JPM Options History — March 2016

In March 2016, JPM traded between $58.47 and $60.57. ATM implied volatility averaged 23.3%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 9.5% (HV 20d: 32.7%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.80.

Notable Days

2016-03-18: Highest Volume — 162,246 contracts
2016-03-18: Largest IV drop — 10.8% change
2016-03-01: Highest IV Rank — 40.0%
2016-03-10: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.45	$58.47	$60.57	$59.11	$59.32
Max Pain	$58.43	$57.50	$60.00	$60.00	$59.00
ATM IV	23.3%	20.9%	25.7%	25.7%	21.2%
Expected Move	6.9%	6.1%	8.0%	7.8%	6.7%
HV 20d	32.7%	17.6%	45.5%	45.5%	17.6%
HV 60d	34.1%	32.6%	35.5%	35.4%	32.6%
IV Rank	31.8%	23.8%	40.0%	40.0%	24.9%
IV Percentile	64.6%	52.4%	73.4%	73.4%	54.4%
Term Structure	0.2%	-1.6%	3.1%	-0.2%	-0.4%
VWIV	25.0%	21.4%	28.9%	28.5%	23.9%
Skew 25d	5.7%	4.8%	7.0%	6.8%	4.8%
Skew 10d	11.7%	9.3%	16.1%	16.1%	9.3%
Call IV 25d	21.0%	19.0%	22.7%	22.6%	19.9%
Put IV 25d	26.7%	24.2%	29.7%	29.4%	24.7%
Bid-Ask Spread %	8.28	4.78	12.96	12.96	8.61
Gamma HHI	0.13	0.10	0.24	0.10	0.11
Net GEX	45.9M	18.9M	102.2M	45.2M	38.2M
Net DEX	-151.9M	-538.4M	181.2M	-175.6M	-57.1M
Net VEX	-9.0M	-9.4M	-8.2M	-9.2M	-9.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.36	1.60	0.91	0.85
Total Volume	68,332.409	35,947	162,246	106,886	55,310
Total OI	1,002,616.5	849,951	1,090,994	1,009,115	962,590

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
2016-03-01	$59.11	$60.00	25.7%	7.8%	45.5%	40.0%	28.5%	6.8%	-0.2%	45.2M	-175.6M	-9.2M	0.91	12.96	N/A	N/A	55,954	50,932	534,406	474,709
2016-03-02	$59.65	$60.00	23.3%	7.1%	43.8%	32.0%	25.0%	5.7%	0.5%	59.1M	-343.9M	-9.3M	0.55	9.25	N/A	N/A	40,998	22,694	552,221	490,266
2016-03-03	$59.80	$57.50	23.5%	7.1%	43.7%	32.7%	24.0%	5.5%	0.7%	62.6M	-377.5M	-9.2M	0.63	8.11	N/A	N/A	33,913	21,322	553,898	496,234
2016-03-04	$60.01	$57.50	23.4%	7.2%	43.5%	32.2%	26.8%	5.0%	0.7%	87.6M	-454.6M	-9.3M	0.36	9.92	N/A	N/A	90,810	32,854	563,485	501,332
2016-03-07	$59.81	$57.50	23.8%	7.1%	43.1%	33.8%	26.7%	6.3%	1.2%	48.9M	-265.1M	-9.3M	0.45	8.04	N/A	N/A	44,382	20,170	549,171	482,984
2016-03-08	$58.78	$57.50	25.5%	7.3%	43.1%	39.5%	26.5%	6.0%	-0.0%	34.0M	9.9M	-9.3M	0.51	6.93	N/A	N/A	49,460	25,241	553,272	489,587
2016-03-09	$58.98	$57.50	25.3%	7.3%	43.0%	38.8%	28.9%	6.3%	0.0%	38.6M	-46.6M	-9.3M	0.54	7.69	N/A	N/A	34,759	18,736	561,945	498,239
2016-03-10	$58.51	$57.50	25.5%	8.0%	42.9%	39.4%	28.0%	6.3%	3.1%	29.2M	106.5M	-9.1M	1.27	7.94	N/A	N/A	26,999	34,312	565,396	499,673
2016-03-11	$59.40	$57.50	23.6%	6.9%	39.4%	33.1%	24.1%	6.3%	0.5%	102.2M	-124.4M	-9.1M	0.64	6.39	N/A	N/A	34,544	21,942	570,601	511,728
2016-03-14	$59.01	$57.50	24.4%	7.0%	28.9%	35.6%	27.5%	7.0%	0.6%	38.8M	-21.3M	-8.7M	1.08	4.78	N/A	N/A	17,286	18,661	551,529	499,862
2016-03-15	$59.11	$57.50	23.8%	6.8%	28.4%	33.6%	25.8%	6.5%	0.8%	42.2M	-27.4M	-8.7M	1.03	7.31	N/A	N/A	19,409	20,015	556,661	504,744
2016-03-16	$58.96	$57.50	23.3%	6.7%	28.4%	32.0%	25.3%	6.1%	0.3%	40.9M	17.7M	-8.5M	0.96	11.56	N/A	N/A	29,528	28,262	559,326	506,485
2016-03-17	$58.47	$57.50	24.2%	7.0%	27.9%	35.0%	24.5%	5.8%	-1.6%	19.5M	181.2M	-8.2M	0.87	6.97	N/A	N/A	23,938	20,724	563,134	514,239
2016-03-18	$60.49	$57.50	21.6%	6.3%	30.3%	26.1%	21.8%	5.0%	-1.0%	54.6M	-538.4M	-8.6M	0.57	11.70	N/A	N/A	103,623	58,623	570,802	520,192
2016-03-21	$60.57	$60.00	21.1%	6.1%	29.9%	24.3%	21.8%	5.2%	-0.0%	51.2M	-340.4M	-8.9M	0.59	7.09	N/A	N/A	42,048	24,789	450,744	399,207
2016-03-22	$60.27	$60.00	21.4%	6.3%	24.8%	25.4%	21.4%	5.0%	-0.3%	48.4M	-287.5M	-9.1M	0.86	7.77	N/A	N/A	34,573	29,750	466,356	409,290
2016-03-23	$60.03	$60.00	22.2%	6.5%	24.9%	28.3%	22.9%	5.3%	0.0%	44.2M	-260.2M	-9.1M	1.60	8.60	N/A	N/A	27,769	44,540	476,261	417,206
2016-03-24	$59.41	$59.50	22.6%	6.6%	25.0%	29.4%	22.8%	5.3%	0.3%	18.9M	-77.0M	-9.4M	0.87	7.46	N/A	N/A	36,426	31,715	485,010	431,178
2016-03-28	$59.40	$59.00	22.6%	6.8%	24.8%	29.5%	24.8%	5.8%	-0.2%	31.9M	-85.0M	-9.0M	0.73	6.61	N/A	N/A	28,827	21,142	481,163	424,056
2016-03-29	$58.97	$59.00	22.8%	6.8%	23.6%	30.3%	25.2%	5.2%	-0.1%	25.6M	6.5M	-8.9M	0.81	8.30	N/A	N/A	30,107	24,320	492,006	427,564
2016-03-30	$59.76	$59.00	20.9%	6.3%	17.7%	23.8%	23.3%	5.1%	-0.1%	47.4M	-182.5M	-9.2M	0.91	8.17	N/A	N/A	37,605	34,301	503,336	435,475
2016-03-31	$59.32	$59.00	21.2%	6.7%	17.6%	24.9%	23.9%	4.8%	-0.4%	38.2M	-57.1M	-9.2M	0.85	8.61	N/A	N/A	29,837	25,473	515,111	447,479