JPM Options History — November 2015 In November 2015, JPM traded between $65.40 and $68.46. ATM implied volatility averaged 20.1%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 1.6% (HV 20d: 21.7%). Max pain ranged from $62.50 to $65.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.84.
Notable Days 2015-11-06 : Highest Volume — 118,713 contracts2015-11-09 : Largest IV spike — 12.5% change2015-11-13 : Highest IV Rank — 37.5%2015-11-13 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $66.81 $65.40 $68.46 $65.40 $66.68 Max Pain $64.47 $62.50 $65.00 $64.00 $65.00 ATM IV 20.1% 18.4% 22.9% 18.5% 20.0% Expected Move 5.9% 5.3% 6.8% 5.3% 6.3% HV 20d 21.7% 19.5% 24.2% 21.2% 19.5% HV 60d 25.8% 22.0% 28.1% 27.1% 22.0% IV Rank 26.9% 20.7% 37.5% 21.3% 23.8% IV Percentile 64.5% 49.6% 80.6% 51.6% 65.5% Term Structure 0.4% -0.3% 1.9% 0.4% 0.4% VWIV 20.6% 15.1% 24.2% 16.8% 21.8% Skew 25d 3.4% 2.5% 3.8% 2.9% 3.6% Skew 10d 7.6% 6.0% 10.8% 9.7% 6.1% Call IV 25d 18.8% 16.9% 21.0% 17.3% 18.3% Put IV 25d 22.2% 20.2% 24.7% 20.2% 21.9% Bid-Ask Spread % 8.05 5.39 18.10 11.09 9.11 Gamma HHI 0.24 0.16 0.86 0.18 0.17 Net GEX 156.7M 65.5M 973.1M 95.8M 65.5M Net DEX -1.51B -2.41B -985.7M -1.07B -1.16B Net VEX -10.6M -11.2M -10.1M -10.5M -10.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.84 0.35 1.31 1.09 1.26 Total Volume 54,266.45 27,930 118,713 75,703 39,332 Total OI 1,332,267.7 1,180,240 1,429,792 1,284,493 1,204,024
Daily Data (20 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 2015-11-02 $65.40 $64.00 18.5% 5.3% 21.2% 21.3% 16.8% 2.9% 0.4% 95.8M -1.07B -10.5M 1.09 11.09 N/A N/A 36,180 39,523 684,563 599,930 2015-11-03 $65.99 $64.00 18.4% 5.3% 21.3% 20.7% 16.3% 3.1% 0.3% 107.9M -1.31B -10.6M 1.09 5.87 N/A N/A 31,307 34,276 695,888 610,343 2015-11-04 $65.75 $64.00 18.9% 5.4% 21.4% 22.5% 15.1% 3.8% -0.0% 104.9M -1.26B -10.7M 1.03 6.19 N/A N/A 24,998 25,741 711,255 620,371 2015-11-05 $66.50 $62.50 19.1% 5.6% 21.6% 23.3% 20.0% 3.3% 0.4% 121.1M -1.58B -10.9M 0.93 7.54 N/A N/A 42,787 39,909 722,379 623,868 2015-11-06 $68.46 $62.50 18.7% 5.9% 23.2% 21.9% 20.3% 2.5% -0.1% 142.4M -2.41B -11.0M 0.35 7.06 N/A N/A 87,843 30,870 731,597 629,238 2015-11-09 $67.39 $62.50 21.0% 6.4% 24.2% 30.6% 22.3% 3.3% 1.4% 134.8M -1.95B -11.2M 0.60 8.55 N/A N/A 36,639 22,115 751,058 619,970 2015-11-10 $67.63 $65.00 20.5% 6.2% 24.0% 28.5% 22.2% 3.1% 1.2% 137.1M -2.00B -10.9M 0.53 7.29 N/A N/A 25,501 13,634 753,791 631,618 2015-11-11 $67.71 $65.00 21.0% 6.3% 21.3% 30.4% 23.5% 3.4% 1.1% 143.6M -2.09B -10.8M 0.59 18.10 N/A N/A 21,157 12,421 758,466 633,155 2015-11-12 $66.02 $65.00 22.0% 6.7% 21.7% 34.3% 23.5% 3.8% 1.9% 103.2M -1.22B -11.1M 0.72 5.82 N/A N/A 27,140 19,648 759,871 645,737 2015-11-13 $65.61 $65.00 22.9% 6.8% 21.8% 37.5% 24.2% 3.7% 1.3% 95.3M -985.7M -11.2M 0.82 7.10 N/A N/A 23,676 19,332 765,162 652,552 2015-11-16 $66.51 $65.00 21.2% 6.1% 22.0% 31.2% 22.2% 3.6% 0.4% 122.7M -1.40B -10.7M 0.53 9.46 N/A N/A 23,254 12,297 747,907 634,802 2015-11-17 $66.28 $65.00 21.5% 6.2% 22.0% 32.2% 22.9% 3.7% 0.2% 119.3M -1.30B -10.6M 1.28 7.65 N/A N/A 24,053 30,750 756,405 635,226 2015-11-18 $67.48 $65.00 20.7% 5.9% 22.3% 29.4% 20.9% 3.3% -0.2% 174.4M -1.86B -10.1M 0.40 6.87 N/A N/A 57,601 23,284 759,791 646,393 2015-11-19 $67.65 $65.00 20.4% 5.9% 21.7% 28.3% 20.6% 3.4% -0.1% 212.4M -1.93B -10.2M 0.63 5.39 N/A N/A 28,209 17,753 768,539 655,984 2015-11-20 $67.52 $65.00 19.5% 5.6% 21.5% 24.8% 19.1% 3.6% -0.2% 973.1M -1.89B -10.1M 0.85 6.40 N/A N/A 49,344 42,070 771,912 657,880 2015-11-23 $66.88 $65.00 19.4% 5.6% 22.0% 24.7% 19.4% 3.8% -0.3% 66.9M -1.20B -10.3M 0.92 9.48 N/A N/A 16,708 15,305 593,074 587,166 2015-11-24 $66.78 $65.00 19.4% 5.8% 21.9% 24.6% 21.0% 3.6% 0.1% 67.9M -1.20B -10.2M 1.31 6.75 N/A N/A 12,979 16,953 601,453 596,386 2015-11-25 $66.83 $65.00 19.1% 5.8% 19.8% 23.6% 20.2% 3.3% -0.1% 66.3M -1.15B -10.3M 1.04 6.87 N/A N/A 16,090 16,720 603,483 604,774 2015-11-27 $67.17 $65.00 19.4% 5.9% 19.8% 24.4% 20.3% 3.5% 0.2% 80.2M -1.29B -10.3M 0.86 8.30 N/A N/A 15,034 12,896 609,983 609,360 2015-11-30 $66.68 $65.00 20.0% 6.3% 19.5% 23.8% 21.8% 3.6% 0.4% 65.5M -1.16B -10.1M 1.26 9.11 N/A N/A 17,386 21,946 602,697 601,327
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