JPM Options History — March 2015 In March 2015, JPM traded between $59.55 and $62.13. ATM implied volatility averaged 19.5%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.1% (HV 20d: 18.4%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.89.
Notable Days 2015-03-30 : Highest Volume — 205,637 contracts2015-03-20 : Largest IV drop — 13.4% change2015-03-11 : Highest IV Rank — 56.1%2015-03-11 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $61.05 $59.55 $62.13 $61.74 $60.70 Max Pain $58.52 $57.50 $60.00 $57.50 $60.00 ATM IV 19.5% 18.0% 21.4% 18.6% 19.0% Expected Move 5.7% 4.8% 6.5% 4.9% 5.8% HV 20d 18.4% 15.4% 20.2% 17.4% 19.7% HV 60d 23.8% 23.1% 24.5% 24.5% 23.9% IV Rank 44.4% 35.2% 56.1% 38.7% 41.4% IV Percentile 72.8% 56.3% 89.3% 63.1% 67.9% Term Structure 0.1% -1.6% 2.4% -0.9% 0.6% VWIV 20.9% 17.5% 24.9% 17.5% 21.3% Skew 25d 4.4% 2.9% 5.3% 4.3% 2.9% Skew 10d 9.2% 6.1% 15.9% 10.8% 7.7% Call IV 25d 17.8% 16.0% 19.2% 16.6% 18.6% Put IV 25d 22.2% 19.9% 24.2% 20.9% 21.5% Bid-Ask Spread % 8.18 6.11 10.67 7.48 9.00 Gamma HHI 0.17 0.14 0.20 0.16 0.15 Net GEX 83.5M 44.4M 120.5M 104.7M 66.4M Net DEX -1.23B -1.81B -374.8M -1.67B -943.8M Net VEX -11.5M -11.7M -11.1M -11.6M -11.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.89 0.20 1.62 1.34 0.43 Total Volume 57,935.909 28,907 205,637 35,706 114,203 Total OI 1,187,617.955 1,024,876 1,286,423 1,173,158 1,142,875
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 2015-03-02 $61.74 $57.50 18.6% 4.9% 17.4% 38.7% 17.5% 4.3% -0.9% 104.7M -1.67B -11.6M 1.34 7.48 N/A N/A 15,283 20,423 651,886 521,272 2015-03-03 $61.94 $57.50 18.9% 4.8% 16.8% 41.0% 18.0% 3.3% -1.0% 106.6M -1.76B -11.5M 1.62 7.20 N/A N/A 16,217 26,323 655,069 523,055 2015-03-04 $62.13 $57.50 18.1% 5.0% 15.7% 35.4% 18.1% 4.3% -0.1% 105.5M -1.81B -11.5M 1.24 8.91 N/A N/A 23,288 28,961 658,474 530,275 2015-03-05 $62.05 $57.50 18.5% 5.7% 15.4% 38.4% 21.5% 4.0% -0.7% 104.0M -1.77B -11.5M 1.27 10.47 N/A N/A 29,690 37,649 664,152 537,649 2015-03-06 $60.87 $57.50 19.6% 6.3% 17.6% 44.9% 21.3% 5.2% -0.6% 82.4M -1.28B -11.7M 1.00 8.83 N/A N/A 43,611 43,659 672,632 548,764 2015-03-09 $61.50 $57.50 19.3% 5.7% 16.8% 43.4% 21.7% 5.0% 0.3% 107.0M -1.54B -11.6M 1.10 7.05 N/A N/A 20,489 22,632 667,471 543,286 2015-03-10 $59.96 $57.50 21.0% 6.5% 19.6% 53.9% 24.9% 5.3% 2.2% 83.3M -915.9M -11.7M 0.74 6.58 N/A N/A 21,103 15,703 675,135 558,057 2015-03-11 $60.24 $57.50 21.4% 6.5% 19.3% 56.1% 23.2% 5.3% 1.6% 87.7M -1.02B -11.7M 0.70 7.81 N/A N/A 17,422 12,247 678,551 562,132 2015-03-12 $61.37 $57.50 19.3% 5.6% 20.2% 43.2% 20.3% 3.7% 1.2% 120.5M -1.45B -11.5M 1.16 7.92 N/A N/A 28,755 33,423 682,874 567,538 2015-03-13 $61.00 $57.50 21.1% 6.4% 19.0% 54.7% 23.4% 3.8% 2.4% 83.1M -1.29B -11.7M 0.92 8.48 N/A N/A 21,227 19,596 693,312 585,834 2015-03-16 $61.85 $57.50 19.9% 5.8% 19.5% 47.0% 22.5% 4.8% -0.2% 97.5M -1.64B -11.4M 0.39 6.81 N/A N/A 47,203 18,624 659,882 569,644 2015-03-17 $61.61 $57.50 20.1% 5.8% 19.6% 48.0% 21.5% 5.0% 0.7% 96.2M -1.55B -11.6M 1.18 6.11 N/A N/A 16,347 19,261 669,638 579,771 2015-03-18 $61.75 $57.50 19.3% 5.5% 19.1% 43.0% 21.3% 4.8% 0.6% 107.3M -1.59B -11.5M 1.02 9.55 N/A N/A 21,505 21,844 677,580 588,461 2015-03-19 $61.20 $60.00 20.8% 6.0% 19.4% 52.7% 20.4% 4.8% -1.6% 70.6M -1.37B -11.5M 0.95 8.13 N/A N/A 14,854 14,053 681,113 597,420 2015-03-20 $61.75 $60.00 18.0% 5.1% 19.4% 35.2% 20.2% 4.5% -0.0% 68.3M -1.59B -11.2M 0.41 7.63 N/A N/A 43,595 18,032 685,987 600,436 2015-03-23 $61.14 $60.00 18.4% 5.4% 19.4% 37.3% 18.4% 4.2% 0.1% 60.6M -906.3M -11.2M 0.40 7.95 N/A N/A 50,961 20,509 539,396 485,480 2015-03-24 $60.46 $60.00 18.5% 5.5% 17.4% 38.4% 19.4% 4.4% -0.3% 64.0M -720.7M -11.6M 0.81 7.87 N/A N/A 16,196 13,196 579,802 495,602 2015-03-25 $59.61 $60.00 20.0% 5.8% 17.9% 47.7% 20.7% 4.6% -0.5% 55.1M -436.5M -11.5M 1.15 8.13 N/A N/A 18,619 21,372 586,111 500,087 2015-03-26 $59.60 $60.00 20.2% 6.0% 17.6% 48.7% 22.2% 4.3% 0.2% 55.1M -417.9M -11.5M 0.94 10.67 N/A N/A 26,306 24,718 591,986 509,724 2015-03-27 $59.55 $60.00 19.7% 5.9% 17.6% 45.9% 21.0% 4.4% -0.5% 44.4M -374.8M -11.5M 0.65 8.01 N/A N/A 18,083 11,771 596,960 518,668 2015-03-30 $61.02 $60.00 19.1% 5.8% 19.7% 41.8% 20.8% 4.1% -0.4% 65.8M -928.7M -11.1M 0.20 9.31 N/A N/A 171,271 34,366 580,933 512,621 2015-03-31 $60.70 $60.00 19.0% 5.8% 19.7% 41.4% 21.3% 2.9% 0.6% 66.4M -943.8M -11.7M 0.43 9.00 N/A N/A 79,817 34,386 619,402 523,473
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