JPM Options History — May 2015

In May 2015, JPM traded between $63.56 and $67.01. ATM implied volatility averaged 15.4%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.0% (HV 20d: 14.5%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2015-05-21: Highest Volume — 109,139 contracts
  • 2015-05-26: Largest IV spike — 13.4% change
  • 2015-05-07: Highest IV Rank — 30.6%
  • 2015-05-07: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.62$63.56$67.01$63.56$65.88
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV15.4%14.1%17.3%15.7%15.4%
Expected Move4.5%4.1%5.0%4.5%4.2%
HV 20d14.5%12.3%16.8%14.4%13.3%
HV 60d16.7%15.9%17.5%17.2%16.3%
IV Rank19.0%10.5%30.6%20.9%18.9%
IV Percentile27.3%7.9%52.4%33.3%27.0%
Term Structure0.5%-0.1%1.2%0.4%0.6%
VWIV16.2%14.3%18.2%15.9%15.2%
Skew 25d2.8%2.5%3.1%2.9%2.9%
Skew 10d6.3%4.9%7.7%5.7%6.9%
Call IV 25d14.3%13.0%16.4%14.5%14.0%
Put IV 25d17.1%15.6%19.2%17.4%16.9%
Bid-Ask Spread %7.435.659.416.979.41
Gamma HHI0.140.120.150.140.15
Net GEX80.1M60.3M109.7M109.7M77.9M
Net DEX-1.99B-2.28B-1.59B-1.60B-1.90B
Net VEX-12.2M-12.8M-11.4M-12.8M-12.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.481.820.691.37
Total Volume64,73937,850109,13950,84742,350
Total OI1,210,855.151,138,8621,259,7941,200,0961,259,794

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$63.56$60.0015.7%4.5%14.4%20.9%15.9%2.9%0.4%109.7M-1.60B-12.8M0.696.97N/AN/A30,05720,790652,994547,102
2015-05-04$64.72$60.0015.7%4.6%15.3%20.7%16.8%2.7%0.3%84.9M-1.93B-12.5M0.838.60N/AN/A36,28730,209641,636538,634
2015-05-05$64.44$60.0016.3%4.7%15.5%24.6%17.1%3.1%-0.1%80.9M-1.83B-12.7M0.776.56N/AN/A49,37937,777649,705552,170
2015-05-06$63.89$60.0017.0%4.9%16.0%28.7%18.2%2.8%0.6%79.6M-1.59B-12.7M0.688.23N/AN/A51,56834,815653,452552,268
2015-05-07$64.44$60.0017.3%5.0%16.1%30.6%18.0%2.6%0.2%86.5M-1.83B-12.5M1.387.64N/AN/A26,83837,162647,767557,861
2015-05-08$65.49$60.0015.4%4.7%16.8%19.2%16.6%2.9%0.3%94.7M-2.17B-12.4M0.696.79N/AN/A51,46435,466652,492565,091
2015-05-11$65.45$60.0015.6%4.6%16.8%20.1%18.1%2.7%0.4%83.0M-2.10B-12.0M0.677.74N/AN/A35,02723,326638,219558,104
2015-05-12$65.40$60.0015.6%4.6%16.2%20.3%16.1%2.8%0.4%81.3M-2.04B-12.3M1.238.15N/AN/A26,91433,138646,095572,359
2015-05-13$65.54$60.0015.5%4.6%15.3%19.6%16.4%2.9%0.6%87.9M-2.08B-12.3M1.825.65N/AN/A19,81036,096655,099578,105
2015-05-14$66.04$60.0015.2%4.6%15.4%17.8%17.5%2.8%1.2%79.5M-2.28B-12.0M1.056.95N/AN/A40,68442,522658,110587,671
2015-05-15$65.83$60.0014.8%4.4%13.6%14.9%15.1%2.9%1.0%79.8M-2.20B-12.1M1.006.96N/AN/A35,52735,486660,126595,685
2015-05-18$66.42$60.0014.1%4.1%13.7%10.5%16.0%2.8%0.5%66.1M-1.99B-11.8M1.157.23N/AN/A17,61220,238591,350547,512
2015-05-19$67.01$60.0014.5%4.2%12.3%13.0%15.0%2.7%0.2%62.8M-2.19B-11.4M0.957.91N/AN/A41,68439,578596,309556,663
2015-05-20$66.52$60.0014.6%4.2%12.7%14.1%14.5%2.7%0.1%60.3M-2.01B-11.8M1.128.19N/AN/A24,95527,990607,938568,060
2015-05-21$66.63$60.0014.9%4.3%12.6%15.8%16.8%2.7%1.0%66.2M-2.07B-12.0M0.487.02N/AN/A73,79435,345619,534571,769
2015-05-22$66.53$60.0014.4%4.1%12.5%12.4%14.3%2.5%0.5%88.4M-2.14B-12.2M0.946.97N/AN/A28,33926,779655,261584,550
2015-05-26$65.75$60.0016.3%4.6%13.4%24.4%16.2%2.8%0.9%68.5M-1.81B-12.3M1.207.68N/AN/A25,83331,048645,496570,029
2015-05-27$66.55$60.0014.8%4.1%13.8%14.9%15.1%2.8%0.7%81.7M-2.12B-12.2M1.186.67N/AN/A21,00624,872656,529577,127
2015-05-28$66.24$60.0015.3%4.3%13.3%18.5%15.7%2.6%1.0%81.4M-2.01B-12.1M1.177.37N/AN/A19,84223,173663,429585,008
2015-05-29$65.88$60.0015.4%4.2%13.3%18.9%15.2%2.9%0.6%77.9M-1.90B-12.1M1.379.41N/AN/A17,89124,459669,580590,214