JPM Options History — October 2014 In October 2014, JPM traded between $55.08 and $60.51. ATM implied volatility averaged 20.1%, placing in the 48.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 2.2% (HV 20d: 22.3%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.05.
Notable Days 2014-10-01 : Highest Volume — 168,899 contracts2014-10-15 : Largest IV spike — 21.7% change2014-10-13 : Highest IV Rank — 100.0%2014-10-15 : Largest Expected Move — 7.2%Monthly Statistics Metric Avg Min Max Open Close Price $58.52 $55.08 $60.51 $59.77 $60.51 Max Pain $57.27 $55.00 $57.50 $57.50 $57.50 ATM IV 20.1% 15.2% 28.4% 19.5% 15.2% Expected Move 5.9% 5.3% 7.2% 5.6% 5.3% HV 20d 22.3% 14.0% 26.6% 14.0% 25.1% HV 60d 17.0% 14.9% 18.6% 14.9% 18.3% IV Rank 48.7% 17.6% 100.0% 39.7% 17.7% IV Percentile 66.6% 15.1% 100.0% 74.2% 15.5% Term Structure -0.4% -3.4% 0.5% -0.1% 0.1% VWIV 21.6% 18.1% 25.0% 19.7% 18.9% Skew 25d 4.2% 2.9% 6.7% 2.9% 3.7% Skew 10d 8.7% 5.1% 14.1% 5.1% 8.2% Call IV 25d 18.6% 13.7% 26.5% 19.1% 13.9% Put IV 25d 22.9% 17.1% 33.2% 22.0% 17.5% Bid-Ask Spread % 12.61 5.81 19.84 9.42 10.79 Gamma HHI 0.18 0.12 0.22 0.16 0.16 Net GEX 57.8M 4.6M 94.6M 57.8M 94.6M Net DEX -714.3M -1.46B 461.4M -1.05B -1.46B Net VEX -12.0M -12.9M -11.3M -12.6M -11.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.05 0.26 3.46 0.26 0.72 Total Volume 63,267.913 15,027 168,899 168,899 68,122 Total OI 1,402,723.957 1,321,770 1,486,359 1,396,609 1,431,672
Daily Data (23 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 2014-10-01 $59.77 $57.50 19.5% 5.6% 14.0% 39.7% 19.7% 2.9% -0.1% 57.8M -1.05B -12.6M 0.26 9.42 N/A N/A 134,528 34,371 780,456 616,153 2014-10-02 $58.84 $57.50 20.5% 5.6% 15.1% 45.2% 21.1% 2.9% -1.0% 47.9M -705.5M -12.5M 0.86 9.21 N/A N/A 38,263 32,903 786,640 629,691 2014-10-03 $60.30 $57.50 18.7% 5.5% 17.5% 35.1% 19.2% 4.3% -0.5% 87.0M -1.29B -12.7M 0.51 11.06 N/A N/A 42,327 21,687 788,581 641,461 2014-10-06 $60.18 $57.50 19.2% 5.5% 17.6% 37.8% 18.7% 3.6% -0.6% 89.7M -1.35B -12.5M 0.67 10.61 N/A N/A 11,683 7,786 779,530 614,946 2014-10-07 $59.27 $57.50 20.5% 5.7% 17.7% 45.6% 21.3% 3.1% -0.1% 70.9M -964.7M -12.5M 1.35 10.48 N/A N/A 11,509 15,512 781,253 617,806 2014-10-08 $60.33 $57.50 19.1% 5.7% 18.8% 37.6% 20.2% 4.9% 0.1% 92.9M -1.40B -12.6M 0.86 12.87 N/A N/A 23,347 20,011 785,215 623,569 