JPM Options History — June 2015 In June 2015, JPM traded between $66.00 and $69.73. ATM implied volatility averaged 17.4%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.2% (HV 20d: 13.2%). Max pain ranged from $60.00 to $66.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.68.
Notable Days 2015-06-15 : Highest Volume — 190,918 contracts2015-06-29 : Largest IV spike — 16.8% change2015-06-29 : Highest IV Rank — 51.1%2015-06-29 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $67.89 $66.00 $69.73 $66.00 $67.90 Max Pain $64.36 $60.00 $66.00 $60.00 $66.00 ATM IV 17.4% 15.7% 20.6% 15.8% 20.2% Expected Move 5.2% 4.3% 6.3% 4.3% 6.1% HV 20d 13.2% 11.7% 16.3% 13.2% 16.3% HV 60d 14.7% 13.5% 16.3% 16.3% 14.4% IV Rank 31.2% 20.6% 51.1% 21.3% 48.6% IV Percentile 52.6% 31.3% 86.1% 36.5% 84.1% Term Structure 0.2% -1.6% 3.3% 0.1% -0.6% VWIV 18.4% 14.9% 22.7% 14.9% 21.4% Skew 25d 3.2% 2.4% 4.0% 3.7% 2.4% Skew 10d 6.2% 4.3% 8.1% 6.4% 4.9% Call IV 25d 15.9% 13.9% 18.8% 14.0% 18.4% Put IV 25d 19.1% 16.6% 22.8% 17.8% 20.7% Bid-Ask Spread % 7.03 4.41 10.45 8.70 8.34 Gamma HHI 0.21 0.14 0.27 0.15 0.21 Net GEX 129.7M 78.3M 180.4M 78.3M 118.5M Net DEX -2.52B -3.26B -1.72B -1.94B -2.01B Net VEX -12.8M -13.7M -11.9M -11.9M -13.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.15 1.00 0.96 0.15 Total Volume 80,050.364 18,474 190,918 41,984 168,294 Total OI 1,347,840.773 1,227,375 1,519,561 1,235,424 1,297,637
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 2015-06-01 $66.00 $60.00 15.8% 4.3% 13.2% 21.3% 14.9% 3.7% 0.1% 78.3M -1.94B -11.9M 0.96 8.70 N/A N/A 21,435 20,549 660,651 574,773 2015-06-02 $66.02 $60.00 16.3% 4.4% 11.7% 24.6% 15.6% 3.9% -0.2% 79.0M -1.93B -12.0M 1.00 7.81 N/A N/A 9,221 9,253 666,767 581,820 2015-06-03 $66.72 $60.00 16.8% 4.5% 12.0% 27.4% 16.6% 3.7% -1.4% 87.0M -2.19B -11.9M 0.41 7.17 N/A N/A 75,656 30,706 671,189 585,875 2015-06-04 $66.30 $65.00 17.0% 5.3% 11.8% 28.7% 18.5% 3.3% -0.3% 86.8M -1.99B -12.2M 0.94 7.66 N/A N/A 30,656 28,730 695,007 595,777 2015-06-05 $67.43 $65.00 16.8% 5.4% 12.7% 27.5% 18.9% 3.0% -0.6% 118.1M -2.46B -12.1M 0.90 6.72 N/A N/A 49,725 44,862 704,411 598,876 2015-06-08 $66.91 $65.00 16.9% 5.3% 12.1% 28.1% 18.7% 3.4% 2.0% 87.4M -2.17B -11.9M 0.22 7.30 N/A N/A 121,030 26,980 691,998 592,984 2015-06-09 $67.14 $65.00 16.8% 5.4% 12.1% 27.3% 19.6% 2.9% 1.9% 118.5M -2.50B -12.9M 0.91 7.05 N/A N/A 29,130 26,407 774,907 599,302 2015-06-10 $68.25 $65.00 16.1% 5.4% 13.2% 23.1% 19.7% 2.8% 3.0% 128.5M -2.96B -12.2M 0.64 6.12 N/A N/A 56,762 36,395 775,932 605,067 2015-06-11 $68.45 $65.00 15.7% 5.3% 13.2% 20.6% 18.2% 2.7% 3.3% 145.4M -3.04B -12.4M 0.58 7.20 N/A N/A 50,751 29,303 802,711 622,407 2015-06-12 $68.26 $65.00 16.6% 5.3% 13.2% 26.2% 17.9% 2.6% 3.1% 140.3M -2.94B -12.6M 0.99 4.41 N/A N/A 35,524 35,239 813,384 631,669 2015-06-15 $67.96 $65.00 18.4% 5.4% 13.2% 37.3% 19.1% 3.3% -0.7% 142.0M -2.74B -12.5M 0.16 6.98 N/A N/A 164,567 26,351 810,041 620,744 2015-06-16 $68.38 $65.00 19.1% 5.6% 13.1% 41.9% 19.3% 3.1% -0.9% 163.3M -3.14B -13.7M 0.64 4.74 N/A N/A 38,684 24,575 868,685 629,759 2015-06-17 $68.06 $65.00 18.8% 5.4% 12.9% 40.0% 18.7% 3.5% -0.9% 157.2M -2.94B -13.5M 0.82 7.44 N/A N/A 28,521 23,425 864,913 634,253 2015-06-18 $68.72 $65.00 18.2% 5.3% 12.9% 36.5% 17.7% 2.9% -1.6% 172.0M -3.26B -13.4M 0.61 5.82 N/A N/A 44,035 27,067 868,104 637,982 2015-06-19 $68.17 $65.00 17.3% 5.0% 13.4% 30.8% 17.2% 3.2% -1.0% 142.0M -2.97B -13.3M 0.60 4.81 N/A N/A 43,964 26,197 873,684 645,877 2015-06-22 $69.01 $65.00 16.1% 4.7% 13.9% 23.2% 17.0% 3.1% -0.3% 149.2M -2.51B -13.0M 0.68 5.77 N/A N/A 49,885 33,708 721,968 505,407 2015-06-23 $69.73 $65.00 16.6% 5.0% 13.2% 26.1% 17.6% 3.3% -0.5% 152.7M -2.80B -13.0M 0.73 7.84 N/A N/A 35,395 25,967 741,670 519,612 2015-06-24 $69.08 $65.00 17.0% 5.1% 13.4% 28.6% 17.8% 3.0% -0.3% 148.0M -2.49B -13.5M 0.82 7.30 N/A N/A 30,358 25,030 753,366 530,918 2015-06-25 $68.73 $65.00 17.8% 5.3% 13.5% 33.7% 18.6% 3.0% -0.4% 148.6M -2.35B -13.7M 0.82 8.24 N/A N/A 16,378 13,459 764,506 535,271 2015-06-26 $68.94 $65.00 17.6% 5.3% 13.2% 32.7% 18.8% 3.1% -0.3% 180.4M -2.45B -13.3M 0.81 6.84 N/A N/A 24,266 19,707 767,136 539,570 2015-06-29 $67.34 $65.00 20.6% 6.3% 16.1% 51.1% 22.7% 4.0% -0.1% 110.8M -1.72B -13.6M 0.66 10.45 N/A N/A 61,876 41,085 752,441 523,446 2015-06-30 $67.90 $66.00 20.2% 6.1% 16.3% 48.6% 21.4% 2.4% -0.6% 118.5M -2.01B -13.7M 0.15 8.34 N/A N/A 146,160 22,134 763,132 534,505
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