JPM Options History — December 2015

In December 2015, JPM traded between $63.95 and $67.85. ATM implied volatility averaged 22.2%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 1.6% (HV 20d: 23.8%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.00.

Notable Days

2015-12-31: Highest Volume — 364,218 contracts
2015-12-11: Largest IV spike — 17.4% change
2015-12-11: Highest IV Rank — 52.7%
2015-12-11: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$66.18	$63.95	$67.85	$67.61	$66.30
Max Pain	$62.61	$60.00	$65.00	$65.00	$62.50
ATM IV	22.2%	19.3%	27.5%	20.0%	20.0%
Expected Move	6.6%	5.8%	7.9%	6.3%	6.1%
HV 20d	23.8%	19.4%	27.7%	19.4%	26.9%
HV 60d	22.6%	21.5%	23.7%	21.9%	22.7%
IV Rank	32.3%	20.7%	52.7%	23.7%	23.8%
IV Percentile	73.6%	52.4%	91.7%	65.1%	60.3%
Term Structure	0.2%	-2.3%	2.1%	0.1%	0.3%
VWIV	23.5%	16.1%	29.7%	22.0%	16.1%
Skew 25d	4.6%	3.4%	7.0%	3.4%	3.8%
Skew 10d	9.4%	6.4%	12.9%	8.2%	7.8%
Call IV 25d	20.3%	17.7%	25.2%	18.6%	18.9%
Put IV 25d	24.9%	21.3%	31.5%	22.0%	22.7%
Bid-Ask Spread %	7.26	5.59	14.26	7.52	5.72
Gamma HHI	0.15	0.11	0.22	0.19	0.14
Net GEX	59.3M	22.1M	121.1M	73.0M	63.9M
Net DEX	-929.8M	-1.60B	-194.9M	-1.41B	-1.02B
Net VEX	-9.4M	-10.2M	-8.3M	-10.1M	-8.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.19	3.06	3.06	0.19
Total Volume	81,900.409	35,093	364,218	77,407	364,218
Total OI	1,259,990.045	1,149,602	1,382,524	1,224,328	1,204,169

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
2015-12-01	$67.61	$65.00	20.0%	6.3%	19.4%	23.7%	22.0%	3.4%	0.1%	73.0M	-1.41B	-10.1M	3.06	7.52	N/A	N/A	19,043	58,364	609,656	614,672
2015-12-02	$66.64	$65.00	20.9%	6.7%	20.0%	27.2%	23.1%	3.4%	-0.2%	33.8M	-992.0M	-10.2M	0.87	14.26	N/A	N/A	36,066	31,468	618,090	648,283
2015-12-03	$65.83	$60.00	22.2%	6.7%	20.5%	32.2%	23.2%	4.2%	-0.1%	22.1M	-649.0M	-10.2M	1.12	6.70	N/A	N/A	30,289	33,780	627,191	659,005
2015-12-04	$67.85	$62.50	19.3%	6.0%	22.8%	20.7%	21.5%	3.6%	0.2%	97.5M	-1.54B	-9.8M	1.09	6.20	N/A	N/A	38,829	42,199	636,328	668,150
2015-12-07	$67.00	$62.50	20.8%	6.2%	20.7%	26.7%	22.6%	4.7%	0.8%	68.3M	-1.19B	-9.8M	0.96	5.90	N/A	N/A	17,945	17,148	630,709	634,510
2015-12-08	$66.04	$62.50	22.7%	7.0%	20.6%	34.0%	24.5%	4.7%	2.1%	48.4M	-872.4M	-10.0M	1.08	5.99	N/A	N/A	25,209	27,106	635,071	639,223
2015-12-09	$65.46	$62.50	23.8%	7.1%	20.7%	38.6%	24.6%	4.9%	1.0%	41.3M	-699.7M	-9.8M	0.95	5.80	N/A	N/A	28,130	26,715	640,704	650,993
2015-12-10	$65.61	$62.50	23.4%	7.1%	20.7%	36.8%	26.4%	5.1%	1.8%	40.6M	-701.5M	-10.0M	0.79	6.86	N/A	N/A	32,775	25,941	647,126	657,712
2015-12-11	$63.95	$62.50	27.5%	7.9%	20.8%	52.7%	28.8%	7.0%	-0.3%	25.1M	-194.9M	-10.0M	0.79	6.68	N/A	N/A	53,605	42,241	659,006	660,085
2015-12-14	$64.18	$62.50	27.3%	7.8%	20.8%	51.8%	29.7%	6.2%	0.2%	25.1M	-276.6M	-9.8M	1.09	8.18	N/A	N/A	41,361	45,085	643,106	656,967
2015-12-15	$66.15	$62.50	26.3%	7.6%	23.1%	48.2%	26.0%	5.4%	-2.3%	69.5M	-1.00B	-9.8M	0.66	5.85	N/A	N/A	54,824	36,430	663,046	661,474
2015-12-16	$67.67	$62.50	21.9%	6.3%	24.4%	31.1%	22.8%	4.8%	-0.3%	121.1M	-1.60B	-9.2M	0.86	10.02	N/A	N/A	44,720	38,596	675,161	668,016
2015-12-17	$66.37	$62.50	22.1%	6.4%	24.6%	31.6%	23.7%	4.8%	-0.2%	82.7M	-1.09B	-9.0M	0.63	7.65	N/A	N/A	56,334	35,385	678,526	671,197
2015-12-18	$64.60	$62.50	24.2%	7.0%	26.2%	40.1%	24.6%	5.7%	-0.8%	30.2M	-270.2M	-9.1M	1.22	7.74	N/A	N/A	47,951	58,666	706,631	675,893
2015-12-21	$65.49	$62.50	22.8%	6.5%	26.8%	34.5%	23.3%	4.8%	0.2%	39.7M	-688.7M	-9.1M	0.98	6.20	N/A	N/A	35,183	34,578	564,704	584,898
2015-12-22	$65.62	$62.50	22.4%	6.4%	26.7%	33.0%	22.7%	4.5%	0.0%	48.4M	-748.4M	-9.1M	0.84	7.55	N/A	N/A	32,121	27,112	581,765	592,645
2015-12-23	$66.78	$62.50	19.7%	5.8%	27.5%	22.5%	22.2%	4.0%	0.3%	80.9M	-1.11B	-9.2M	1.02	5.59	N/A	N/A	24,042	24,582	596,630	601,381
2015-12-24	$66.60	$62.50	19.8%	5.9%	27.5%	23.0%	19.7%	4.1%	0.2%	74.1M	-1.08B	-9.0M	0.58	8.37	N/A	N/A	36,663	21,417	603,199	610,120
2015-12-28	$66.39	$62.50	21.7%	6.3%	27.5%	30.1%	23.8%	4.3%	0.1%	60.2M	-988.2M	-8.6M	1.05	7.67	N/A	N/A	24,342	25,552	574,783	594,144
2015-12-29	$67.16	$62.50	20.0%	6.0%	27.7%	23.6%	21.8%	4.2%	0.1%	85.3M	-1.26B	-8.5M	0.81	6.91	N/A	N/A	25,979	20,980	584,708	597,920
2015-12-30	$66.58	$62.50	20.1%	6.1%	27.4%	24.0%	23.0%	4.3%	0.1%	72.5M	-1.06B	-8.4M	1.36	6.42	N/A	N/A	24,877	33,958	589,618	602,566
2015-12-31	$66.30	$62.50	20.0%	6.1%	26.9%	23.8%	16.1%	3.8%	0.3%	63.9M	-1.02B	-8.3M	0.19	5.72	N/A	N/A	306,007	58,211	596,587	607,582