JPM Options History — February 2016

In February 2016, JPM traded between $53.19 and $58.93. ATM implied volatility averaged 31.5%, placing in the 63.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 5.5% (HV 20d: 37.0%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.81.

Notable Days

2016-02-12: Highest Volume — 189,831 contracts
2016-02-11: Largest IV spike — 17.3% change
2016-02-11: Highest IV Rank — 100.0%
2016-02-11: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.14	$53.19	$58.93	$58.93	$56.46
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	31.5%	25.1%	43.3%	25.1%	28.8%
Expected Move	9.1%	7.2%	12.2%	7.2%	8.6%
HV 20d	37.0%	29.3%	43.2%	32.4%	43.2%
HV 60d	30.5%	26.8%	34.1%	26.8%	34.1%
IV Rank	63.2%	43.3%	100.0%	43.5%	50.6%
IV Percentile	92.3%	79.0%	100.0%	80.6%	86.5%
Term Structure	-0.6%	-1.8%	0.6%	0.2%	-0.0%
VWIV	31.8%	26.8%	42.2%	26.8%	31.1%
Skew 25d	7.2%	5.2%	9.2%	5.2%	6.1%
Skew 10d	15.2%	9.5%	21.8%	10.5%	9.5%
Call IV 25d	28.0%	22.7%	38.8%	22.7%	25.5%
Put IV 25d	35.3%	27.9%	48.0%	27.9%	31.6%
Bid-Ask Spread %	10.81	8.06	17.75	17.75	11.18
Gamma HHI	0.09	0.07	0.31	0.12	0.08
Net GEX	20.3M	-7.7M	60.9M	31.0M	8.6M
Net DEX	278.2M	-71.8M	826.1M	75.5M	408.6M
Net VEX	-8.3M	-8.9M	-7.4M	-7.8M	-8.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.43	1.36	0.77	0.96
Total Volume	92,999.1	50,156	189,831	54,974	50,156
Total OI	954,083.25	823,661	1,107,267	823,661	997,263

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
2016-02-01	$58.93	$60.00	25.1%	7.2%	32.4%	43.5%	26.8%	5.2%	0.2%	31.0M	75.5M	-7.8M	0.77	17.75	N/A	N/A	31,133	23,841	454,636	369,025
2016-02-02	$56.98	$60.00	29.1%	8.7%	31.3%	58.8%	30.3%	6.4%	-0.0%	10.9M	399.5M	-7.6M	0.50	12.87	N/A	N/A	50,131	25,127	455,760	378,430
2016-02-03	$57.47	$60.00	30.1%	8.7%	31.6%	62.8%	29.5%	6.6%	-0.4%	17.1M	301.1M	-7.9M	0.53	14.81	N/A	N/A	72,124	38,367	466,104	387,424
2016-02-04	$58.31	$60.00	28.8%	8.5%	32.1%	57.8%	28.8%	6.4%	-0.0%	28.5M	117.7M	-8.2M	0.83	8.58	N/A	N/A	33,914	28,032	477,835	400,244
2016-02-05	$57.51	$60.00	30.8%	8.8%	30.1%	65.6%	33.2%	7.4%	-0.2%	16.7M	281.5M	-8.2M	0.68	9.14	N/A	N/A	40,320	27,275	484,599	411,579
2016-02-08	$56.53	$60.00	35.9%	9.9%	29.3%	85.6%	37.3%	7.7%	-1.5%	5.7M	406.5M	-8.1M	0.69	10.08	N/A	N/A	45,310	31,315	466,777	408,771
2016-02-09	$56.19	$60.00	37.0%	10.7%	29.3%	89.7%	37.1%	8.3%	0.6%	6.5M	453.8M	-8.1M	0.78	10.42	N/A	N/A	31,378	24,475	480,195	419,158
2016-02-10	$55.58	$60.00	36.9%	10.3%	29.4%	89.3%	38.1%	9.2%	-0.9%	1.2M	559.1M	-7.9M	0.84	10.71	N/A	N/A	33,552	28,224	482,267	426,955
2016-02-11	$53.19	$60.00	43.3%	12.2%	31.8%	100.0%	42.2%	9.2%	-1.2%	-7.7M	826.1M	-7.4M	0.62	9.84	N/A	N/A	64,799	40,468	497,367	433,758
2016-02-12	$57.49	$60.00	36.4%	10.3%	42.6%	76.8%	38.0%	8.6%	-1.0%	60.9M	121.2M	-8.5M	0.53	9.83	N/A	N/A	123,977	65,854	521,985	445,403
2016-02-16	$58.36	$60.00	32.5%	9.3%	42.0%	63.4%	32.1%	7.6%	-1.8%	39.1M	-11.0M	-8.8M	0.81	11.44	N/A	N/A	60,191	48,839	546,670	458,146
2016-02-17	$58.74	$60.00	30.6%	8.8%	42.1%	56.8%	28.9%	8.3%	-1.7%	50.9M	-71.8M	-8.6M	0.43	8.06	N/A	N/A	97,753	41,892	556,366	475,465
2016-02-18	$57.82	$60.00	30.2%	8.7%	41.0%	55.6%	30.4%	8.1%	-1.1%	34.0M	118.3M	-8.7M	1.36	9.08	N/A	N/A	37,545	51,181	597,273	484,958
2016-02-19	$57.74	$60.00	29.4%	8.5%	41.0%	52.7%	26.9%	7.4%	-0.6%	26.9M	153.3M	-8.6M	0.92	8.48	N/A	N/A	58,350	53,552	606,506	500,761
2016-02-22	$58.62	$60.00	26.6%	7.9%	40.4%	43.3%	27.3%	6.2%	-0.2%	30.0M	20.5M	-8.8M	1.12	10.71	N/A	N/A	45,558	51,081	491,041	441,196
2016-02-23	$56.09	$60.00	30.6%	9.0%	42.9%	56.7%	29.8%	6.7%	-0.7%	5.7M	478.6M	-8.3M	0.94	11.33	N/A	N/A	71,779	67,672	519,274	453,543
2016-02-24	$56.14	$60.00	30.9%	9.1%	42.0%	58.0%	32.0%	6.8%	-0.8%	3.0M	481.0M	-8.4M	1.14	11.57	N/A	N/A	48,770	55,545	532,960	475,657
2016-02-25	$56.96	$60.00	29.0%	8.3%	42.4%	51.4%	28.2%	6.4%	-1.0%	11.3M	317.1M	-8.8M	0.72	9.86	N/A	N/A	47,777	34,324	540,736	489,792
2016-02-26	$57.63	$60.00	27.4%	8.1%	42.6%	45.9%	28.6%	6.3%	-0.2%	25.1M	128.2M	-8.9M	1.10	10.43	N/A	N/A	37,315	41,086	551,356	494,430
2016-02-29	$56.46	$60.00	28.8%	8.6%	43.2%	50.6%	31.1%	6.1%	-0.0%	8.6M	408.6M	-8.5M	0.96	11.18	N/A	N/A	25,606	24,550	529,083	468,180