JPM Options History — October 2015 In October 2015, JPM traded between $59.91 and $65.39. ATM implied volatility averaged 21.3%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 1.6% (HV 20d: 22.9%). Max pain ranged from $62.50 to $64.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.93.
Notable Days 2015-10-14 : Highest Volume — 123,125 contracts2015-10-15 : Largest IV drop — 13.2% change2015-10-01 : Highest IV Rank — 58.8%2015-10-01 : Largest Expected Move — 8.4%Monthly Statistics Metric Avg Min Max Open Close Price $62.51 $59.91 $65.39 $60.83 $64.44 Max Pain $62.57 $62.50 $64.00 $62.50 $64.00 ATM IV 21.3% 17.4% 28.6% 28.6% 17.8% Expected Move 6.0% 5.0% 8.4% 8.4% 5.1% HV 20d 22.9% 20.4% 25.5% 25.0% 21.9% HV 60d 25.7% 24.8% 26.9% 25.1% 26.9% IV Rank 31.5% 17.1% 58.8% 58.8% 18.6% IV Percentile 66.3% 40.1% 95.2% 95.2% 42.1% Term Structure -0.1% -1.5% 1.0% -0.3% 0.8% VWIV 21.0% 17.7% 29.3% 26.3% 18.4% Skew 25d 5.1% 3.2% 7.2% 7.2% 3.2% Skew 10d 10.5% 6.4% 14.1% 14.1% 6.9% Call IV 25d 19.1% 16.0% 26.1% 26.1% 16.5% Put IV 25d 24.1% 19.7% 33.3% 33.3% 19.7% Bid-Ask Spread % 7.20 2.56 14.26 9.32 9.74 Gamma HHI 0.15 0.08 0.71 0.08 0.14 Net GEX 72.2M -1.9M 361.2M 32.6M 94.1M Net DEX -278.3M -1.18B 569.9M 318.9M -799.6M Net VEX -10.8M -11.7M -9.8M -11.7M -10.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.49 1.54 0.55 1.40 Total Volume 66,001.5 33,874 123,125 69,521 82,044 Total OI 1,336,884.409 1,217,266 1,457,842 1,399,424 1,312,010
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 2015-10-01 $60.83 $62.50 28.6% 8.4% 25.0% 58.8% 26.3% 7.2% -0.3% 32.6M 318.9M -11.7M 0.55 9.32 N/A N/A 44,991 24,530 775,432 623,992 2015-10-02 $60.65 $62.50 28.0% 8.4% 24.8% 56.5% 29.3% 6.5% -0.5% 24.4M 338.1M -11.6M 0.49 10.51 N/A N/A 67,516 32,996 768,948 626,851 2015-10-05 $62.02 $62.50 24.8% 6.8% 25.5% 44.6% 22.3% 6.3% -0.3% 52.9M -176.2M -11.7M 0.65 3.10 N/A N/A 37,703 24,549 756,032 595,722 2015-10-06 $61.98 $62.50 24.6% 6.7% 24.1% 43.8% 21.6% 6.2% -0.2% 57.7M -147.7M -11.7M 0.92 3.32 N/A N/A 35,773 32,856 773,817 606,946 2015-10-07 $61.98 $62.50 24.3% 6.7% 23.3% 43.0% 23.8% 6.2% 0.3% 57.7M -145.6M -11.6M 0.88 4.00 N/A N/A 31,497 27,666 780,266 608,488 2015-10-08 $62.09 $62.50 24.1% 6.6% 23.1% 42.1% 23.9% 6.0% -0.5% 62.6M -188.9M -11.6M 0.93 2.82 N/A N/A 26,086 24,274 790,358 612,519 2015-10-09 $61.83 $62.50 23.5% 6.5% 23.1% 39.8% 22.9% 6.1% -0.2% 50.3M -55.6M -11.3M 0.88 2.56 N/A N/A 29,014 25,589 792,070 617,440 2015-10-12 $61.63 $62.50 23.0% 6.2% 23.2% 38.1% 22.6% 6.0% -1.5% 43.1M 44.0M -10.6M 0.89 3.45 N/A N/A 25,994 23,098 776,729 609,783 2015-10-13 $61.44 $62.50 23.3% 6.2% 21.7% 38.9% 23.0% 5.4% -1.2% 41.9M 60.6M -10.6M 0.66 5.29 N/A N/A 49,401 32,489 781,175 614,750 2015-10-14 $59.91 $62.50 22.3% 6.3% 22.9% 35.4% 21.8% 5.1% -0.4% -1.9M 569.9M -9.8M 0.89 4.21 N/A N/A 65,302 57,823 800,748 626,691 2015-10-15 $61.90 $62.50 19.4% 5.5% 24.8% 24.4% 20.3% 4.7% -0.2% 71.6M -43.2M -10.4M 0.79 6.99 N/A N/A 43,467 34,518 815,786 641,158 2015-10-16 $62.50 $62.50 18.2% 5.2% 23.1% 20.0% 17.9% 4.4% -0.1% 361.2M -296.9M -10.2M 0.62 7.50 N/A N/A 49,376 30,709 816,974 640,868 2015-10-19 $62.20 $62.50 18.5% 5.3% 23.1% 21.2% 18.1% 4.7% 1.0% 43.8M -210.2M -10.2M 1.17 10.08 N/A N/A 24,242 28,381 656,011 561,255 2015-10-20 $62.61 $62.50 18.3% 5.2% 22.4% 20.5% 18.3% 4.4% 0.5% 52.4M -324.0M -10.4M 1.30 14.26 N/A N/A 19,834 25,765 662,905 565,650 2015-10-21 $62.09 $62.50 19.6% 5.6% 22.7% 25.3% 20.1% 4.8% 0.2% 43.7M -179.7M -10.4M 1.24 8.48 N/A N/A 18,572 22,968 671,457 574,115 2015-10-22 $63.19 $62.50 19.0% 5.4% 23.2% 22.9% 18.5% 4.7% 0.6% 67.8M -519.3M -10.6M 0.84 9.53 N/A N/A 29,780 25,049 676,060 579,824 2015-10-23 $63.92 $62.50 17.6% 5.0% 22.3% 17.7% 18.5% 4.0% 0.2% 94.9M -775.1M -10.6M 1.22 6.89 N/A N/A 25,425 30,964 680,656 583,997 2015-10-26 $63.87 $62.50 18.4% 5.2% 20.5% 20.6% 19.1% 3.9% -0.1% 70.5M -648.1M -10.4M 1.54 7.21 N/A N/A 16,464 25,341 666,153 574,890 2015-10-27 $63.64 $62.50 18.4% 5.4% 20.4% 20.7% 18.6% 4.1% 0.2% 66.1M -584.1M -10.4M 0.94 7.39 N/A N/A 17,437 16,437 671,397 581,997 2015-10-28 $65.39 $62.50 17.4% 5.1% 21.3% 17.1% 19.3% 3.8% 0.1% 99.8M -1.18B -10.9M 0.88 13.47 N/A N/A 42,359 37,251 675,814 583,806 2015-10-29 $65.20 $62.50 18.8% 5.5% 21.4% 22.1% 17.7% 3.6% 0.3% 100.5M -1.18B -10.7M 0.81 8.21 N/A N/A 47,698 38,805 684,402 595,515 2015-10-30 $64.44 $64.00 17.8% 5.1% 21.9% 18.6% 18.4% 3.2% 0.8% 94.1M -799.6M -10.5M 1.40 9.74 N/A N/A 34,237 47,807 698,890 613,120
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