JPM Options History — September 2015 In September 2015, JPM traded between $59.81 and $64.10. ATM implied volatility averaged 28.2%, placing in the 57.3% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 4.4% (HV 20d: 32.5%). Max pain ranged from $62.50 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.88.
Notable Days 2015-09-01 : Highest Volume — 138,688 contracts2015-09-28 : Largest IV spike — 17.5% change2015-09-01 : Highest IV Rank — 85.0%2015-09-01 : Largest Expected Move — 11.0%Monthly Statistics Metric Avg Min Max Open Close Price $61.77 $59.81 $64.10 $61.37 $60.98 Max Pain $64.45 $62.50 $65.00 $65.00 $62.50 ATM IV 28.2% 23.5% 35.6% 35.6% 28.7% Expected Move 8.2% 6.7% 11.0% 11.0% 8.6% HV 20d 32.5% 25.7% 36.4% 31.8% 25.7% HV 60d 23.9% 22.5% 25.4% 22.5% 25.4% IV Rank 57.3% 39.9% 85.0% 85.0% 59.1% IV Percentile 94.8% 88.1% 99.6% 99.6% 95.6% Term Structure -0.4% -2.2% 0.9% -2.0% -0.2% VWIV 28.9% 23.6% 38.3% 38.3% 31.3% Skew 25d 7.8% 6.4% 11.4% 11.4% 7.5% Skew 10d 15.9% 12.7% 19.8% 17.1% 16.7% Call IV 25d 24.9% 20.9% 30.3% 30.3% 26.0% Put IV 25d 32.7% 27.8% 41.7% 41.7% 33.5% Bid-Ask Spread % 7.03 2.54 10.67 8.16 9.43 Gamma HHI 0.11 0.08 0.14 0.13 0.08 Net GEX 42.6M 22.0M 91.0M 28.1M 33.1M Net DEX 51.6M -682.4M 463.8M 209.3M 215.4M Net VEX -12.1M -13.4M -10.7M -13.1M -11.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.29 1.62 0.57 0.89 Total Volume 75,164.714 43,881 138,688 138,688 71,982 Total OI 1,398,343.095 1,259,445 1,489,062 1,386,149 1,370,162
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 2015-09-01 $61.37 $65.00 35.6% 11.0% 31.8% 85.0% 38.3% 11.4% -2.0% 28.1M 209.3M -13.1M 0.57 8.16 N/A N/A 88,534 50,154 772,638 613,511 2015-09-02 $62.36 $65.00 31.5% 8.8% 32.6% 69.6% 31.2% 8.8% -0.9% 39.3M -11.3M -13.4M 0.92 8.06 N/A N/A 40,573 37,476 796,831 628,005 2015-09-03 $62.78 $65.00 28.8% 8.3% 32.8% 59.4% 28.7% 7.2% -1.1% 45.7M -120.0M -13.3M 1.04 3.18 N/A N/A 35,421 36,901 808,787 638,732 2015-09-04 $61.73 $65.00 31.6% 8.7% 33.1% 70.2% 30.6% 9.0% -0.8% 23.6M 194.3M -13.1M 0.43 4.22 N/A N/A 81,173 35,233 812,969 645,908 2015-09-08 $63.16 $65.00 27.9% 8.3% 34.1% 56.2% 28.3% 8.0% 0.5% 62.7M -363.7M -13.0M 0.67 3.46 N/A N/A 26,340 17,541 810,370 613,105 2015-09-09 $62.08 $65.00 28.7% 8.3% 34.4% 59.2% 27.8% 8.9% 0.9% 46.8M -23.0M -12.6M 1.00 2.67 N/A N/A 27,092 27,053 816,322 617,636 2015-09-10 $62.57 $65.00 28.8% 8.2% 34.4% 59.5% 28.6% 8.5% -0.0% 57.1M -155.4M -13.0M 0.94 3.35 N/A N/A 34,845 32,637 822,379 626,458 2015-09-11 $62.33 $65.00 27.8% 8.1% 34.2% 56.0% 31.4% 8.0% 0.5% 65.0M -79.5M -12.5M 1.50 2.54 N/A N/A 27,499 41,284 832,721 632,013 2015-09-14 $62.25 $65.00 28.4% 8.1% 34.1% 57.9% 28.7% 7.8% -0.4% 46.8M -54.3M -12.2M 1.02 5.94 N/A N/A 23,786 24,336 815,545 627,034 2015-09-15 $63.58 $65.00 27.4% 7.7% 35.2% 54.4% 26.3% 7.0% -1.7% 76.0M -482.4M -12.5M 0.64 10.67 N/A N/A 27,413 17,414 821,627 627,709 2015-09-16 $64.10 $65.00 23.5% 6.7% 35.4% 39.9% 25.2% 6.7% 0.9% 91.0M -682.4M -12.6M 1.40 5.87 N/A N/A 23,163 32,357 834,775 635,069 2015-09-17 $62.54 $65.00 25.4% 7.3% 36.1% 46.8% 25.9% 7.3% -1.3% 51.3M -49.1M -11.5M 1.11 9.81 N/A N/A 30,553 33,850 836,482 644,010 2015-09-18 $60.94 $65.00 27.0% 7.9% 36.4% 52.8% 25.2% 7.7% -2.2% 26.6M 463.8M -10.9M 0.69 8.16 N/A N/A 66,938 45,986 839,619 649,443 2015-09-21 $61.44 $65.00 23.5% 6.7% 34.6% 40.0% 23.6% 6.9% 0.4% 34.4M 150.2M -10.8M 0.61 8.71 N/A N/A 41,657 25,546 715,692 543,753 2015-09-22 $60.54 $65.00 25.7% 7.5% 31.1% 48.1% 25.3% 7.5% 0.4% 27.6M 320.9M -10.7M 0.29 7.74 N/A N/A 71,728 20,637 729,280 552,230 2015-09-23 $60.64 $65.00 26.1% 7.8% 31.1% 49.3% 26.4% 6.8% 0.0% 28.9M 281.0M -11.0M 0.50 7.49 N/A N/A 56,200 28,015 737,625 570,966 2015-09-24 $60.20 $63.50 27.5% 8.2% 28.9% 54.9% 28.5% 6.5% -0.1% 23.2M 412.2M -11.1M 1.04 9.96 N/A N/A 30,931 32,178 752,179 579,781 2015-09-25 $61.52 $62.50 25.7% 7.5% 28.6% 48.0% 26.4% 6.4% -0.2% 43.1M 56.4M -11.6M 0.78 10.43 N/A N/A 43,293 33,722 758,648 580,307 2015-09-28 $60.17 $62.50 30.2% 9.2% 29.5% 64.7% 32.9% 7.3% -1.1% 22.6M 368.0M -11.3M 0.80 9.23 N/A N/A 39,215 31,317 743,355 575,471 2015-09-29 $59.81 $62.50 32.0% 9.6% 29.4% 71.7% 35.4% 8.3% -0.8% 22.0M 433.9M -11.2M 1.62 8.48 N/A N/A 32,968 53,518 752,218 583,840 2015-09-30 $60.98 $62.50 28.7% 8.6% 25.7% 59.1% 31.3% 7.5% -0.2% 33.1M 215.4M -11.7M 0.89 9.43 N/A N/A 38,074 33,908 760,402 609,760
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