JPM Options History — February 2015

In February 2015, JPM traded between $55.47 and $61.65. ATM implied volatility averaged 19.4%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 6.1% (HV 20d: 25.4%). Max pain ranged from $57.50 to $57.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.79.

Notable Days

2015-02-12: Highest Volume — 185,519 contracts
2015-02-24: Largest IV drop — 7.4% change
2015-02-02: Highest IV Rank — 59.7%
2015-02-11: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.93	$55.47	$61.65	$55.47	$61.38
Max Pain	$57.50	$57.50	$57.50	$57.50	$57.50
ATM IV	19.4%	17.2%	21.9%	21.9%	17.9%
Expected Move	5.6%	4.9%	6.2%	6.0%	4.9%
HV 20d	25.4%	19.9%	30.4%	30.4%	20.0%
HV 60d	23.9%	23.0%	24.7%	23.0%	24.7%
IV Rank	43.7%	29.8%	59.7%	59.7%	34.4%
IV Percentile	71.2%	48.0%	89.3%	89.3%	54.8%
Term Structure	0.4%	-0.5%	2.0%	0.8%	0.4%
VWIV	20.1%	16.8%	23.3%	20.7%	18.4%
Skew 25d	4.0%	3.2%	5.6%	5.6%	3.7%
Skew 10d	9.5%	5.7%	13.6%	13.6%	5.7%
Call IV 25d	18.2%	16.3%	20.0%	19.9%	16.7%
Put IV 25d	22.2%	19.5%	25.5%	25.5%	20.4%
Bid-Ask Spread %	8.36	4.95	12.05	11.10	9.62
Gamma HHI	0.16	0.13	0.22	0.13	0.16
Net GEX	71.4M	14.3M	99.6M	14.3M	93.6M
Net DEX	-882.2M	-1.80B	236.7M	236.7M	-1.70B
Net VEX	-11.7M	-12.2M	-11.2M	-11.2M	-12.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.23	1.61	0.46	1.46
Total Volume	71,665.526	30,881	185,519	41,344	45,895
Total OI	1,191,548.158	1,121,041	1,280,030	1,122,983	1,230,597

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
2015-02-02	$55.47	$57.50	21.9%	6.0%	30.4%	59.7%	20.7%	5.6%	0.8%	14.3M	236.7M	-11.2M	0.46	11.10	N/A	N/A	28,298	13,046	625,414	497,569
2015-02-03	$56.70	$57.50	20.6%	5.6%	30.2%	51.5%	19.9%	4.0%	0.3%	37.0M	-129.8M	-11.4M	0.55	9.40	N/A	N/A	45,370	25,127	637,782	498,228
2015-02-04	$56.41	$57.50	20.8%	5.7%	28.9%	52.7%	20.1%	3.5%	-0.1%	36.3M	-55.6M	-11.4M	0.91	12.05	N/A	N/A	25,733	23,445	655,833	502,244
2015-02-05	$56.76	$57.50	20.1%	5.9%	29.1%	47.9%	21.5%	4.3%	0.5%	42.4M	-192.0M	-11.2M	0.67	4.95	N/A	N/A	34,694	23,227	652,188	504,856
2015-02-06	$57.86	$57.50	20.0%	6.2%	29.0%	47.6%	20.6%	3.4%	-0.0%	57.1M	-566.6M	-11.5M	0.69	7.18	N/A	N/A	61,681	42,861	649,164	507,869
2015-02-09	$57.84	$57.50	20.3%	6.2%	28.7%	49.1%	23.3%	3.9%	1.2%	53.7M	-505.5M	-11.5M	1.61	5.21	N/A	N/A	26,138	42,022	646,258	507,287
2015-02-10	$58.45	$57.50	20.1%	6.1%	28.8%	48.4%	20.9%	4.3%	1.0%	61.3M	-696.9M	-11.8M	1.26	6.49	N/A	N/A	20,427	25,781	655,261	523,145
2015-02-11	$58.31	$57.50	19.9%	6.2%	28.8%	47.0%	21.6%	3.8%	2.0%	59.1M	-637.2M	-11.8M	0.94	9.82	N/A	N/A	23,189	21,831	657,759	527,538
2015-02-12	$59.62	$57.50	19.6%	5.6%	26.8%	45.2%	21.0%	4.9%	-0.5%	81.6M	-1.13B	-11.9M	0.23	7.00	N/A	N/A	150,424	35,095	663,059	530,971
2015-02-13	$59.67	$57.50	19.6%	5.6%	23.7%	44.7%	21.4%	4.0%	-0.1%	91.2M	-1.20B	-12.2M	0.44	7.99	N/A	N/A	72,605	31,608	698,839	539,745
2015-02-17	$59.97	$57.50	19.8%	5.7%	23.2%	46.1%	20.8%	3.9%	-0.5%	98.2M	-1.29B	-12.1M	1.08	7.90	N/A	N/A	28,872	31,188	706,085	539,179
2015-02-18	$59.34	$57.50	18.9%	5.4%	23.6%	40.9%	19.6%	4.1%	0.0%	95.3M	-1.04B	-11.9M	0.80	10.10	N/A	N/A	35,605	28,532	717,037	548,732
2015-02-19	$59.23	$57.50	18.4%	5.2%	23.7%	37.5%	19.3%	3.8%	0.8%	92.6M	-956.4M	-12.0M	0.66	6.96	N/A	N/A	18,598	12,283	720,588	555,168
2015-02-20	$59.80	$57.50	18.4%	5.2%	21.7%	37.3%	18.9%	3.3%	0.4%	75.0M	-1.16B	-11.9M	0.47	9.67	N/A	N/A	36,662	17,341	721,113	558,917
2015-02-23	$59.23	$57.50	19.2%	5.6%	21.3%	42.5%	19.4%	3.2%	1.0%	75.0M	-824.6M	-11.7M	0.57	9.03	N/A	N/A	52,248	29,697	621,921	499,120
2015-02-24	$60.87	$57.50	17.8%	5.0%	23.1%	33.6%	19.0%	5.1%	0.1%	95.7M	-1.50B	-11.8M	0.66	11.72	N/A	N/A	49,025	32,250	646,777	512,601
2015-02-25	$61.18	$57.50	17.2%	4.9%	22.5%	29.8%	16.8%	3.2%	0.4%	99.6M	-1.62B	-11.7M	1.26	6.33	N/A	N/A	25,950	32,584	656,091	523,874
2015-02-26	$61.65	$57.50	17.8%	5.0%	19.9%	34.1%	17.9%	3.8%	0.7%	97.4M	-1.80B	-11.8M	0.37	6.34	N/A	N/A	82,028	30,285	665,244	535,362
2015-02-27	$61.38	$57.50	17.9%	4.9%	20.0%	34.4%	18.4%	3.7%	0.4%	93.6M	-1.70B	-12.0M	1.46	9.62	N/A	N/A	18,623	27,272	684,525	546,072