JPM Options History — July 2015 In July 2015, JPM traded between $65.43 and $70.04. ATM implied volatility averaged 17.3%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.4% (HV 20d: 16.9%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.74.
Notable Days 2015-07-09 : Highest Volume — 130,777 contracts2015-07-14 : Largest IV drop — 14.1% change2015-07-08 : Highest IV Rank — 64.3%2015-07-02 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $68.31 $65.43 $70.04 $68.02 $68.50 Max Pain $66.48 $65.00 $67.50 $67.50 $67.50 ATM IV 17.3% 13.9% 22.7% 19.3% 16.1% Expected Move 4.9% 3.9% 6.5% 6.2% 4.6% HV 20d 16.9% 14.8% 18.3% 15.9% 16.7% HV 60d 14.8% 14.4% 15.3% 14.4% 14.7% IV Rank 30.8% 9.7% 64.3% 43.4% 23.2% IV Percentile 46.5% 6.3% 92.5% 75.4% 34.5% Term Structure -0.2% -0.9% 0.4% -0.7% 0.4% VWIV 17.8% 14.1% 23.0% 21.6% 16.6% Skew 25d 3.3% 2.6% 4.3% 3.4% 3.3% Skew 10d 6.7% 5.1% 8.7% 5.9% 6.7% Call IV 25d 16.0% 12.9% 21.0% 18.1% 14.6% Put IV 25d 19.3% 15.6% 25.3% 21.5% 18.0% Bid-Ask Spread % 6.73 1.36 11.62 7.02 7.29 Gamma HHI 0.24 0.20 0.35 0.20 0.23 Net GEX 139.1M 79.7M 242.7M 128.2M 141.7M Net DEX -2.09B -2.94B -948.6M -1.97B -2.01B Net VEX -13.0M -13.8M -12.3M -13.6M -13.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.24 1.32 0.24 0.86 Total Volume 76,087.682 36,892 130,777 117,241 41,996 Total OI 1,296,581.455 1,202,101 1,397,220 1,279,336 1,302,734
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 2015-07-01 $68.02 $67.50 19.3% 6.2% 15.9% 43.4% 21.6% 3.4% -0.7% 128.2M -1.97B -13.6M 0.24 7.02 N/A N/A 94,894 22,347 739,025 540,311 2015-07-02 $67.55 $67.50 19.8% 6.5% 15.9% 46.5% 23.0% 3.2% -0.5% 79.7M -1.76B -13.7M 0.27 9.62 N/A N/A 76,777 20,476 743,542 545,976 2015-07-06 $67.30 $65.00 20.2% 5.6% 14.8% 49.0% 20.2% 3.6% -0.4% 117.0M -1.67B -13.4M 0.61 4.20 N/A N/A 29,122 17,841 732,419 535,924 2015-07-07 $66.81 $65.00 20.2% 5.4% 14.8% 49.0% 19.6% 3.2% -0.5% 111.6M -1.46B -13.5M 0.72 9.50 N/A N/A 52,727 38,183 741,931 540,142 2015-07-08 $65.43 $65.00 22.7% 6.3% 16.5% 64.3% 22.0% 4.3% -0.7% 82.0M -948.6M -13.8M 0.98 7.85 N/A N/A 36,324 35,694 757,348 550,924 2015-07-09 $66.33 $65.00 21.7% 5.7% 16.1% 58.0% 21.5% 4.1% -0.7% 104.6M -1.30B -13.7M 0.24 2.75 N/A N/A 105,156 25,621 766,274 560,121 2015-07-10 $67.05 $65.00 19.6% 5.4% 16.6% 44.9% 18.8% 3.5% -0.4% 134.6M -1.64B -13.7M 0.52 3.56 N/A N/A 45,402 23,660 778,325 565,341 2015-07-13 $68.10 $65.00 18.1% 5.2% 17.6% 35.7% 18.5% 3.2% -0.1% 154.1M -2.14B -12.8M 0.90 1.55 N/A N/A 56,801 50,950 757,964 557,790 2015-07-14 $69.03 $65.00 15.5% 4.2% 18.2% 19.7% 16.3% 3.3% -0.9% 191.6M -2.58B -13.0M 0.88 1.36 N/A N/A 43,351 38,241 780,949 577,678 2015-07-15 $69.10 $65.00 15.3% 4.3% 18.1% 18.2% 15.7% 2.8% -0.6% 186.9M -2.63B -12.5M 0.29 2.38 N/A N/A 98,906 28,305 780,918 584,668 2015-07-16 $69.56 $65.00 13.9% 4.0% 18.1% 9.7% 15.7% 2.7% 0.0% 242.7M -2.94B -12.3M 0.63 4.54 N/A N/A 72,498 45,827 806,118 589,280 2015-07-17 $69.22 $67.50 14.0% 3.9% 17.9% 10.2% 15.3% 2.6% -0.6% 153.2M -2.66B -12.4M 0.95 7.37 N/A N/A 38,810 36,896 803,817 593,403 2015-07-20 $69.21 $67.50 14.4% 4.2% 17.6% 12.9% 14.1% 3.0% -0.0% 147.2M -2.41B -12.3M 0.80 11.62 N/A N/A 36,891 29,559 698,018 504,083 2015-07-21 $69.10 $67.50 14.7% 4.2% 17.1% 14.5% 15.2% 2.8% 0.1% 152.8M -2.35B -12.3M 1.32 7.79 N/A N/A 21,031 27,867 706,788 511,211 2015-07-22 $70.04 $67.50 15.0% 4.3% 17.4% 16.1% 15.0% 2.7% 0.0% 160.8M -2.71B -12.7M 0.92 8.82 N/A N/A 44,026 40,528 717,068 520,604 2015-07-23 $69.52 $67.50 15.8% 4.6% 17.3% 21.6% 16.0% 3.2% -0.5% 152.6M -2.54B -12.6M 0.92 8.42 N/A N/A 23,594 21,719 729,101 541,469 2015-07-24 $68.96 $67.50 16.8% 4.8% 17.4% 27.4% 16.9% 3.3% 0.3% 106.5M -2.18B -13.0M 0.91 9.37 N/A N/A 29,567 26,983 733,724 545,993 2015-07-27 $67.85 $67.50 18.1% 5.3% 18.3% 35.9% 18.9% 4.2% -0.2% 112.1M -1.70B -13.6M 0.88 7.24 N/A N/A 28,961 25,371 711,971 539,295 2015-07-28 $68.05 $67.50 17.5% 5.0% 16.3% 32.2% 17.2% 3.6% 0.2% 121.4M -1.81B -12.9M 0.65 8.50 N/A N/A 22,354 14,538 718,273 544,863 2015-07-29 $68.97 $67.50 16.0% 4.6% 16.7% 22.5% 16.9% 3.5% 0.4% 137.0M -2.27B -12.5M 0.71 9.80 N/A N/A 37,692 26,706 728,046 547,263 2015-07-30 $69.03 $67.50 15.9% 4.5% 16.7% 22.2% 16.4% 2.8% 0.4% 141.7M -2.28B -12.9M 1.02 7.53 N/A N/A 19,631 20,106 738,786 555,314 2015-07-31 $68.50 $67.50 16.1% 4.6% 16.7% 23.2% 16.6% 3.3% 0.4% 141.7M -2.01B -13.1M 0.86 7.29 N/A N/A 22,549 19,447 743,295 559,439
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