JPM Options History — November 2014 In November 2014, JPM traded between $60.09 and $61.89. ATM implied volatility averaged 14.7%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 3.2% (HV 20d: 18.0%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.92.
Notable Days 2014-11-04 : Highest Volume — 70,501 contracts2014-11-28 : Largest IV spike — 11.9% change2014-11-05 : Highest IV Rank — 23.2%2014-11-05 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $60.67 $60.09 $61.89 $60.82 $60.16 Max Pain $59.74 $57.50 $60.00 $57.50 $60.00 ATM IV 14.7% 12.8% 16.1% 15.7% 14.4% Expected Move 5.1% 4.8% 5.5% 5.4% 4.9% HV 20d 18.0% 13.4% 25.2% 25.2% 13.5% HV 60d 18.5% 18.2% 18.8% 18.2% 18.6% IV Rank 14.8% 2.8% 23.2% 20.5% 12.4% IV Percentile 13.5% 0.4% 26.2% 21.4% 9.5% Term Structure 0.2% -0.6% 1.5% -0.1% 0.3% VWIV 18.0% 15.8% 22.6% 21.4% 17.1% Skew 25d 3.2% 2.4% 4.0% 3.2% 2.7% Skew 10d 7.0% 5.5% 9.9% 7.3% 5.6% Call IV 25d 13.7% 12.2% 14.9% 14.8% 13.1% Put IV 25d 16.9% 14.5% 18.9% 18.1% 15.8% Bid-Ask Spread % 12.63 8.89 18.00 13.31 12.41 Gamma HHI 0.21 0.16 0.26 0.18 0.24 Net GEX 92.1M 78.2M 102.5M 88.1M 83.8M Net DEX -1.38B -1.88B -1.07B -1.46B -1.12B Net VEX -10.6M -11.7M -9.5M -11.6M -9.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.29 1.60 1.11 0.76 Total Volume 45,991.579 15,765 70,501 64,044 20,059 Total OI 1,421,978.579 1,318,231 1,466,588 1,420,625 1,360,337
Daily Data (19 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 2014-11-03 $60.82 $57.50 15.7% 5.4% 25.2% 20.5% 21.4% 3.2% -0.1% 88.1M -1.46B -11.6M 1.11 13.31 N/A N/A 30,288 33,756 757,658 662,967 2014-11-04 $60.29 $57.50 16.1% 5.4% 24.7% 22.9% 18.6% 4.0% 0.8% 78.2M -1.28B -11.4M 1.50 8.89 N/A N/A 28,247 42,254 757,791 671,299 2014-11-05 $61.13 $60.00 16.1% 5.5% 24.4% 23.2% 22.6% 3.5% 0.4% 99.1M -1.67B -11.4M 0.90 12.32 N/A N/A 24,893 22,486 761,375 677,470 2014-11-06 $61.19 $60.00 15.7% 5.4% 23.0% 20.8% 20.0% 3.8% 0.1% 99.2M -1.63B -11.7M 1.16 12.08 N/A N/A 19,637 22,763 765,429 679,772 2014-11-07 $61.34 $60.00 15.2% 5.0% 23.0% 17.7% 18.8% 3.3% 0.3% 96.9M -1.78B -11.2M 0.96 18.00 N/A N/A 24,284 23,313 771,940 681,584 2014-11-10 $61.89 $60.00 14.4% 4.9% 21.9% 12.8% 18.1% 3.6% -0.5% 102.5M -1.88B -11.0M 0.78 13.70 N/A N/A 28,269 22,085 760,993 669,560 2014-11-11 $61.33 $60.00 15.1% 4.9% 22.1% 17.0% 17.6% 2.5% -0.5% 96.6M -1.65B -10.9M 0.79 13.39 N/A N/A 22,041 17,464 758,243 667,968 2014-11-12 $60.48 $60.00 15.8% 5.2% 17.4% 21.6% 18.4% 3.6% -0.0% 88.0M -1.34B -10.7M 0.89 15.40 N/A N/A 25,799 23,062 767,312 678,800 2014-11-13 $60.27 $60.00 15.4% 5.1% 16.8% 19.2% 17.9% 3.7% 0.0% 82.8M -1.18B -10.6M 0.57 13.44 N/A N/A 31,922 18,313 774,843 682,099 2014-11-14 $60.28 $60.00 14.7% 5.1% 15.8% 14.5% 16.2% 2.9% 0.7% 86.2M -1.22B -10.6M 0.94 12.46 N/A N/A 13,286 12,470 780,971 685,443 2014-11-17 $60.34 $60.00 15.1% 5.1% 15.8% 17.0% 18.3% 3.3% -0.6% 93.4M -1.21B -10.2M 1.29 9.67 N/A N/A 14,164 18,312 765,376 658,286 2014-11-18 $60.57 $60.00 14.7% 5.0% 14.3% 14.6% 17.4% 3.2% 0.1% 101.8M -1.44B -10.2M 0.67 10.27 N/A N/A 36,976 24,621 768,574 663,379 2014-11-19 $60.60 $60.00 14.7% 5.0% 14.0% 14.2% 16.2% 3.2% -0.3% 98.4M -1.36B -10.3M 1.60 16.83 N/A N/A 7,944 12,702 784,101 669,311 2014-11-20 $60.09 $60.00 14.4% 5.0% 14.3% 12.7% 17.2% 3.0% 0.3% 91.6M -1.19B -10.1M 0.92 14.29 N/A N/A 35,684 32,765 777,844 665,867 2014-11-21 $60.38 $60.00 13.7% 4.9% 13.8% 8.0% 16.4% 3.1% -0.3% 93.2M -1.32B -10.0M 0.65 13.22 N/A N/A 42,109 27,313 788,092 678,496 2014-11-24 $60.96 $60.00 12.9% 4.9% 14.0% 3.0% 15.8% 2.4% 0.7% 96.5M -1.31B -9.7M 0.29 10.23 N/A N/A 42,869 12,647 715,684 602,547 2014-11-25 $60.28 $60.00 13.3% 4.9% 13.6% 5.5% 18.1% 3.1% 1.1% 85.3M -1.07B -10.3M 0.61 10.27 N/A N/A 26,849 16,429 738,805 608,447 2014-11-26 $60.34 $60.00 12.8% 4.8% 13.4% 2.8% 16.6% 2.6% 1.5% 88.3M -1.12B -9.7M 1.00 9.85 N/A N/A 7,882 7,883 744,424 614,506 2014-11-28 $60.16 $60.00 14.4% 4.9% 13.5% 12.4% 17.1% 2.7% 0.3% 83.8M -1.12B -9.5M 0.76 12.41 N/A N/A 11,429 8,630 742,408 617,929
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