JPM Options History — January 2016

In January 2016, JPM traded between $55.44 and $63.71. ATM implied volatility averaged 28.4%, placing in the 56.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 1.2% (HV 20d: 29.5%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.79.

Notable Days

  • 2016-01-04: Highest Volume — 130,665 contracts
  • 2016-01-07: Largest IV spike — 20.6% change
  • 2016-01-20: Highest IV Rank — 71.1%
  • 2016-01-20: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.41$55.44$63.71$63.60$57.55
Max Pain$62.82$60.00$65.00$65.00$60.00
ATM IV28.4%24.5%32.2%25.8%25.9%
Expected Move8.0%6.9%9.2%7.3%7.4%
HV 20d29.5%27.1%31.2%30.4%30.5%
HV 60d25.7%24.3%26.8%24.3%26.4%
IV Rank56.1%41.2%71.1%46.3%46.5%
IV Percentile91.3%82.9%98.8%88.5%82.9%
Term Structure-1.0%-2.7%0.0%-0.8%-0.3%
VWIV27.0%21.4%32.2%23.0%24.2%
Skew 25d6.2%4.2%7.8%4.9%5.5%
Skew 10d13.0%9.4%17.4%10.9%10.8%
Call IV 25d25.8%22.5%29.8%23.6%23.5%
Put IV 25d32.0%26.7%36.7%28.5%29.0%
Bid-Ask Spread %10.346.8316.098.5112.75
Gamma HHI0.110.080.310.100.09
Net GEX-10.1M-43.6M20.2M1.8M20.2M
Net DEX694.3M165.2M1.36B254.7M326.5M
Net VEX-7.3M-8.0M-6.7M-8.0M-7.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.501.260.560.65
Total Volume83,764.57943,274130,665130,66550,208
Total OI998,773.211700,2081,258,9961,110,213842,991

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$63.60$65.0025.8%7.3%30.4%46.3%23.0%4.9%-0.8%1.8M254.7M-8.0M0.568.51N/AN/A83,79246,873506,697603,516
2016-01-05$63.71$65.0024.5%6.9%28.0%41.2%22.7%4.2%-0.7%13.9M165.2M-8.0M0.787.18N/AN/A37,00528,774533,788614,818
2016-01-06$62.78$65.0025.8%7.1%28.2%46.1%21.4%5.4%-0.7%-4.1M387.8M-8.0M0.517.40N/AN/A67,55034,490544,087620,427
2016-01-07$60.57$65.0031.1%8.5%30.2%66.7%28.6%5.8%-1.6%-22.2M785.9M-7.8M0.6410.34N/AN/A74,29447,905570,842623,173
2016-01-08$58.99$65.0031.2%8.3%31.2%67.2%28.8%7.4%-1.7%-37.1M1.13B-7.4M0.979.37N/AN/A41,16840,029584,391634,967
2016-01-11$58.89$65.0029.3%7.8%31.1%59.9%28.3%6.3%-2.6%-41.0M1.08B-7.0M0.809.03N/AN/A54,76743,631537,523627,495
2016-01-12$59.03$65.0028.3%7.6%30.3%55.9%27.5%5.0%-2.3%-39.7M1.05B-7.2M0.699.58N/AN/A35,26524,232553,684637,975
2016-01-13$57.45$65.0031.4%8.4%31.2%67.8%28.5%7.2%-1.6%-43.6M1.28B-6.9M0.899.32N/AN/A55,05948,973567,373644,419
2016-01-14$58.38$65.0027.0%7.8%29.4%51.0%26.5%5.7%0.0%-38.6M1.14B-7.0M1.079.84N/AN/A49,99953,565586,902659,350
2016-01-15$56.99$62.5031.3%8.5%27.9%67.7%29.4%6.8%-2.7%-37.5M1.36B-6.9M0.978.75N/AN/A57,51255,505594,502664,494
2016-01-19$57.16$62.5028.4%8.1%27.9%56.4%27.6%6.6%-0.8%-6.0M572.3M-6.8M0.5512.33N/AN/A57,14431,493361,266338,942
2016-01-20$55.51$62.5032.2%9.2%28.1%71.1%32.2%7.8%-0.7%-5.2M679.9M-6.8M0.7111.38N/AN/A49,02635,019389,882351,401
2016-01-21$55.44$61.0030.0%8.7%27.1%62.4%28.0%7.2%-1.2%-1.8M690.1M-6.7M0.6712.78N/AN/A40,72527,180404,382360,227
2016-01-22$56.86$60.0026.1%7.5%29.5%47.2%24.7%6.3%-0.1%4.1M509.6M-7.2M0.5011.47N/AN/A63,32231,608421,329371,325
2016-01-25$55.66$60.0028.8%8.4%28.4%57.9%28.6%6.8%-0.2%2.8M580.1M-7.0M0.746.83N/AN/A24,82618,448430,862349,413
2016-01-26$56.93$60.0027.1%7.9%30.5%51.2%26.9%6.1%-0.3%10.5M423.6M-7.4M1.0410.99N/AN/A25,18926,151438,962354,188
2016-01-27$56.99$60.0027.8%8.1%30.6%53.9%28.5%5.7%-0.3%13.6M408.2M-7.5M1.2616.09N/AN/A33,42042,242444,942368,592
2016-01-28$57.31$60.0026.8%7.8%30.1%50.0%27.4%6.3%-0.4%18.0M368.8M-7.6M0.9812.51N/AN/A27,88227,256456,192381,372
2016-01-29$57.55$60.0025.9%7.4%30.5%46.5%24.2%5.5%-0.3%20.2M326.5M-7.7M0.6512.75N/AN/A30,42119,787460,699382,292