JPM Options History — September 2014 In September 2014, JPM traded between $59.06 and $61.63. ATM implied volatility averaged 16.7%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 5.8% (HV 20d: 10.9%). Max pain ranged from $57.50 to $57.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.80.
Notable Days 2014-09-18 : Highest Volume — 119,302 contracts2014-09-25 : Largest IV spike — 14.3% change2014-09-30 : Highest IV Rank — 37.4%2014-09-30 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $60.21 $59.06 $61.63 $59.67 $60.24 Max Pain $57.50 $57.50 $57.50 $57.50 $57.50 ATM IV 16.7% 14.9% 19.1% 14.9% 19.1% Expected Move 5.2% 5.0% 5.5% 5.2% 5.5% HV 20d 10.9% 8.8% 13.9% 10.5% 13.7% HV 60d 14.5% 14.2% 15.4% 14.6% 15.2% IV Rank 24.2% 14.3% 37.4% 14.3% 37.4% IV Percentile 33.1% 12.7% 67.9% 12.7% 67.9% Term Structure 0.1% -1.9% 2.1% 0.1% -0.7% VWIV 18.7% 17.2% 20.2% 18.0% 19.0% Skew 25d 3.2% 2.3% 3.9% 2.6% 3.0% Skew 10d 6.2% 3.9% 8.9% 4.8% 5.9% Call IV 25d 15.6% 13.6% 17.9% 13.8% 17.9% Put IV 25d 18.7% 16.1% 21.2% 16.4% 20.9% Bid-Ask Spread % 8.23 5.29 10.28 5.29 8.58 Gamma HHI 0.25 0.18 0.40 0.27 0.18 Net GEX 102.7M 70.7M 154.6M 96.8M 78.2M Net DEX -1.50B -2.24B -1.07B -1.39B -1.25B Net VEX -11.7M -12.3M -11.3M -11.5M -12.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.30 1.70 0.60 0.99 Total Volume 53,388.143 22,097 119,302 28,509 36,182 Total OI 1,384,184.238 1,287,859 1,484,632 1,338,022 1,387,618
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 2014-09-02 $59.67 $57.50 14.9% 5.2% 10.5% 14.3% 18.0% 2.6% 0.1% 96.8M -1.39B -11.5M 0.60 5.29 N/A N/A 17,771 10,738 746,206 591,816 2014-09-03 $59.70 $57.50 15.1% 5.1% 9.3% 15.1% 18.6% 2.8% -0.1% 98.2M -1.41B -11.6M 1.02 9.66 N/A N/A 50,645 51,855 751,084 594,388 2014-09-04 $59.71 $57.50 15.6% 5.2% 9.4% 17.9% 17.7% 2.5% -0.2% 102.0M -1.47B -11.9M 0.54 9.49 N/A N/A 32,941 17,909 762,652 605,128 2014-09-05 $59.91 $57.50 15.0% 5.2% 8.8% 14.5% 19.8% 2.3% -0.4% 116.1M -1.57B -11.5M 0.69 6.90 N/A N/A 23,624 16,358 773,697 610,555 2014-09-08 $59.89 $57.50 15.3% 5.2% 8.8% 16.2% 17.7% 2.9% 1.7% 107.1M -1.53B -11.4M 0.35 7.13 N/A N/A 27,337 9,692 766,185 605,385 2014-09-09 $59.06 $57.50 16.4% 5.2% 10.6% 22.2% 20.1% 3.3% 0.7% 87.9M -1.07B -11.4M 0.99 7.84 N/A N/A 19,381 19,222 779,467 609,894 2014-09-10 $59.22 $57.50 16.2% 5.2% 10.6% 21.3% 18.5% 2.8% 1.0% 93.0M -1.15B -11.3M 0.96 8.37 N/A N/A 11,281 10,816 782,719 613,438 2014-09-11 $59.76 $57.50 16.1% 5.4% 10.8% 20.9% 18.7% 3.0% 2.1% 108.9M -1.45B -11.6M 0.30 9.38 N/A N/A 41,370 12,346 785,916 617,124 2014-09-12 $60.03 $57.50 16.6% 5.4% 10.8% 23.7% 19.1% 3.6% 1.6% 154.6M -1.56B -11.7M 0.50 6.57 N/A N/A 33,183 16,624 811,554 620,415 2014-09-15 $59.94 $57.50 17.4% 5.4% 10.6% 28.1% 19.3% 3.9% -0.0% 118.5M -1.58B -11.4M 1.70 6.07 N/A N/A 14,041 23,876 803,107 614,156 2014-09-16 $59.99 $57.50 17.7% 5.3% 10.4% 29.5% 18.4% 3.9% -0.2% 125.8M -1.55B -11.4M 0.85 8.50 N/A N/A 18,429 15,606 806,438 624,620 2014-09-17 $60.31 $57.50 18.2% 5.3% 10.4% 32.3% 19.1% 3.4% -0.7% 124.4M -1.71B -11.6M 0.30 10.28 N/A N/A 76,082 22,860 810,122 631,239 2014-09-18 $61.32 $57.50 16.7% 5.1% 11.5% 24.1% 18.5% 3.7% 0.2% 127.8M -2.24B -11.7M 0.84 9.10 N/A N/A 64,921 54,381 833,760 630,750 2014-09-19 $61.11 $57.50 17.1% 5.2% 10.9% 26.1% 17.5% 3.3% -1.9% 113.1M -2.05B -12.0M 0.73 7.02 N/A N/A 44,734 32,848 837,077 647,555 2014-09-22 $60.91 $57.50 16.4% 5.2% 11.0% 22.2% 17.8% 3.4% -0.5% 93.6M -1.52B -11.9M 1.42 7.25 N/A N/A 18,019 25,589 731,217 556,642 2014-09-23 $60.94 $57.50 16.3% 5.2% 10.0% 21.8% 19.0% 3.2% -0.3% 95.5M -1.56B -11.8M 0.90 7.90 N/A N/A 20,467 18,476 738,175 571,121 2014-09-24 $61.63 $57.50 16.1% 5.0% 10.4% 20.8% 17.2% 3.2% -0.2% 93.5M -1.73B -11.9M 0.52 10.14 N/A N/A 47,906 24,679 742,304 580,305 2014-09-25 $60.15 $57.50 18.4% 5.3% 13.9% 33.7% 20.2% 2.8% -0.2% 75.1M -1.13B -12.3M 1.33 8.53 N/A N/A 26,664 35,368 758,538 593,532 2014-09-26 $60.56 $57.50 18.1% 5.3% 13.7% 31.9% 19.1% 3.0% -0.4% 70.7M -1.36B -12.2M 0.91 8.78 N/A N/A 18,708 16,968 766,196 610,056 2014-09-29 $60.33 $57.50 18.4% 5.4% 13.8% 33.7% 19.7% 3.7% -0.5% 75.1M -1.22B -12.3M 0.36 10.04 N/A N/A 30,364 10,890 758,744 606,974 2014-09-30 $60.24 $57.50 19.1% 5.5% 13.7% 37.4% 19.0% 3.0% -0.7% 78.2M -1.25B -12.2M 0.99 8.58 N/A N/A 18,144 18,038 778,497 609,121
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