2014-10-09 $59.08 $57.50 22.6% 6.0% 20.0% 57.2% 21.9% 4.2% -0.7% 63.8M -895.9M -12.9M 1.14 11.09 N/A N/A 15,130 17,201 790,697 627,300 2014-10-10 $59.22 $57.50 23.0% 6.0% 20.0% 84.4% 22.4% 4.8% -0.9% 62.9M -917.6M -12.9M 0.88 14.95 N/A N/A 26,913 23,562 790,688 633,532 2014-10-13 $58.16 $57.50 25.4% 6.4% 20.9% 100.0% 23.8% 3.8% -0.0% 49.6M -596.6M -12.5M 1.31 17.59 N/A N/A 40,880 53,399 782,947 624,135 2014-10-14 $57.77 $57.50 23.3% 6.4% 21.0% 83.9% 23.5% 6.0% -1.0% 37.8M -357.9M -12.4M 0.85 18.06 N/A N/A 27,102 23,129 798,675 638,426 2014-10-15 $55.63 $57.50 28.4% 7.2% 24.3% 100.0% 25.0% 6.7% -3.4% 8.1M 338.9M -11.6M 0.87 16.51 N/A N/A 82,125 71,305 799,486 646,770 2014-10-16 $55.08 $57.50 26.9% 6.9% 23.1% 90.8% 23.7% 6.7% -1.0% 4.6M 461.4M -11.4M 0.43 12.93 N/A N/A 78,099 33,660 795,609 656,342 2014-10-17 $56.20 $57.50 23.9% 6.7% 24.8% 72.1% 23.3% 5.7% -0.4% 27.0M 126.5M -11.7M 1.15 12.69 N/A N/A 28,917 33,269 822,996 663,363 2014-10-20 $56.63 $0.00 20.8% 6.1% 25.2% 52.6% 23.5% 4.1% 0.5% 28.5M -165.3M -11.4M 1.09 6.76 N/A N/A 17,810 19,484 723,671 598,099 2014-10-21 $57.84 $55.00 18.0% 5.9% 26.6% 35.1% 24.0% 3.8% -0.3% 47.4M -498.9M -11.7M 1.19 5.81 N/A N/A 20,429 24,278 732,050 607,809 2014-10-22 $57.49 $55.00 18.9% 6.0% 26.2% 41.0% 22.4% 4.1% -0.8% 44.4M -430.4M -11.6M 1.51 11.91 N/A N/A 24,227 36,504 740,465 615,250 2014-10-23 $57.94 $57.50 17.6% 5.9% 25.2% 32.4% 19.2% 4.0% 0.1% 53.9M -566.9M -11.7M 1.58 19.84 N/A N/A 21,880 34,644 747,530 630,027 2014-10-24 $58.70 $57.50 16.9% 5.9% 25.6% 28.3% 21.1% 3.6% 0.4% 64.4M -824.7M -11.9M 0.98 18.98 N/A N/A 29,818 29,196 752,744 640,463 2014-10-27 $58.64 $57.50 16.9% 5.9% 25.6% 28.1% 24.1% 3.8% 0.3% 63.4M -779.6M -11.8M 0.69 11.80 N/A N/A 8,895 6,132 747,865 625,893 2014-10-28 $59.63 $57.50 15.2% 5.3% 26.4% 17.6% 18.3% 3.5% 0.2% 82.7M -1.14B -11.5M 0.63 10.65 N/A N/A 20,112 12,768 750,808 628,684 2014-10-29 $59.29 $57.50 15.3% 5.3% 26.3% 17.9% 18.1% 4.0% 0.5% 69.4M -916.2M -11.5M 1.14 12.00 N/A N/A 24,136 27,574 747,357 630,658 2014-10-30 $59.35 $57.50 15.5% 5.3% 25.7% 19.2% 22.7% 3.5% 0.4% 79.8M -1.04B -11.3M 3.46 14.00 N/A N/A 18,071 62,464 757,309 638,030 2014-10-31 $60.51 $57.50 15.2% 5.3% 25.1% 17.7% 18.9% 3.7% 0.1% 94.6M -1.46B -11.5M 0.72 10.79 N/A N/A 39,719 28,403 759,108 672,564
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