JPM Options History — August 2015 In August 2015, JPM traded between $60.85 and $68.86. ATM implied volatility averaged 21.4%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.7% (HV 20d: 17.7%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.79.
Notable Days 2015-08-25 : Highest Volume — 271,612 contracts2015-08-24 : Largest IV spike — 46.0% change2015-08-24 : Highest IV Rank — 100.0%2015-08-24 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $66.32 $60.85 $68.86 $68.53 $64.28 Max Pain $65.36 $65.00 $67.50 $67.50 $65.00 ATM IV 21.4% 14.4% 39.6% 15.9% 28.2% Expected Move 6.2% 4.1% 11.4% 4.5% 8.2% HV 20d 17.7% 12.5% 27.9% 16.6% 27.9% HV 60d 16.3% 14.3% 20.8% 14.7% 20.5% IV Rank 41.8% 12.7% 100.0% 22.1% 57.4% IV Percentile 58.9% 7.9% 100.0% 31.0% 98.4% Term Structure 0.1% -2.1% 4.3% 0.0% -1.5% VWIV 21.8% 15.0% 39.8% 16.2% 30.0% Skew 25d 4.8% 2.6% 11.5% 3.1% 7.5% Skew 10d 9.6% 4.6% 20.2% 5.6% 12.2% Call IV 25d 19.6% 13.7% 40.1% 14.8% 25.3% Put IV 25d 24.4% 16.2% 46.6% 17.9% 32.9% Bid-Ask Spread % 7.36 2.45 13.53 8.77 13.53 Gamma HHI 0.23 0.16 0.33 0.25 0.17 Net GEX 119.3M 23.1M 216.8M 143.5M 56.1M Net DEX -1.30B -2.33B 306.4M -2.05B -556.1M Net VEX -13.0M -14.1M -12.3M -12.8M -13.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.14 1.25 0.84 1.16 Total Volume 86,770.333 25,895 271,612 25,895 49,969 Total OI 1,361,003.429 1,263,462 1,465,215 1,280,901 1,374,007
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 2015-08-03 $68.53 $67.50 15.9% 4.5% 16.6% 22.1% 16.2% 3.1% 0.0% 143.5M -2.05B -12.8M 0.84 8.77 N/A N/A 14,060 11,835 730,555 550,346 2015-08-04 $68.48 $67.50 15.3% 4.3% 16.4% 18.3% 15.8% 3.2% 0.1% 146.9M -2.02B -12.7M 1.25 6.47 N/A N/A 17,164 21,466 733,577 556,977 2015-08-05 $68.76 $67.50 14.8% 4.1% 14.2% 15.3% 15.0% 3.0% 0.2% 148.8M -2.16B -12.6M 1.12 5.80 N/A N/A 17,163 19,216 734,113 562,559 2015-08-06 $68.31 $65.00 15.6% 4.9% 13.9% 20.3% 17.1% 3.1% 0.1% 141.6M -1.95B -12.4M 0.34 2.45 N/A N/A 82,758 27,735 737,274 565,781 2015-08-07 $68.06 $65.00 16.3% 5.0% 13.5% 24.7% 16.7% 3.1% 0.0% 131.5M -1.92B -13.2M 0.76 3.13 N/A N/A 35,826 27,074 795,531 573,647 2015-08-10 $68.86 $65.00 14.4% 4.2% 13.0% 12.7% 15.7% 2.6% 0.4% 163.5M -2.33B -12.9M 0.70 2.85 N/A N/A 33,852 23,662 774,743 571,400 2015-08-11 $68.23 $65.00 16.1% 5.0% 12.5% 23.2% 17.2% 3.0% 1.3% 162.0M -2.04B -13.0M 0.85 3.89 N/A N/A 24,052 20,341 785,197 573,343 2015-08-12 $67.17 $65.00 17.7% 5.2% 13.6% 33.1% 18.8% 3.4% 0.4% 139.6M -1.43B -13.3M 0.62 7.82 N/A N/A 67,796 41,723 789,069 579,093 2015-08-13 $67.62 $65.00 17.0% 5.2% 13.6% 28.8% 17.6% 2.9% 1.2% 162.9M -1.74B -13.3M 0.50 4.78 N/A N/A 49,085 24,734 804,548 584,795 2015-08-14 $67.83 $65.00 16.0% 4.9% 13.6% 22.6% 17.4% 2.7% 1.8% 177.4M -1.90B -13.2M 0.79 6.14 N/A N/A 28,868 22,885 812,218 587,158 2015-08-17 $68.08 $65.00 16.4% 4.8% 13.7% 25.4% 16.8% 3.4% 0.2% 192.5M -1.99B -12.6M 0.90 6.12 N/A N/A 27,128 24,357 792,564 583,462 2015-08-18 $68.22 $65.00 16.8% 4.9% 13.7% 27.4% 16.7% 3.3% -0.2% 173.2M -2.02B -12.7M 1.11 5.30 N/A N/A 20,748 23,110 797,547 592,824 2015-08-19 $67.60 $65.00 18.1% 5.2% 13.0% 35.5% 18.8% 3.3% -0.5% 216.8M -1.75B -12.4M 0.86 7.29 N/A N/A 47,793 41,023 800,163 599,711 2015-08-20 $66.06 $65.00 22.0% 6.3% 14.9% 58.9% 21.8% 3.9% -1.4% 91.3M -802.1M -12.8M 0.74 6.02 N/A N/A 54,080 40,143 818,988 623,307 2015-08-21 $63.77 $65.00 27.1% 7.4% 18.8% 91.9% 26.4% 7.0% 4.3% 43.0M 40.1M -12.8M 0.93 10.36 N/A N/A 63,392 59,042 834,615 630,600 2015-08-24 $60.96 $65.00 39.6% 11.4% 23.5% 100.0% 39.8% 6.5% -2.1% 23.1M 306.4M -12.5M 0.58 11.67 N/A N/A 92,891 53,627 693,254 570,208 2015-08-25 $60.85 $65.00 33.9% 10.2% 23.4% 78.5% 31.1% 11.5% -0.2% 26.3M 300.9M -12.3M 0.14 11.62 N/A N/A 237,596 34,016 731,747 580,439 2015-08-26 $62.78 $65.00 31.5% 9.1% 26.0% 69.6% 33.1% 9.1% -1.0% 48.6M -250.4M -14.1M 0.43 12.73 N/A N/A 113,372 48,397 797,276 584,301 2015-08-27 $64.31 $65.00 27.5% 7.9% 27.9% 54.7% 28.7% 7.0% -0.1% 61.0M -567.2M -13.8M 1.11 10.30 N/A N/A 44,474 49,378 769,490 604,206 2015-08-28 $64.04 $65.00 28.2% 8.4% 27.9% 57.4% 28.0% 7.8% -0.4% 56.1M -491.1M -13.8M 0.90 7.42 N/A N/A 45,528 40,818 782,024 618,415 2015-08-31 $64.28 $65.00 28.2% 8.2% 27.9% 57.4% 30.0% 7.5% -1.5% 56.1M -556.1M -13.7M 1.16 13.53 N/A N/A 23,155 26,814 767,475 606,532
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