M 0.60 7.35 N/A N/A 41,639 24,864 638,455 576,627 2014-05-07 $54.05 $52.50 17.6% 6.2% 22.3% 11.6% 23.1% 2.2% 0.1% -11.2M 225.5M -10.2M 1.11 7.57 N/A N/A 18,022 19,945 646,409 580,199 2014-05-08 $54.36 $52.50 16.9% 6.2% 22.2% 7.8% 22.8% 2.2% 0.1% -6.3M 158.5M -10.3M 1.33 8.34 N/A N/A 17,168 22,789 649,363 586,196 2014-05-09 $54.01 $52.50 16.8% 6.2% 19.7% 7.0% 22.3% 2.2% 0.3% -17.7M 280.6M -10.0M 0.81 7.19 N/A N/A 19,478 15,714 650,576 587,780 2014-05-12 $54.65 $52.50 16.2% 6.1% 15.7% 3.7% 20.6% 2.2% -0.3% -3.2M 39.5M -10.1M 0.53 6.21 N/A N/A 23,347 12,313 635,742 576,482 2014-05-13 $54.62 $52.50 15.8% 6.0% 15.6% 1.5% 21.4% 2.0% -0.0% -511.5K 67.3M -10.1M 0.33 6.43 N/A N/A 21,885 7,220 645,485 577,304 2014-05-14 $54.36 $52.50 15.5% 6.0% 15.6% 0.0% 22.5% 2.1% -0.2% 2.5M 107.6M -10.1M 1.73 6.61 N/A N/A 10,021 17,320 659,279 579,154 2014-05-15 $53.51 $52.50 16.7% 6.2% 16.2% 7.0% 20.3% 2.2% 0.8% -13.6M 364.2M -9.5M 0.74 5.54 N/A N/A 30,750 22,780 653,747 580,626 2014-05-16 $53.31 $52.50 16.3% 6.1% 16.2% 4.9% 20.8% 2.2% 0.7% -12.5M 411.9M -9.4M 0.72 6.22 N/A N/A 23,872 17,075 663,267 590,591 2014-05-19 $53.83 $0.00 14.5% 5.4% 16.7% 0.0% 20.5% 2.5% 1.0% -7.6M 193.1M -9.7M 0.92 19.63 N/A N/A 28,141 25,923 604,373 548,629 2014-05-20 $53.72 $57.50 15.8% 5.5% 15.7% 7.2% 19.3% 2.5% -0.3% -5.3M 204.1M -9.7M 0.18 6.69 N/A N/A 44,959 8,115 613,283 557,567 2014-05-21 $54.12 $60.00 14.5% 5.3% 15.9% 0.0% 18.5% 2.1% 1.3% 4.2M 87.8M -9.9M 0.56 8.42 N/A N/A 30,959 17,451 623,239 559,736 2014-05-22 $54.55 $60.00 14.4% 5.3% 16.2% 0.0% 19.8% 2.1% 0.9% 13.3M -61.2M -9.8M 0.73 6.03 N/A N/A 13,632 9,897 633,099 568,746 2014-05-23 $54.53 $60.00 14.4% 5.3% 15.9% 0.0% 21.6% 2.3% 0.5% 30.0M -59.2M -9.8M 0.94 7.10 N/A N/A 20,129 18,847 636,338 569,393 2014-05-27 $55.14 $60.00 14.9% 5.3% 16.5% 3.0% 18.5% 2.3% 0.6% 23.5M -212.9M -9.9M 1.22 6.38 N/A N/A 24,653 30,151 625,946 566,396 2014-05-28 $55.45 $60.00 14.8% 5.4% 16.1% 2.1% 19.2% 2.3% 0.6% 29.4M -283.4M -9.9M 0.88 6.56 N/A N/A 24,127 21,209 630,734 582,983 2014-05-29 $55.72 $60.00 15.0% 5.3% 16.2% 3.3% 18.3% 2.3% 1.0% 37.6M -348.3M -10.2M 0.96 7.71 N/A N/A 17,265 16,607 640,355 595,277 2014-05-30 $55.57 $57.50 14.9% 5.4% 16.1% 3.1% 18.7% 2.2% 0.7% 57.0M -293.3M -10.3M 0.87 7.38 N/A N/A 18,748 16,368 643,325 601,498
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