JPM Options History — July 2014 In July 2014, JPM traded between $55.56 and $59.19. ATM implied volatility averaged 15.4%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.2% (HV 20d: 15.2%). Max pain ranged from $57.50 to $57.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.71.
Notable Days 2014-07-15 : Highest Volume — 203,920 contracts2014-07-31 : Largest IV spike — 21.1% change2014-07-10 : Highest IV Rank — 26.2%2014-07-31 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $57.69 $55.56 $59.19 $57.57 $57.67 Max Pain $57.50 $57.50 $57.50 $57.50 $57.50 ATM IV 15.4% 13.5% 18.6% 16.1% 17.6% Expected Move 5.1% 4.8% 5.6% 5.1% 5.6% HV 20d 15.2% 11.3% 18.8% 12.0% 18.8% HV 60d 15.0% 13.3% 16.5% 16.5% 14.5% IV Rank 9.0% 0.0% 26.2% 10.7% 24.5% IV Percentile 12.4% 0.0% 48.0% 11.1% 32.5% Term Structure -0.0% -1.2% 0.8% 0.1% 0.0% VWIV 18.3% 16.5% 21.1% 18.1% 21.1% Skew 25d 2.4% 1.6% 2.8% 2.2% 2.7% Skew 10d 5.0% 4.0% 7.2% 5.9% 5.5% Call IV 25d 14.6% 12.7% 17.8% 15.5% 16.7% Put IV 25d 17.0% 14.7% 20.4% 17.7% 19.4% Bid-Ask Spread % 10.10 8.11 13.17 9.37 10.58 Gamma HHI 0.14 0.11 0.19 0.13 0.12 Net GEX 54.8M 11.8M 91.7M 54.7M 45.4M Net DEX -730.1M -1.25B -53.1M -609.1M -611.8M Net VEX -10.6M -11.4M -9.7M -10.2M -11.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.43 1.36 0.58 0.98 Total Volume 61,252.818 32,274 203,920 63,746 79,924 Total OI 1,206,441.318 1,134,142 1,309,706 1,134,142 1,241,492
Daily Data (22 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 2014-07-01 $57.57 $57.50 16.1% 5.1% 12.0% 10.7% 18.1% 2.2% 0.1% 54.7M -609.1M -10.2M 0.58 9.37 N/A N/A 40,347 23,399 597,994 536,148 2014-07-02 $56.97 $57.50 16.1% 5.0% 12.7% 10.8% 19.3% 2.6% 0.2% 25.6M -412.1M -10.3M 0.51 8.85 N/A N/A 37,295 18,842 616,140 539,378 2014-07-03 $57.05 $57.50 16.5% 5.0% 11.3% 13.3% 18.2% 1.6% 0.8% 41.0M -478.1M -10.4M 0.67 9.79 N/A N/A 23,106 15,421 632,884 547,367 2014-07-07 $56.67 $57.50 17.0% 5.1% 11.3% 16.3% 18.5% 2.6% -1.2% 31.0M -348.4M -10.2M 0.53 8.63 N/A N/A 23,515 12,535 607,257 539,112 2014-07-08 $55.76 $57.50 18.1% 5.4% 12.2% 23.3% 19.4% 2.0% 0.3% 14.5M -123.4M -9.7M 0.62 11.20 N/A N/A 35,369 21,759 615,684 541,136 2014-07-09 $56.02 $57.50 18.2% 5.3% 11.9% 24.1% 19.0% 2.7% 0.0% 21.6M -191.0M -10.2M 0.67 9.64 N/A N/A 19,346 13,020 629,430 545,113 2014-07-10 $55.56 $57.50 18.6% 5.3% 11.7% 26.2% 19.1% 2.6% -0.5% 11.8M -53.1M -10.1M 0.52 9.63 N/A N/A 25,476 13,228 635,797 548,310 2014-07-11 $55.80 $57.50 17.4% 5.3% 11.8% 18.9% 19.1% 2.8% -0.1% 20.6M -68.6M -10.1M 0.78 12.08 N/A N/A 27,970 21,850 643,838 553,579 2014-07-14 $56.29 $57.50 15.7% 5.0% 12.3% 8.2% 17.9% 2.6% 0.5% 37.4M -296.1M -9.9M 0.72 12.27 N/A N/A 49,136 35,446 633,279 546,243 2014-07-15 $58.27 $57.50 14.0% 4.8% 17.5% 0.0% 16.5% 2.7% -0.6% 91.7M -1.06B -10.2M 0.43 10.21 N/A N/A 142,276 61,644 649,940 557,191 2014-07-16 $58.71 $57.50 14.1% 4.8% 17.4% 0.7% 17.3% 2.2% -0.2% 84.7M -1.17B -10.5M 0.67 8.11 N/A N/A 68,813 46,196 672,610 573,996 2014-07-17 $57.86 $57.50 15.2% 5.1% 18.1% 7.5% 16.6% 2.6% -0.3% 64.9M -826.2M -10.5M 0.62 13.17 N/A N/A 60,136 37,534 694,854 583,231 2014-07-18 $58.23 $57.50 14.0% 5.0% 18.0% 0.0% 17.1% 2.6% 0.0% 72.0M -1.05B -10.9M 0.97 10.53 N/A N/A 29,374 28,543 717,384 592,322 2014-07-21 $58.24 $57.50 14.0% 5.0% 17.9% 0.0% 18.7% 2.2% 0.1% 68.0M -894.8M -10.8M 1.09 9.36 N/A N/A 21,995 23,916 648,505 534,372 2014-07-22 $58.67 $57.50 13.6% 5.0% 17.7% 0.0% 16.6% 2.5% 0.0% 71.0M -1.08B -10.8M 0.56 11.77 N/A N/A 25,268 14,204 651,810 541,775 2014-07-23 $59.00 $57.50 13.6% 4.8% 17.0% 0.0% 16.6% 2.0% 0.3% 77.5M -1.19B -10.9M 1.36 8.83 N/A N/A 24,478 33,373 663,515 550,886 2014-07-24 $59.17 $57.50 13.5% 4.8% 17.0% 0.0% 17.5% 2.0% 0.3% 80.4M -1.25B -11.1M 0.55 9.36 N/A N/A 22,109 12,193 670,335 564,892 2014-07-25 $59.01 $57.50 13.6% 4.9% 17.0% 0.2% 17.8% 2.2% 0.0% 71.9M -1.19B -11.1M 0.97 8.19 N/A N/A 20,896 20,293 677,044 568,468 2014-07-28 $59.19 $57.50 14.2% 4.9% 17.0% 4.0% 20.6% 2.4% -0.4% 75.5M -1.13B -11.0M 0.72 8.66 N/A N/A 22,534 16,220 657,281 559,948 2014-07-29 $58.64 $57.50 14.2% 5.2% 17.4% 3.9% 18.5% 2.1% 0.7% 70.7M -975.4M -10.8M 0.57 9.17 N/A N/A 20,558 11,716 661,879 566,387 2014-07-30 $58.91 $57.50 14.6% 5.0% 17.5% 6.2% 19.3% 2.8% -0.7% 73.0M -1.06B -11.2M 0.43 12.79 N/A N/A 32,271 14,038 663,919 568,984 2014-07-31 $57.67 $57.50 17.6% 5.6% 18.8% 24.5% 21.1% 2.7% 0.0% 45.4M -611.8M -11.4M 0.98 10.58 N/A N/A 40,356 39,568 669,407 572,085
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