JPM Options History — August 2014 In August 2014, JPM traded between $55.91 and $59.74. ATM implied volatility averaged 15.6%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 0.4% (HV 20d: 16.0%). Max pain ranged from $57.50 to $57.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.77.
Notable Days 2014-08-01 : Highest Volume — 128,907 contracts2014-08-18 : Largest IV drop — 13.5% change2014-08-05 : Highest IV Rank — 36.5%2014-08-07 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $57.50 $55.91 $59.74 $56.48 $59.45 Max Pain $57.50 $57.50 $57.50 $57.50 $57.50 ATM IV 15.6% 12.4% 19.7% 18.7% 13.9% Expected Move 5.5% 5.0% 6.2% 5.7% 5.1% HV 20d 16.0% 10.5% 20.3% 20.3% 10.5% HV 60d 14.7% 14.4% 15.1% 15.0% 14.6% IV Rank 15.1% 0.0% 36.5% 30.9% 8.6% IV Percentile 20.5% 0.0% 63.5% 53.2% 4.4% Term Structure 0.2% -1.1% 1.3% -0.5% 1.1% VWIV 19.7% 17.4% 22.7% 21.2% 19.3% Skew 25d 3.0% 1.6% 4.7% 3.9% 2.2% Skew 10d 6.2% 3.3% 9.8% 8.7% 3.8% Call IV 25d 14.5% 11.6% 17.5% 17.5% 12.6% Put IV 25d 17.4% 13.8% 22.3% 21.4% 14.9% Bid-Ask Spread % 9.46 6.89 12.88 9.33 7.75 Gamma HHI 0.16 0.09 0.25 0.23 0.21 Net GEX 51.7M -37.3M 125.6M -37.3M 125.6M Net DEX -613.6M -1.55B -74.1M -179.1M -1.40B Net VEX -11.0M -11.9M -9.8M -11.0M -11.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.32 1.40 0.80 0.64 Total Volume 54,471.048 23,443 128,907 128,907 34,755 Total OI 1,284,855.81 1,192,516 1,359,143 1,261,127 1,359,143
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 2014-08-01 $56.48 $57.50 18.7% 5.7% 20.3% 30.9% 21.2% 3.9% -0.5% -37.3M -179.1M -11.0M 0.80 9.33 N/A N/A 71,741 57,166 680,917 580,210 2014-08-04 $56.65 $57.50 18.5% 5.7% 20.2% 29.6% 21.0% 4.5% -0.2% 24.7M -303.9M -11.0M 0.64 8.52 N/A N/A 23,712 15,238 675,283 580,293 2014-08-05 $56.06 $57.50 19.7% 6.1% 19.7% 36.5% 22.4% 4.7% -0.2% 15.9M -108.8M -11.4M 0.92 9.36 N/A N/A 21,545 19,848 682,371 584,523 2014-08-06 $56.23 $57.50 19.1% 6.2% 19.6% 32.9% 21.4% 3.9% -0.1% 19.3M -157.2M -11.4M 0.77 10.04 N/A N/A 30,716 23,646 688,128 590,855 2014-08-07 $55.91 $57.50 18.8% 6.2% 19.5% 31.6% 21.8% 4.2% 0.7% 10.0M -74.1M -11.3M 0.57 7.97 N/A N/A 27,450 15,586 691,231 597,289 2014-08-08 $56.34 $57.50 18.2% 5.9% 19.6% 27.6% 22.7% 4.2% 0.2% 25.4M -197.1M -11.5M 1.23 8.91 N/A N/A 16,543 20,302 696,887 602,202 2014-08-11 $56.32 $57.50 17.6% 5.8% 19.4% 24.5% 20.5% 3.4% -1.1% 20.9M -184.2M -11.0M 0.86 8.12 N/A N/A 16,006 13,738 682,155 586,336 2014-08-12 $56.35 $57.50 17.1% 5.6% 14.5% 21.0% 20.2% 3.6% -0.8% 22.8M -190.5M -10.9M 0.62 9.48 N/A N/A 34,122 21,097 687,432 589,301 2014-08-13 $56.72 $57.50 16.0% 5.5% 14.4% 14.4% 19.5% 3.0% -0.9% 34.7M -244.4M -10.8M 1.11 7.36 N/A N/A 15,407 17,160 699,349 600,652 2014-08-14 $56.98 $57.50 14.4% 5.4% 13.7% 5.2% 20.1% 2.9% -0.6% 49.5M -349.9M -10.4M 0.70 9.00 N/A N/A 13,771 9,672 700,716 597,609 2014-08-15 $56.75 $57.50 15.4% 5.4% 13.5% 11.3% 21.6% 2.8% -1.1% 35.1M -226.6M -10.0M 1.40 9.60 N/A N/A 32,417 45,353 702,331 598,774 2014-08-18 $57.23 $57.50 13.4% 5.2% 13.9% 0.0% 18.5% 3.3% 0.7% 48.1M -395.2M -9.8M 0.73 11.82 N/A N/A 23,164 16,815 648,727 543,789 2014-08-19 $57.56 $57.50 12.4% 5.1% 13.8% 0.0% 18.4% 2.3% 0.4% 66.5M -590.7M -10.2M 0.81 11.44 N/A N/A 29,515 23,776 659,836 550,381 2014-08-20 $57.64 $57.50 12.9% 5.2% 13.6% 3.1% 17.5% 2.1% 0.5% 66.5M -629.2M -10.5M 0.57 12.88 N/A N/A 27,988 16,016 671,833 560,775 2014-08-21 $58.50 $57.50 12.8% 5.3% 14.7% 2.6% 18.3% 1.8% 0.7% 85.3M -969.3M -10.7M 0.32 10.56 N/A N/A 79,987 25,592 683,065 568,515 2014-08-22 $58.49 $57.50 13.0% 5.3% 14.7% 3.4% 17.4% 1.8% 0.5% 82.7M -1.07B -11.3M 0.43 10.81 N/A N/A 50,016 21,463 728,947 576,667 2014-08-25 $59.34 $57.50 13.5% 5.0% 15.6% 6.1% 18.0% 1.7% 0.6% 97.3M -1.38B -11.4M 0.76 9.47 N/A N/A 60,892 46,491 731,554 572,260 2014-08-26 $59.74 $57.50 13.8% 5.1% 15.3% 8.0% 18.1% 2.0% 1.1% 102.3M -1.55B -11.8M 0.52 9.85 N/A N/A 33,559 17,373 746,663 587,662 2014-08-27 $59.59 $57.50 14.0% 5.1% 15.3% 8.9% 19.0% 1.6% 0.6% 97.6M -1.41B -11.9M 0.63 6.89 N/A N/A 23,308 14,681 750,137 593,427 2014-08-28 $59.16 $57.50 14.3% 5.1% 13.3% 10.7% 17.6% 2.3% 1.3% 92.2M -1.27B -11.8M 1.05 9.53 N/A N/A 17,660 18,605 754,937 598,810 2014-08-29 $59.45 $57.50 13.9% 5.1% 10.5% 8.6% 19.3% 2.2% 1.1% 125.6M -1.40B -11.7M 0.64 7.75 N/A N/A 21,133 13,622 758,116 601,027
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