JPM Options History — April 2015 In April 2015, JPM traded between $59.95 and $64.09. ATM implied volatility averaged 16.9%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.2% (HV 20d: 17.1%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.83.
Notable Days 2015-04-14 : Highest Volume — 142,846 contracts2015-04-17 : Largest IV spike — 14.6% change2015-04-01 : Highest IV Rank — 46.8%2015-04-01 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $62.29 $59.95 $64.09 $59.95 $63.20 Max Pain $60.00 $60.00 $60.00 $60.00 $60.00 ATM IV 16.9% 14.8% 19.9% 19.9% 16.0% Expected Move 4.9% 4.2% 6.1% 6.1% 4.7% HV 20d 17.1% 14.7% 20.6% 20.1% 14.7% HV 60d 20.1% 17.2% 23.1% 23.1% 17.2% IV Rank 28.2% 15.4% 46.8% 46.8% 22.8% IV Percentile 43.8% 16.7% 79.0% 79.0% 36.5% Term Structure 0.0% -1.1% 0.9% -0.4% 0.2% VWIV 17.1% 15.0% 21.5% 21.5% 16.4% Skew 25d 3.3% 2.6% 4.3% 3.6% 2.8% Skew 10d 7.0% 4.0% 8.8% 4.0% 5.1% Call IV 25d 15.8% 13.9% 18.9% 18.9% 14.9% Put IV 25d 19.1% 16.7% 22.5% 22.5% 17.7% Bid-Ask Spread % 8.76 6.43 11.97 8.28 9.74 Gamma HHI 0.14 0.12 0.18 0.13 0.12 Net GEX 77.6M 39.2M 113.6M 39.2M 90.7M Net DEX -1.29B -2.14B -533.6M -533.6M -1.49B Net VEX -12.0M -12.6M -11.2M -12.0M -12.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.54 1.25 0.55 0.91 Total Volume 69,369.333 26,779 142,846 56,017 60,654 Total OI 1,174,461.667 1,090,911 1,310,071 1,129,747 1,186,048
Daily Data (21 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 2015-04-01 $59.95 $60.00 19.9% 6.1% 20.1% 46.8% 21.5% 3.6% -0.4% 39.2M -533.6M -12.0M 0.55 8.28 N/A N/A 36,173 19,844 594,371 535,376 2015-04-02 $60.63 $60.00 19.4% 5.7% 20.6% 43.6% 19.7% 3.8% -0.3% 75.6M -800.6M -12.2M 0.86 7.74 N/A N/A 38,707 33,107 603,045 543,354 2015-04-06 $60.54 $60.00 19.3% 5.7% 19.5% 43.2% 19.6% 3.7% 0.6% 55.5M -744.7M -12.1M 1.00 10.07 N/A N/A 36,517 36,495 595,250 542,054 2015-04-07 $60.89 $60.00 19.0% 5.6% 19.2% 41.1% 18.7% 4.1% 0.9% 66.4M -931.3M -11.9M 0.95 7.27 N/A N/A 34,320 32,518 610,697 549,625 2015-04-08 $61.05 $60.00 18.9% 5.6% 16.8% 40.6% 19.5% 3.6% 0.6% 70.1M -957.9M -12.1M 1.25 7.41 N/A N/A 11,906 14,873 616,808 557,479 2015-04-09 $61.48 $60.00 18.4% 5.1% 16.9% 37.6% 18.1% 2.6% -1.1% 73.3M -1.10B -12.2M 1.09 10.55 N/A N/A 32,839 35,657 621,612 566,041 2015-04-10 $61.70 $60.00 18.3% 5.1% 15.6% 36.6% 17.8% 2.9% -1.1% 82.0M -1.22B -12.2M 0.65 8.03 N/A N/A 36,191 23,412 632,420 576,234 2015-04-13 $62.09 $60.00 18.4% 5.2% 15.6% 37.5% 19.8% 4.3% -0.1% 85.1M -1.37B -11.6M 0.93 7.25 N/A N/A 57,298 53,447 626,129 563,438 2015-04-14 $63.02 $60.00 16.9% 4.9% 15.7% 28.4% 16.5% 3.5% -0.6% 113.6M -1.80B -11.4M 0.65 8.07 N/A N/A 86,378 56,468 645,794 585,388 2015-04-15 $64.09 $60.00 15.0% 4.3% 16.5% 16.2% 15.9% 3.2% 0.5% 109.9M -2.14B -11.2M 0.62 7.64 N/A N/A 79,554 49,587 658,068 600,437 2015-04-16 $64.00 $60.00 14.8% 4.2% 16.6% 15.4% 16.0% 3.3% 0.7% 98.0M -2.11B -11.5M 1.12 10.33 N/A N/A 31,598 35,541 682,098 615,964 2015-04-17 $62.82 $60.00 17.0% 4.9% 17.7% 29.0% 17.0% 3.7% -0.5% 65.0M -1.62B -12.0M 0.91 8.98 N/A N/A 55,962 50,722 684,340 625,731 2015-04-20 $63.25 $60.00 15.7% 4.5% 17.6% 20.8% 15.3% 3.1% 0.0% 72.1M -1.38B -12.0M 0.67 8.02 N/A N/A 29,254 19,685 588,911 502,000 2015-04-21 $62.35 $60.00 15.9% 4.6% 18.1% 22.2% 15.9% 3.7% 0.0% 65.6M -1.10B -12.0M 0.87 9.40 N/A N/A 26,501 23,069 597,114 510,301 2015-04-22 $62.93 $60.00 15.6% 4.4% 17.7% 19.8% 15.6% 3.2% -0.0% 74.8M -1.30B -12.3M 0.54 8.68 N/A N/A 32,366 17,476 605,456 515,817 2015-04-23 $62.85 $60.00 15.4% 4.4% 16.7% 18.9% 15.2% 3.5% -0.0% 77.1M -1.28B -12.1M 0.67 8.88 N/A N/A 25,749 17,289 613,832 519,167 2015-04-24 $62.61 $60.00 15.1% 4.3% 16.8% 17.0% 15.0% 2.9% -0.1% 72.6M -1.21B -12.3M 0.75 6.43 N/A N/A 35,958 26,799 622,509 522,931 2015-04-27 $62.38 $60.00 15.5% 4.4% 16.9% 19.3% 15.2% 3.3% -0.0% 72.0M -1.14B -12.3M 0.83 8.31 N/A N/A 26,146 21,629 615,284 516,306 2015-04-28 $62.67 $60.00 15.4% 4.4% 14.8% 19.1% 15.1% 2.8% 0.6% 79.7M -1.24B -12.4M 0.94 10.88 N/A N/A 29,120 27,297 624,153 522,178 2015-04-29 $63.59 $60.00 15.1% 4.4% 15.3% 17.2% 15.2% 2.7% 0.3% 90.7M -1.59B -12.5M 0.69 11.97 N/A N/A 34,769 23,881 638,917 531,018 2015-04-30 $63.20 $60.00 16.0% 4.7% 14.7% 22.8% 16.4% 2.8% 0.2% 90.7M -1.49B -12.6M 0.91 9.74 N/A N/A 31,839 28,815 645,585 540,463
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