JPM Options History — January 2015

In January 2015, JPM traded between $54.45 and $62.57. ATM implied volatility averaged 22.5%, placing in the 63.2% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 3.6% (HV 20d: 26.1%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2015-01-16: Highest Volume — 210,879 contracts
  • 2015-01-05: Largest IV spike — 18.7% change
  • 2015-01-15: Highest IV Rank — 86.6%
  • 2015-01-15: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.50$54.45$62.57$62.57$54.45
Max Pain$58.75$57.50$60.00$60.00$57.50
ATM IV22.5%19.2%26.3%19.4%22.6%
Expected Move6.3%5.4%7.3%5.4%6.6%
HV 20d26.1%21.6%29.1%21.6%29.1%
HV 60d21.4%19.7%22.6%20.0%22.6%
IV Rank63.2%42.8%86.6%44.0%63.8%
IV Percentile90.3%71.8%99.2%77.8%91.7%
Term Structure-0.2%-2.3%1.3%-0.2%-0.4%
VWIV22.0%18.9%25.4%18.9%22.7%
Skew 25d4.8%2.9%7.2%5.3%3.4%
Skew 10d9.2%5.0%12.1%10.3%7.9%
Call IV 25d20.6%17.2%24.2%17.2%21.9%
Put IV 25d25.5%21.6%29.0%22.5%25.3%
Bid-Ask Spread %9.916.9313.7510.6912.78
Gamma HHI0.160.110.220.210.11
Net GEX33.7M-28.3M124.1M124.1M-4.8M
Net DEX-50.1M-1.79B1.02B-1.79B522.4M
Net VEX-10.3M-11.0M-9.1M-9.9M-10.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.291.380.520.85
Total Volume104,044.427,866210,87999,27781,327
Total OI1,276,647.3962,2841,597,4401,394,8751,144,040

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$62.57$60.0019.4%5.4%21.6%44.0%18.9%5.3%-0.2%124.1M-1.79B-9.9M0.5210.69N/AN/A65,45833,819758,887635,988
2015-01-05$60.55$60.0023.1%6.5%24.7%66.7%21.6%6.2%-1.0%72.1M-687.7M-10.3M1.3811.62N/AN/A39,03553,815691,783626,380
2015-01-06$58.98$60.0025.3%7.0%24.8%80.3%24.4%7.2%0.1%37.7M-153.7M-10.2M0.359.50N/AN/A126,95244,760705,687646,869
2015-01-07$59.07$60.0024.7%6.7%24.9%76.6%23.7%6.0%-0.2%52.2M-299.9M-10.8M0.6113.75N/AN/A37,50722,980774,352664,725
2015-01-08$60.26$60.0022.8%6.3%26.2%64.9%21.8%4.3%-0.9%84.8M-799.0M-11.0M0.499.23N/AN/A128,83162,966782,288671,131
2015-01-09$59.44$60.0023.4%6.4%24.3%68.8%22.5%4.4%0.0%63.6M-403.8M-10.8M0.668.67N/AN/A41,57627,536793,888685,777
2015-01-12$58.91$60.0024.3%6.5%24.2%74.4%23.7%5.7%-2.3%48.5M-208.3M-10.6M1.078.18N/AN/A31,00533,043779,094682,858
2015-01-13$58.75$60.0024.9%7.0%23.5%78.4%23.8%5.0%-1.4%45.2M-171.5M-10.6M1.189.13N/AN/A53,92763,838785,502696,093
2015-01-14$56.72$60.0023.2%6.6%26.1%67.4%23.9%2.9%-0.6%-27.9M675.4M-9.6M1.0710.02N/AN/A76,05581,078802,185717,777
2015-01-15$55.00$60.0026.3%7.3%27.9%86.6%25.4%4.3%-1.0%-28.3M1.02B-9.1M0.817.27N/AN/A85,19268,764822,696730,922
2015-01-16$55.93$57.5023.8%6.9%27.6%71.0%22.0%6.5%0.1%16.1M662.6M-9.8M0.297.89N/AN/A163,83047,049854,881742,559
2015-01-20$55.71$57.5022.1%6.3%25.4%60.5%21.5%4.9%0.9%15.7M189.6M-10.0M0.569.63N/AN/A59,58333,657546,103416,181
2015-01-21$55.89$57.5021.3%6.1%24.9%55.6%21.3%4.5%0.3%19.5M163.9M-10.2M0.638.78N/AN/A50,65131,725562,445430,771
2015-01-22$57.57$57.5019.3%5.5%27.8%43.0%19.2%4.0%1.1%40.6M-307.7M-10.7M0.6410.36N/AN/A82,71853,085588,474444,794
2015-01-23$56.77$57.5019.2%5.4%27.4%42.8%20.6%4.3%0.6%31.6M-79.0M-10.7M1.0810.67N/AN/A31,42633,922613,162465,334
2015-01-26$56.77$57.5019.9%5.4%27.4%46.7%19.6%4.3%0.1%31.5M-37.6M-10.6M0.786.93N/AN/A15,63112,235589,364453,774
2015-01-27$56.20$57.5021.2%5.8%27.4%54.8%20.1%4.6%-0.7%25.6M80.3M-10.6M0.9610.16N/AN/A19,16218,351598,606457,765
2015-01-28$54.87$57.5022.2%6.4%27.8%61.5%22.0%4.4%1.3%5.9M405.6M-10.0M1.0013.65N/AN/A40,65040,571602,202464,171
2015-01-29$55.63$57.5021.4%6.1%28.6%56.2%20.9%4.3%0.4%21.0M218.3M-10.6M0.879.25N/AN/A46,64840,530623,512479,926
2015-01-30$54.45$57.5022.6%6.6%29.1%63.8%22.7%3.4%-0.4%-4.8M522.4M-10.5M0.8512.78N/AN/A43,93237,395641,019503,021