JPM Options History — December 2014 In December 2014, JPM traded between $58.57 and $63.15. ATM implied volatility averaged 18.5%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.3% (HV 20d: 18.3%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.76.
Notable Days 2014-12-31 : Highest Volume — 403,205 contracts2014-12-10 : Largest IV spike — 18.0% change2014-12-16 : Highest IV Rank — 83.6%2014-12-16 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $61.48 $58.57 $63.15 $60.00 $62.58 Max Pain $60.00 $60.00 $60.00 $60.00 $60.00 ATM IV 18.5% 14.6% 25.8% 15.1% 20.1% Expected Move 5.4% 4.7% 7.0% 5.0% 5.6% HV 20d 18.3% 11.6% 22.6% 11.6% 21.7% HV 60d 20.1% 18.6% 21.5% 18.6% 20.3% IV Rank 38.4% 13.9% 83.6% 16.8% 48.0% IV Percentile 59.5% 13.5% 99.2% 18.7% 84.5% Term Structure 0.7% -2.6% 4.8% 0.4% -0.2% VWIV 19.8% 16.0% 24.0% 18.2% 20.9% Skew 25d 4.3% 2.2% 7.0% 3.4% 5.0% Skew 10d 9.6% 4.4% 18.6% 5.0% 10.1% Call IV 25d 17.1% 13.2% 23.5% 13.6% 18.3% Put IV 25d 21.4% 15.7% 29.6% 17.0% 23.3% Bid-Ask Spread % 12.95 10.21 17.69 11.33 10.39 Gamma HHI 0.20 0.18 0.23 0.23 0.20 Net GEX 99.0M 49.4M 123.9M 79.1M 112.8M Net DEX -1.52B -2.11B -430.1M -1.01B -1.89B Net VEX -10.5M -11.1M -9.7M -9.9M -10.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.12 1.53 0.45 0.12 Total Volume 77,567.409 29,328 403,205 62,873 403,205 Total OI 1,415,404.818 1,334,425 1,489,447 1,343,178 1,384,735
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 2014-12-01 $60.00 $60.00 15.1% 5.0% 11.6% 16.8% 18.2% 3.4% 0.4% 79.1M -1.01B -9.9M 0.45 11.33 N/A N/A 43,284 19,589 730,502 612,676 2014-12-02 $61.00 $60.00 15.1% 5.1% 12.9% 16.7% 18.3% 3.2% 0.5% 103.2M -1.46B -10.4M 0.65 13.19 N/A N/A 37,482 24,343 753,097 622,269 2014-12-03 $61.51 $60.00 14.6% 4.7% 12.8% 13.9% 18.2% 2.5% 0.6% 108.0M -1.62B -10.4M 1.04 13.37 N/A N/A 26,275 27,349 767,203 630,632 2014-12-04 $61.38 $60.00 15.5% 4.7% 11.9% 19.7% 18.9% 3.1% -0.2% 102.3M -1.51B -10.5M 0.42 12.88 N/A N/A 20,663 8,665 772,725 638,097 2014-12-05 $62.69 $60.00 14.8% 4.8% 14.0% 14.9% 16.0% 2.4% 0.1% 117.8M -2.11B -10.7M 0.44 11.34 N/A N/A 89,651 39,674 779,517 641,772 2014-12-08 $62.72 $60.00 16.2% 5.2% 14.0% 23.7% 19.9% 3.0% 2.6% 110.0M -2.01B -10.7M 0.48 10.87 N/A N/A 61,818 29,921 775,037 640,272 2014-12-09 $62.53 $60.00 16.5% 5.3% 13.8% 25.6% 21.4% 3.2% 2.3% 111.1M -1.92B -11.1M 1.20 14.72 N/A N/A 22,877 27,482 799,460 650,480 2014-12-10 $60.65 $60.00 19.4% 5.9% 17.4% 44.1% 20.8% 3.9% 3.3% 78.2M -1.10B -11.0M 1.10 12.50 N/A N/A 35,823 39,483 792,009 654,282 2014-12-11 $61.16 $60.00 19.0% 6.0% 16.9% 41.2% 21.3% 4.2% 4.8% 91.9M -1.45B -11.1M 1.27 13.81 N/A N/A 21,931 27,758 802,945 666,092 2014-12-12 $60.08 $60.00 21.5% 6.4% 18.1% 56.7% 23.2% 2.2% 3.3% 68.0M -964.7M -11.1M 1.29 15.11 N/A N/A 34,932 44,987 802,354 662,066 2014-12-15 $59.27 $60.00 23.3% 6.5% 18.7% 68.2% 24.0% 7.0% 0.7% 53.6M -581.4M -11.1M 0.61 12.38 N/A N/A 45,073 27,399 795,070 667,867 2014-12-16 $58.57 $60.00 25.8% 7.0% 19.1% 83.6% 22.2% 5.8% -2.6% 49.4M -430.1M -10.9M 0.76 13.20 N/A N/A 41,281 31,456 804,395 671,652 2014-12-17 $59.71 $60.00 23.2% 6.3% 20.4% 67.7% 22.4% 6.1% -1.3% 73.0M -879.0M -11.0M 0.81 16.31 N/A N/A 38,524 31,271 804,652 673,911 2014-12-18 $61.26 $60.00 19.8% 5.5% 22.4% 46.5% 20.9% 5.6% 1.1% 108.3M -1.45B -10.6M 0.69 15.10 N/A N/A 36,188 24,796 807,391 673,676 2014-12-19 $61.93 $60.00 18.9% 5.3% 22.5% 40.5% 19.2% 6.0% 0.2% 106.8M -1.74B -10.6M 0.34 17.69 N/A N/A 49,727 17,113 812,000 677,447 2014-12-22 $61.79 $60.00 18.7% 5.0% 22.5% 39.4% 18.6% 5.3% 0.1% 103.2M -1.52B -10.2M 0.95 14.24 N/A N/A 21,095 20,086 731,454 602,971 2014-12-23 $62.52 $60.00 18.1% 5.1% 22.6% 36.0% 17.7% 5.3% 0.5% 114.7M -1.84B -10.1M 0.81 12.78 N/A N/A 25,656 20,675 738,727 609,603 2014-12-24 $62.48 $60.00 18.6% 5.0% 22.1% 38.8% 18.4% 3.4% -1.2% 120.4M -1.91B -9.7M 1.53 11.51 N/A N/A 18,489 28,376 757,750 613,256 2014-12-26 $62.65 $60.00 17.9% 5.0% 22.1% 34.2% 17.1% 3.8% -0.0% 123.9M -1.95B -10.0M 0.68 10.90 N/A N/A 28,118 19,107 765,111 622,628 2014-12-29 $63.03 $60.00 17.9% 5.1% 22.1% 34.6% 17.9% 4.7% 0.5% 119.2M -2.06B -9.8M 0.76 10.21 N/A N/A 25,809 19,709 754,436 605,078 2014-12-30 $63.15 $60.00 17.9% 5.1% 22.0% 34.5% 19.2% 5.2% -0.1% 122.6M -2.11B -9.7M 0.25 11.03 N/A N/A 39,371 9,972 759,298 612,311 2014-12-31 $62.58 $60.00 20.1% 5.6% 21.7% 48.0% 20.9% 5.0% -0.2% 112.8M -1.89B -10.1M 0.12 10.39 N/A N/A 359,215 43,990 768,687 616,048
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