JPM Options History — June 2014 In June 2014, JPM traded between $55.35 and $58.19. ATM implied volatility averaged 15.7%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.8% (HV 20d: 11.9%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.73.
Notable Days 2014-06-30 : Highest Volume — 240,295 contracts2014-06-16 : Largest IV spike — 4.9% change2014-06-17 : Highest IV Rank — 14.5%2014-06-03 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $57.12 $55.35 $58.19 $55.35 $57.62 Max Pain $55.48 $55.00 $57.50 $55.00 $57.50 ATM IV 15.7% 14.5% 16.7% 15.4% 15.7% Expected Move 5.3% 5.1% 5.4% 5.4% 5.1% HV 20d 11.9% 10.3% 16.2% 16.2% 12.0% HV 60d 17.4% 16.5% 18.3% 18.3% 16.7% IV Rank 8.4% 1.0% 14.5% 5.7% 8.3% IV Percentile 7.8% 1.2% 13.9% 3.2% 8.3% Term Structure 0.2% -0.7% 1.5% 0.1% -0.5% VWIV 18.7% 17.6% 19.9% 19.9% 17.9% Skew 25d 2.8% 2.1% 3.7% 2.8% 2.2% Skew 10d 5.7% 3.9% 7.5% 5.5% 4.1% Call IV 25d 14.7% 13.6% 16.2% 14.3% 15.1% Put IV 25d 17.5% 15.7% 19.6% 17.0% 17.3% Bid-Ask Spread % 9.52 6.49 20.49 7.49 12.44 Gamma HHI 0.14 0.11 0.30 0.12 0.14 Net GEX 53.3M 13.7M 99.6M 13.7M 62.6M Net DEX -717.9M -1.03B -179.5M -179.5M -798.4M Net VEX -10.4M -10.9M -10.0M -10.0M -10.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.09 1.43 0.76 0.09 Total Volume 55,835.238 20,406 240,295 33,640 240,295 Total OI 1,249,619.381 1,102,747 1,344,924 1,221,953 1,139,809
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 2014-06-02 $55.35 $55.00 15.4% 5.4% 16.2% 5.7% 19.9% 2.8% 0.1% 13.7M -179.5M -10.0M 0.76 7.49 N/A N/A 19,165 14,475 623,659 598,294 2014-06-03 $55.60 $55.00 15.6% 5.4% 13.4% 6.8% 19.8% 2.5% -0.1% 24.0M -274.4M -10.3M 1.10 7.54 N/A N/A 10,112 11,098 634,001 601,806 2014-06-04 $55.68 $55.00 15.6% 5.4% 11.6% 6.8% 19.9% 2.8% -0.3% 28.6M -323.8M -10.3M 1.16 7.47 N/A N/A 9,444 10,962 638,784 606,298 2014-06-05 $56.63 $55.00 15.7% 5.2% 12.2% 7.2% 18.2% 2.7% -0.1% 45.4M -623.2M -10.5M 0.59 6.54 N/A N/A 36,126 21,388 641,120 611,689 2014-06-06 $56.97 $55.00 15.0% 5.3% 12.2% 4.0% 18.4% 2.3% -0.2% 99.6M -758.5M -10.5M 0.35 6.53 N/A N/A 57,373 19,962 650,627 615,178 2014-06-09 $57.42 $55.00 14.8% 5.3% 11.9% 2.6% 18.3% 2.2% 1.2% 56.1M -872.7M -10.8M 0.44 7.26 N/A N/A 48,439 21,385 657,603 615,715 2014-06-10 $57.90 $55.00 14.5% 5.3% 11.6% 1.0% 18.8% 2.1% 1.5% 60.4M -1.03B -10.8M 1.43 7.94 N/A N/A 14,014 20,056 667,054 623,869 2014-06-11 $57.27 $55.00 14.7% 5.3% 12.5% 2.0% 18.4% 2.5% 1.3% 49.7M -780.0M -10.9M 1.40 8.23 N/A N/A 19,838 27,778 666,143 631,025 2014-06-12 $57.04 $55.00 15.1% 5.3% 12.5% 4.3% 19.2% 2.9% 1.3% 44.8M -746.7M -10.2M 0.79 6.49 N/A N/A 17,890 14,058 673,457 642,761 2014-06-13 $57.04 $55.00 15.7% 5.3% 10.6% 8.2% 19.8% 2.6% 1.3% 36.4M -702.6M -10.8M 0.61 8.43 N/A N/A 29,370 18,054 677,233 646,825 2014-06-16 $56.87 $55.00 16.4% 5.4% 10.5% 13.0% 19.3% 3.4% 0.4% 43.5M -626.0M -10.2M 0.57 20.49 N/A N/A 18,445 10,602 679,380 641,373 2014-06-17 $57.42 $55.00 16.7% 5.3% 10.5% 14.5% 18.3% 2.8% -0.2% 55.0M -799.2M -10.8M 0.50 9.90 N/A N/A 33,322 16,529 683,124 644,848 2014-06-18 $57.78 $55.00 16.5% 5.3% 10.3% 13.6% 19.3% 3.1% -0.7% 68.0M -958.7M -10.8M 0.41 10.05 N/A N/A 36,544 15,022 689,044 650,318 2014-06-19 $57.30 $55.00 16.6% 5.3% 11.1% 14.0% 19.2% 3.0% 0.1% 55.3M -764.1M -10.6M 0.63 11.17 N/A N/A 19,240 12,125 695,560 648,420 2014-06-20 $57.55 $55.00 16.0% 5.2% 10.9% 10.0% 18.7% 3.0% 0.6% 93.3M -878.8M -10.3M 0.80 11.94 N/A N/A 38,358 30,587 696,795 648,129 2014-06-23 $58.19 $55.00 15.8% 5.1% 11.2% 9.3% 17.6% 2.6% -0.1% 58.5M -977.4M -10.0M 0.49 11.64 N/A N/A 49,899 24,667 598,875 503,872 2014-06-24 $57.42 $55.00 16.2% 5.1% 12.3% 11.2% 18.6% 2.8% -0.5% 50.9M -738.8M -10.2M 0.98 9.18 N/A N/A 21,820 21,468 613,484 513,577 2014-06-25 $57.53 $57.50 16.3% 5.1% 12.2% 12.3% 17.9% 3.2% -0.7% 55.9M -770.8M -10.2M 0.54 9.72 N/A N/A 35,563 19,222 619,491 517,906 2014-06-26 $57.39 $57.50 16.3% 5.1% 12.2% 11.8% 17.6% 3.7% 0.1% 56.5M -722.5M -10.2M 1.13 9.84 N/A N/A 25,463 28,766 631,506 525,142 2014-06-27 $57.53 $57.50 16.0% 5.1% 12.1% 10.4% 18.5% 3.3% -0.1% 61.6M -748.7M -10.2M 0.63 9.67 N/A N/A 20,594 13,022 639,014 539,199 2014-06-30 $57.62 $57.50 15.7% 5.1% 12.0% 8.3% 17.9% 2.2% -0.5% 62.6M -798.4M -10.1M 0.09 12.44 N/A N/A 219,699 20,596 621,757 518,052
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